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作者：Crowder, WJ; Wohar, ME
作者单位：University of Texas System; University of Texas Arlington; University of Nebraska System
摘要：Are nominal bonds appropriately discounted for taxes? Empirical estimates of the response of nominal interest rates to changes in inflation, the Fisher effect, have failed to produce a definitive answer. Four reasons have been put forward as possible explanations: (i) Tobin effects, (ii) fiscal illusion, (iii) peso problems, and (iv) different estimators. Utilizing data on taxable and tax-exempt bond interest rates and several different estimators, we find that the Fisher effect estimates are ...
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作者：Dunn, KB; Spatt, CS
作者单位：Carnegie Mellon University
摘要：We analyze the impact of a contract's length, callability, amortization, and original discount by arbitrage methods. Among instruments that are callable without penalty, longer instruments command a higher interest rate because the borrower possesses the option of repaying relatively more slowly. However, the rate on longer self-amortizing loans cannot be substantially larger than for shorter ones because the payments decrease with contract length. Bounds on the trade-off between points and ra...
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作者：Sullivan, R; Timmermann, A; White, H
作者单位：University of California System; University of California San Diego; University of London; London School Economics & Political Science
摘要：In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26...
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作者：Nofsinger, JR; Sias, RW
作者单位：Marquette University; Washington State University
摘要：We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive-feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in instituti...
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作者：Greene, J; Smart, S
作者单位：University System of Georgia; Georgia State University; Indiana University System; Indiana University Bloomington
摘要：How does increased noise trading affect market liquidity and trading costs? We use The Wall Street Journal's Investment Dartboard column, which stimulates noise trading, as a natural experiment to evaluate models of the bid-ask spread. We find that substantial increases in trading Volume and significant but temporary abnormal returns occur when analysts recommend stocks in this column, especially when recommendations come from analysts with successful contest track records. We also find an inc...
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作者：Shivdasani, A; Yermack, D
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University
摘要：We study whether CEO involvement in the selection of new directors influences the nature of appointments to the board. When the CEO serves on the nominating committee or no nominating committee exists, firms appoint fewer independent outside directors and more gray outsiders with conflicts of interest; Stock price reactions to independent director appointments are significantly lower when the CEO is involved in director selection. Our evidence may illuminate a mechanism used by CEOs to reduce ...
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作者：Ahn, DH; Boudoukh, J; Richardson, M; Whitelaw, RF
作者单位：University of North Carolina; University of North Carolina Chapel Hill; New York University; National Bureau of Economic Research
摘要：This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value-at-Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired ...
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作者：Hasbrouck, J
作者单位：New York University
摘要：This paper presents an empirical microstructure model of bid and ask quotes that features discreteness, random costs of market making, and ARCH volatility effects. Applied to intraday quotes at 15-minute intervals for Alcoa (a randomly chosen Dow stock), the results show that quote exposure costs contain stochastic components that are persistent and large relative to the deterministic intraday U components. Analysis of the filtered estimates of the system suggest that bid and ask costs contain...
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作者：Morck, R; Nakamura, M
作者单位：University of Alberta; University of British Columbia
摘要：Using a large sample of Japanese firm level data, we find that Japanese banks act primarily in the short term interests of creditors when dealing with firms outside bank groups. Corporate control mechanisms other than bank oversight appear necessary in these firms. When dealing with firms in bank groups, banks may act in the broader interests of a range of stakeholders, including shareholders. However, our findings are also consistent with banks propping up troubled bank group firms. We conclu...
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作者：Helwege, J; Turner, CM
作者单位：University System of Ohio; Ohio State University
摘要：Many theoretical bond pricing models predict that the credit yield curve facing risky bond issuers is downward-sloping. Previous empirical research (Sarig and Warga (1989), Fons (1994)) supports these models. Our study examines sets of bonds issued by the same firm with equal priority in the liability structure, but with different maturities, thus holding credit quality constant. We find, counter to prior research, that risky bonds typically have upward-sloping credit yield curves. Moreover, w...
