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作者：Werner, IM; Kleidon, AW
作者单位：National Bureau of Economic Research
摘要：This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competiti...
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作者：Chen, ZW; Knez, PJ
作者单位：University System of Ohio; Ohio State University; University of Wisconsin System; University of Wisconsin Madison
摘要：Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally qui...
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作者：Ait-Sahalia, Y
作者单位：National Bureau of Economic Research
摘要：Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals, The principal source of rejection of existing models is the strong non-linearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behave...
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作者：Michaely, R; Vila, JL
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We test a theory of the interaction between investors' heterogeneity, risk, transaction costs, and trading volume We take advantage of the specific nature of trading motives around the distribution of cash dividends, namely the costly trading of tax shields, Consistent with the theory, we show that when trades occur because of differential valuation of cash flows, an increase in risk or transaction costs reduces volume We also show that the nonsystematic risk plays a significant role in determ...
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作者：Lee, BS
摘要：This article investigates the hypothesis that dividend changes are determined by changes in some measure of permanent earnings. The analysis employs two measures of permanent earnings and takes into account the nonstationarity of dividend and earnings series. This study finds that dynamic dividend behavior is accounted for primarily by changes in permanent earnings, Dividends respond strongly to permanent changes in earnings without any significant over-reaction, whereas they respond little, i...
