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作者：Lo, Andrew W.; MacKinlay, A. Craig
作者单位：University of Pennsylvania
摘要：In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at ferent frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-...
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作者：Admati, Anat R.; Pfleiderer, Paul
作者单位：Stanford University
摘要：This article develops a theory in which concentrated-trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.
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作者：Hansen, Robert S.
作者单位：University of Michigan System; University of Michigan
摘要：This article suggests that the lack of use of rights offerings in the United States, a phenomenon referred to as the equity underwriting paradox, can be explained by transaction-cost conditions. A sample of underwritten rights offerings provides support for the explanation. Firms making underwritten rights offerings paid lower underwriter fees but incurred significantly larger price drops just prior to the offering than did firms making underwritten public offerings. Further analysis reveals t...
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作者：Jorion, Philippe
作者单位：Columbia University; Northwestern University
摘要：This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontinuities, even after allowing for conditional beteroskedasticity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally...
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作者：Giammarino, Ronald M.; Lewis, Tracy
作者单位：University of British Columbia; University of California System; University of California Davis
摘要：We examine the sale of equity within the context of a model of negotiation between a firm and a less well informed purchaser. We introduce a simple form of negotiation by allowing the firm to set the price of the issue and by assuming that the purchaser is a financier-underwriter who acts strategically. This transaction is analyzed as a noncooperative game, and we identify sequential equilibria that are consistent with observed behavior: namely, that negotiations occasionally fail, that market...
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作者：Bagnoli, Mark; Lipman, Barton L.
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University
摘要：While most takeover models assume atomistic stockholders, we analyze a single-raider model with finitely many stockholders. Because the raider can always make some stockholders pivotal, be can overcome the free-rider problem identified by Grossman and Hart (1980) and others in atomistic-stockholder models and profitably take over even without exclusion. One might expect that it would be harder for the raider to make stockholders of more widely held firms pivotal and that exclusion would thus b...
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作者：Kamara, Avraham
作者单位：University of Washington; University of Washington Seattle
摘要：Earlier studies report significant price disparities between futures and forward or spot markets. Examining the Treasury-bill markets, this article demonstrates that differences in market trading structures explain these disparities. Treasury-bill futures rates contain significantly lower liquidity and default premia than do synthetic forward rates. This reflects the functioning of a futures' clearing association and differences between an open-outcry auction futures market and an over-the-cou...
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作者：MacKinlay, A. Craig; Ramaswamy, Krishna
作者单位：University of Pennsylvania
摘要：This article examines intraday transaction data for S&P 500 stock index futures prices and the intraday quotes for the underlying index. The data indicate that the futures price changes are uncorrelated and that the variability of these price changes exceeds the variability of price changes in the S&P 500 index. This excess variability of the futures over the index remains even after controlling for the nonsyncbronous prices in the index quotes, which induces auto-correlation in the index chan...
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作者：Lakonishok, Josef; Smidt, Seymour
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.
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作者：Nachman, David C.
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this security and that call options written on portfolios of call options on individual primitive securities appr...
