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作者：Osler, CL
作者单位：Brandeis University
摘要：This paper documents clustering in currency stop-loss and take-profit orders, and uses that clustering to provide an explanation for two familiar predictions from technical analysis: (1) trends tend to reverse course at predictable support and resistance levels, and (2) trends tend to be unusually rapid after rates cross such levels. The data are the first available on individual currency stop-loss and take-profit orders. Take-profit orders cluster particularly strongly at round numbers, which...
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作者：Farnsworth, H; Bass, R
作者单位：Washington University (WUSTL); University of Connecticut
摘要：The Federal Reserve sets targets for interest rates which it enforces through direct market intervention. These targets are changed periodically. In this paper, we develop a term structure model in which the short rate is subject to a control which keeps it close to a target which changes from time to time. The probability of target changes is not constant in the model, but changes as a function of observables. The model performs well at explaining the shifts in the yield curve that accompany ...
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作者：Gillette, AB; Noe, TH; Rebello, MJ
作者单位：University System of Georgia; Georgia State University; Tulane University
摘要：We examine voting by a board designed to mitigate conflicts of interest between privately informed insiders and owners. Our model demonstrates that, as argued by researchers and the business press, boards with a majority of trustworthy but uninformed watchdogs can implement institutionally preferred policies. Our laboratory experiments strongly support this conclusion. Our model also highlights the necessity of penalties on insiders when there is dissension among board members. However, penalt...
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作者：Van Bommel, J
作者单位：University of Oxford
摘要：A Kyle (1985) model with private information diffusion is used to examine the motivation to spread stock tips. An informed investor with limited investment capacity spreads imprecise rumors to an audience of followers. Followers trade on the advice and move the price. Due to the imprecision of the rumor, the price overshoots with positive probability. This gives the rumormonger the opportunity to trade twice: First when she receives information, then when she knows the price to be overshooting...
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作者：Poteshman, AM; Serbin, V
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper analyzes the early exercise of exchange-traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of full-service brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is t...
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作者：Benveniste, LM; Ljungqvist, A; Wilhelm, WJ Jr; Yu, XY
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK; New York University; University of Oxford; University of Virginia; Indiana University System; Indiana University Bloomington
摘要：We provide evidence that firms attempting IPOs condition offer terms and the decision whether to carry through with an offering on the experience of their primary market contemporaries. Moreover, while initial returns and IPO volume are positively correlated in the aggregate, the correlation is negative among contemporaneous offerings subject to a common valuation factor. Our findings are-consistent with investment banks implicitly bundling offerings subject to a common valuation factor to ach...
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作者：Brockman, P; Chung, DY
作者单位：Hong Kong Polytechnic University
摘要：The purpose of this study is to investigate the relation between investor protection and firm liquidity We posit that less protective environments lead to wider bid-ask spreads and thinner depths because they fail to minimize information asymmetries. The Hong Kong equity market provides a unique opportunity to compare liquidity costs across distinct investor protection environments, but still within a common trading mechanism and currency. Our empirical findings verify that firm liquidity is s...
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作者：Maxwell, WF; Stephens, CP
作者单位：University of Arizona; Louisiana State University System; Louisiana State University
摘要：Prior research has documented positive abnormal stock returns around the announcements of repurchase programs; several explanations of these returns have been suggested, including signaling, free cash flow, and wealth redistributions. This study analyzes abnormal stock, bond, and firm returns,around repurchase announcements to examine these hypotheses. We find evidence consistent with both signaling and wealth redistribution. The loss to bondholders is a function of the size of the repurchase,...
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作者：Gentry, WM; Kemsley, D; Mayer, CJ
作者单位：Columbia University; National Bureau of Economic Research; Yale University; University of Pennsylvania
摘要：Prior empirical evidence regarding the impact of dividend taxes on firm valuation is mixed. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their limited discretion over dividend policy and the relative transparency of REIT assets. We regress the market value of equity on the market value of assets and tax basis, which creates tax deductions that lower future dividend taxes without affecting future...
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作者：De Fontnouvelle, P; Fishe, RPH; Harris, JH
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Richmond; University of Delaware
摘要：In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale i...
