1991

最新文章

• SMALL SAMPLE TESTS OF PORTFOLIO EFFICIENCY AI翻译
  作者：ZHOU, G
  摘要：This paper presents an eigenvalue test of the efficiency of a portfolio when there is no riskless asset, complementing the test of Gibbons, Ross, and Shanken (1989). Besides optimal upper and lower bounds, an easily-implented numerical method is provided for computing the exact P-value. Our approach makes it possible to draw statistical inferences on the efficiency of a given portfolio both in the context of the zero-beta CAPM and with respect to other linear pricing models. As an application,...
• UNDERWRITER WARRANTS, UNDERWRITER COMPENSATION, AND THE COSTS OF GOING PUBLIC AI翻译
  作者：BARRY, CB; MUSCARELLA, CJ; VETSUYPENS, MR
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
• A MULTICOUNTRY COMPARISON OF TERM-STRUCTURE FORECASTS AT LONG HORIZONS AI翻译
  作者：JORION, P; MISHKIN, F
  作者单位：National Bureau of Economic Research
• A BAYESIAN MODEL OF INTRADAY SPECIALIST PRICING AI翻译
  作者：MADHAVAN, A; SMIDT, S
  作者单位：Cornell University
  摘要：This paper develops and tests a model of intraday security price movements which incorporates the effects of both trading volume and unanticipated information. We estimate our model using transaction data from a NYSE specialist and find strong evidence of information asymmetry, although the inventory effect appears weak. The parameter estimates are used to compute the costs of trading, and we find that implicit bid-ask spreads were significantly higher in October 1987 than in the rest of that ...
• THE DEGREE OF INEFFICIENCY IN THE FOOTBALL BETTING MARKET - STATISTICAL TESTS AI翻译
  作者：GOLEC, J; TAMARKIN, M
  摘要：This paper tests the hypothesis that the football betting market is efficient. Our statistical tests are stronger than those in previous studies, and we examine both NFL and college data over a sample period of fifteen years. Our statistical tests detect two specific biases in the NFL market and an unspecified bias in the college market. We examine the year-to-year consistency and magnitudes of the biases and find that the NFL bias against home teams has been nearly eliminated, while the bias ...
• WERE JAPANESE STOCK-PRICES TOO HIGH AI翻译
  作者：FRENCH, KR; POTERBA, JM
  作者单位：National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• THE POSTMERGER SHARE-PRICE PERFORMANCE OF ACQUIRING FIRMS AI翻译
  作者：FRANKS, J; HARRIS, R; TITMAN, S
  作者单位：University of Virginia; University of California System; University of California Los Angeles
• THE CONSUMPTION OF STOCKHOLDERS AND NONSTOCKHOLDERS AI翻译
  作者：MANKIW, NG; ZELDES, SP
  作者单位：University of Pennsylvania
• OPPORTUNISTIC UNDERINVESTMENT IN DEBT RENEGOTIATION AND CAPITAL STRUCTURE AI翻译
  作者：BERGMAN, YZ; CALLEN, JL
  作者单位：Hebrew University of Jerusalem
• A UNIFIED METHOD FOR PRICING OPTIONS ON DIFFUSION-PROCESSES AI翻译
  作者：GOLDENBERG, DH