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作者：Schwert, GW
摘要：This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eighths. The articles in this symposium bring new and interesting insights to this debate.
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作者：Kandel, E; Marx, LM
摘要：Because of its institutional features, the Nasdaq market does not fit the standard competitive model. We construct a model that reflects the distinguishing characteristics of the Nasdaq market. This model implies that in dealer markets with a minimum price increment, competition among market-makers does not necessarily drive spreads down to the level of marginal cost. Using this result, we provide an explanation for the odd-eighth avoidance documented in Christie and Schultz (1994). We show th...
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作者：Lewellen, WG; Badrinath, SG
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Camden
摘要：We examine the methods commonly employed to estimate Tobin's q ratios and find them to be flawed in design and arbitrary in implementation. We propose an alternative procedure which is both simpler and more accurate. The key to the procedure is an improved measure of fixed asset replacement costs, through the proper identification of the vintages of fixed assets that are in place for a firm. Application of this procedure to a large sample of nonfinancial corporations indicates that existing me...
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作者：Kole, SR
摘要：Management compensation is often categorized as either sensitive or insensitive to firm performance. This one-dimensional treatment ignores the variation in the types and terms of compensation contracts. Through a cross-sectional examination of shareholder-authorized compensation arrangements, this paper demonstrates that the terms of stock option and restricted stock plans, and the flexibility afforded the board of directors in negotiating with managers, vary systematically with the character...
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作者：Barclay, MJ
摘要：This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths, spreads are smaller and decline only slightly with exchange listing. The large spreads observed when Nasdaq market makers avoid odd-eighths cannot be explained by security-specific characteristics. Instead, the results support the...
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作者：Esty, BC
摘要：I hypothesize that risk taking is greater in stock thrifts than in mutual thrifts because the residual and fixed claims are separable. I find that stock thrifts exhibit greater profit variability during the 1982-88 period and that conversions from mutual to stock ownership are associated with increased investment in risky assets and increased profit variability. These findings illustrate the relation between the structure of residual claims, incentives, and firm performance as well as the unin...
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作者：Bekaert, G; Harvey, CR
作者单位：Duke University; Stanford University; National Bureau of Economic Research
摘要：Understanding volatility in emerging capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. We provide an approach that allows the relative importance of world and local information to change through time in both the expected returns and conditional variance processes. Our time-series and cross-sectional models analyze the reasons that volatility is different across emerging markets, particularly with respect to the...
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作者：Bakshi, GS; Chen, ZW
作者单位：University System of Ohio; Ohio State University; University System of Maryland; University of Maryland College Park
摘要：This paper studies contingent claim valuation in a Lucas-type exchange economy. The derived fundamental valuation equation differs from its Cox-Ingersoll-Ross production-economy counterpart in that it is expressed in terms of the direct utility function and an exogenous output process, thus offering superior tractability. We apply our approach to derive closed-form solutions for bond, bond option, individual stock, and stock option prices, under a more general setting than allowable in the Cox...
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作者：Singh, AK
摘要：In seasoned equity rights offers, the standby underwriting contract resembles the sale of a put option. In the rights offering period, underwriters reduce their exposure to the standby underwriting by purchasing rights hedged with short sale of the common stock. Consistent with Eckbo and Masulis (1992), offers with large rights sell-offs during the offering period experience significant price decline. The offering period price decline and the nature of constraints confronting underwriters may ...
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作者：Kothare, M
摘要：[ find that proportionate bid-ask spreads increase after rights offerings of common stock, but decrease after public underwritten offerings. These changes are correlated with changes in the issuing firm's ownership structure. Public offerings cause greater dispersion in share ownership while rights offerings lead to more concentrated ownership. I argue that increased spreads represent a significant cost to issuing firms' shareholders, making rights offerings costlier than public underwritten o...
