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作者：Demsetz, H
摘要：Different methods are used by the NYSE/Amex and the Nasdaq to accommodate limit orders received from investors. This accounts for at least part of the excess of Nasdaq spreads over NYSE spreads, adjusted for trading volume, and is a factor in determining this excess that is independent of collusion on the Nasdaq. The spread-comparison evidence given by others to support their belief that there is collusion among market makers on the Nasdaq therefore overstates the probability of collusion and ...
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作者：LaPlante, M; Muscarella, CJ
作者单位：Santa Clara University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：The trading structure differences between the NYSE and the Nasdaq market could produce different levels of trading liquidity. Several studies have attempted to measure these differences by comparing bid-ask spreads. This paper uses an alternative approach to compare liquidity. We analyze three issues: (1) the frequencies of the sizes and types of block trades found in the two markets, (2) the immediate price effects of the block transactions, and (3) the temporary and permanent price effects o...
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作者：Esty, BC
摘要：I analyze the investment and funding strategies of two thrifts, one stock owned and one mutually owned, from 1983 to 1988, Despite their similarities prior to 1983, the stock thrift implemented a riskier financial strategy and did so only after converting to stock ownership, Although this strategy ultimately led to its failure, the stock thrift still made significant payouts to its controlling shareholders, This case study illustrates in stark terms the relation between organizational form and...
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作者：Dechow, PM; Sloan, RG
作者单位：University of Pennsylvania
摘要：This paper examines the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer, and Vishny (1994), we find no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth. Building on Bauman and Dowen (1988) and La Porta (1995), however, we find that stock prices appear to naively reflect analysts' biased forecasts of future earnings growth. Further, we fi...
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作者：Lee, SJ; Mayers, D; Smith, CW
作者单位：University of Rochester; Gardner Webb University; University of California System; University of California Riverside
摘要：This paper examines changes in property-liability insurers' risk-taking around enactments of stare guaranty fund laws. Our evidence suggests that the risk of insurers' asset portfolios increases following enactments. But this increase in risk is significant only for stock insurers. Our evidence of increased risk-taking following guaranty-fund adoptions suggests that the way these funds are organized creates counterproductive investment incentives, especially for stock companies, Because these ...
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作者：Harris, JH; Schultz, PH
作者单位：University System of Ohio; Ohio State University; University of Notre Dame
摘要：Nasdaq's Small Order Execution System (SOES) allows orders to be submitted by computer, thereby assuring rapid execution at quoted prices. We examine trading in the 20 largest Nasdaq stocks around the time of a rule change that reduced the largest SOES trades from 1000 to 500 shares. We show that SOES trades contain information about short-term price movements and that SOES trading declined dramatically with the rule change. However, quoted and effective spreads were unaffected by the rule cha...
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作者：Kang, JK; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Korea University
摘要：This paper studies stock ownership in Japanese firms by non-Japanese investors from 1975 to 1991. Existing models predicting that foreign investors hold national market portfolios or portfolios tilted towards stocks with high expected returns are inconsistent with our evidence. We document that foreign investors hold disproportionately more shares of firms in manufacturing industries, large firms, and firms with good accounting performance, low unsystematic risk, and low leverage. Controlling ...
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作者：Kang, JK; Shivdasani, A
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Korea University
摘要：This paper documents the restructuring of 92 Japanese corporations that experienced a substantial decline in operating performance between 1986 and 1990. These firms implement a number of downsizing measures such as asset sales, plant closures, and employee layoffs. Firms also expand and diversify, and often restructure their internal operations. Compared to US firms with a similar decline in performance, however, Japanese firms are less likely to downsize, and layoffs affect a smaller fractio...
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作者：Sias, RW; Starks, LT
作者单位：University of Texas System; University of Texas Austin
摘要：We propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns. Our results demonstrate that NYSE portfolio and individual security daily return autocorrelations are an increasing function of the level of institutional ownership. Moreover, the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment. The relation between autocorrelation and institutional ...
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作者：Jordan, BD; Kuipers, DR
作者单位：University of Houston System; University of Houston; University of Kentucky
摘要：This paper uses a unique financial instrument in the U.S. Treasury market to study the price behavior of the put option embedded in the November 2009-14 callable U.S. Treasury bond. We find that, beginning in August 1993, the estimated option value was persistently negative on nearly every day for the ensuing eight months. We show that the anomalous pricing behavior arose because the underlying callable bond became the cheapest to deliver issue against U.S. Treasury bond futures contracts. Hen...
