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作者：Kalay, A; Sade, O; Wohl, A
作者单位：Hebrew University of Jerusalem; Tel Aviv University; Utah System of Higher Education; University of Utah
摘要：We show that estimating demand and supply elasticities at the opening stage of trading at the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is used. We find that the demand curve is more elastic than the supply curve and that both are much more elastic in their executable areas. The empirical evidence indicates that elasticity is increasing during the continuous stage of trading. We discuss methods of estimation of price impact and document that the actual...
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作者：DeAngelo, H; DeAngelo, L; Skinner, DJ
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：Aggregate real dividends paid by industrial firms increased over the past two decades even though, as Fama and French (J. Financial Econ. 60, 3) (2001 a) document, the number of dividend payers decreased by over 50%. The reason is that (i) the reduction in payers occurs almost entirely among firms that paid very small dividends, and (ii) increased real dividends from the top payers swamp the modest dividend reduction from the loss of many small payers. These trends reflect high and increasing ...
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作者：Rosen, HS; Wu, S
作者单位：Hamilton College; Princeton University
摘要：This paper analyzes the role health status plays in household portfolio decisions using data from the Health and Retirement Study. The results indicate that health is a significant predictor of both the probability of owning different types of financial assets and the share of financial wealth held in each asset category. Households in poor health are less likely to hold risky financial assets, other things (including the level of total wealth) being the same. Poor health is associated with a ...
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作者：Gibson, S; Safieddine, A; Sonti, R
作者单位：Cornell University; American University of Beirut; Tulane University
摘要：We document that seasoned equity issuers experiencing the greatest increase in institutional investment around the offer date outperformed their benchmark portfolios in the year following the issue by a statistically and economically significant margin relative to those experiencing the greatest decrease. No such relationship exists for a control sample of matched non-issuers. Issuers with the greatest institutional investment are also found to have the highest ratio of sell-side analyst upgra...
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作者：Fishe, RPH; Robe, MA
作者单位：American University; University of Richmond
摘要：We examine insider trading in specialist and dealer markets, using the trades of stock brokers who had advance copies of a stock analysis column in Business Week magazine. We find that increases in price and volume occur after informed trades. During informed trading, market makers decrease depth. Depth falls more on the NYSE and Amex than on the Nasdaq. Spreads increase on the NYSE and Amex, but not on the Nasdaq. We find none of these prerelease changes in a nontraded control sample of stock...
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作者：Ivkovic, Z; Jegadeesh, N
作者单位：Emory University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper evaluates the information content of analysts' one-quarter-ahead earnings forecast revisions and recommendation revisions at various points in event time relative to earnings announcement dates. Across three sets of tests, we find that the revisions are least informative in the week after earnings announcements and that the information content of revisions generally increases over event time. We find a sharp increase in the information content of upward forecast revisions and recomm...
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作者：Narayanan, RP; Rangan, KP; Rangan, NK
作者单位：University System of Ohio; Ohio University; University System of Ohio; Case Western Reserve University
摘要：The re-entry of banking organizations into securities underwriting raises concerns over the possibility of banks using their lending-generated private information to benefit themselves and the issuing firm at the expense of investors. This paper illustrates the use of syndicate structure by lending banks to credibly commit against such opportunistic behavior and to exploit their proprietary information to lower issuance cost for borrowing firm issuers. We show that lending banks predominantly ...
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作者：Chung, KH; Chuwonganant, C; McCormick, DT
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; Purdue University System; Indiana University Purdue University Fort Wayne
摘要：Despite the widely held belief that order preferencing affects market quality, no hard evidence exists on the extent and determinants of order preferencing and its impact on dealer competition and execution quality. This study shows that the bid-ask spread (dealer quote aggressiveness) is positively (negatively) related to the proportion of internalized volume during both the pre- and post-decimalization periods. Although decimal pricing led to lower order preferencing on NASDAQ, the extent of...
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作者：Flannery, MJ; Kwan, SH; Nimalendran, M
作者单位：State University System of Florida; University of Florida; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence indicates that large bank holding companies (BHC), traded on the NYSE, have very similar trading properties to their matched nonfinancial firms. In contrast, smaller BHCs, traded on NASDAQ, trade much less frequently despite having very similar spreads. Analysis of HIES earnings forecasts indi...
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作者：Chordia, T; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price pressures caused by autocorrelated imbalances cause a positive relation between lagged imbalances and returns, which reverses sign after controlling for the current imbalance. We find empirical evidence ...
