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作者：Weston, JP
作者单位：Rice University
摘要：This paper examines the effect of recent market reforms on the competitive structure of the Nasdaq. Our results show that changes in inventory and information costs cannot explain the post-reform decrease in bid-ask spreads. We interpret this as evidence that the reforms have reduced Nasdaq dealers' rents. Additionally, we find that the difference between NYSE and Nasdaq spreads have been greatly diminished with the new rules. Further, the reforms have resulted in an exit, ceteris paribus, fro...
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作者：Lamont, OA
作者单位：University of Chicago; National Bureau of Economic Research
摘要：When the discount rate falls, investment should rise. Thus with time-varying discount rates and instantly changing investment, investment should positively covary with current stock returns and negatively covary with future stock returns. Aggregate nonresidential U.S. investment contradicts both these implications, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, from a U.S. government survey of firms, are highly informative mea...
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作者：Kadapakkam, PR
作者单位：University of Texas System; University of Texas at San Antonio
摘要：Previous research documents positive ex-dividend day returns in excess of one percent in the unique institutional setting of Hong Kong, where neither dividends nor capital gains are taxed. Short-term arbitrage trades around the ex-day were hampered by physical settlement procedures. After the recent switch to an electronic settlement system, which enables such trades, ex-day abnormal returns have declined to an insignificant 0.17 percent. This drop is more pronounced fbr high-yield stocks, whi...
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作者：Lee, CMC; Swaminathan, B
作者单位：Cornell University
摘要：This study shows that past trading volume provides an important link between momentum and value strategics. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically price momentum effects reverse over the n...
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作者：Schultz, P
作者单位：University of Notre Dame
摘要：A traditional explanation for stock splits is that they increase the number of small shareholders who own the stock. A possible reason for the increase is that the minimum bid-ask spread is wider after a split and brokers have more incentive to promote a stock. I document a large number of small buy orders following Nasdaq and NYSE/AMEX splits during 1993 to 1994. I also find strong evidence that trading costs increase, and weak evidence that costs of market making decline following splits. Th...
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作者：Lo, AW; Mamaysky, H; Wang, J
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：Technical analysis, also known as charting, has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the: beholder. In this paper, we propose a systematic and automatic approach to techn...
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作者：Routledge, BR; Seppi, DJ; Spatt, CS
作者单位：Carnegie Mellon University
摘要：We develop an equilibrium model of the term structure of forward prices for storable commodities. As a consequence of a nonnegativity constraint on inventory, the spot commodity has an embedded timing option that is absent in forward contracts. This option's value changes over time due to both endogenous inventory and exogenous transitory shocks to supply and demand. Our model makes predictions about Volatilities of forward prices at different horizons and shows how conditional violations of t...
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作者：Cvitanic, J
作者单位：University of Southern California
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作者：Kaul, A; Mehrotra, V; Morck, R
作者单位：University of Alberta
摘要：Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event wee...
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作者：Scharfstein, DS; Stein, JC
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; National Bureau of Economic Research
摘要：We develop a two-tiered agency model that shows how rent-seeking behavior on the part of division managers can subvert the workings of an internal capital market. By rent-seeking, division managers can raise their bargaining power and extract greater overall compensation from the CEO. And because the CEO is herself an agent of outside investors, this extra compensation may take the form not of cash wages, but rather of preferential capital budgeting allocations. One interesting feature of our ...
