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作者：Kahn, C; Pennacchi, G; Sopranzetti, B
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Rutgers University System; Rutgers University New Brunswick
摘要：Like security prices, retail deposit interest rates cluster around integers and even fractions. However, explanations for security price clustering are incompatible with deposit rate clustering. A theory based on the limited recall of retail depositors is proposed. It predicts that banks tend to set rates at integers and that rates are sticky at these levels. The propensity for integer rates increases with the level of wholesale interest rates and deposit market concentration. When banks set n...
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作者：Daigler, RT; Wiley, MK
作者单位：State University System of Florida; Florida International University; State University System of Florida; Florida Atlantic University
摘要：We examine the volatility-volume relation in futures markets using volume data categorized by type of trader. We find that the positive volatility-volume relation is driven by the general public, a group of traders who are distant from the trading floor and therefore without precise information on order flow. Clearing members and floor traders who observe order flow often decrease volatility. Our findings are consistent with Shalen's (1993) hypothesis that uninformed traders who cannot differe...
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作者：Coval, JD; Moskowitz, TJ
作者单位：University of Michigan System; University of Michigan; University of Chicago
摘要：The strong bias in favor of domestic securities is a well-documented characteristic of international investment portfolios, yet we show that the preference for investing close to home also applies to portfolios of domestic stocks. Specifically, U.S. investment managers exhibit a strong preference for locally headquartered firms, particularly small, highly levered firms that produce nontraded goods. These results suggest that asymmetric information between local and nonlocal investors may drive...
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作者：Errunza, V; Hogan, K; Hung, MW
作者单位：McGill University; Barclays; National Taiwan University
摘要：We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-made diversification have become statistically and...
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作者：Lins, K; Servaes, H
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of London; London Business School
摘要：The valuation effect of diversification is examined for large samples of firms in Germany, Japan, and the United Kingdom for 1992 and 1994. We find no significant diversification discount in Germany, but a significant diversification discount of 10 percent in Japan and 15 percent in the U.K. Concentrated ownership in the hands of insiders enhances the valuation effect of diversification in Germany, but not in Japan or the U.K. For Japan, only firms with strong links to an industrial group have...
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作者：Fama, EF; French, KR
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：We estimate the internal rates of return earned by nonfinancial firms on (i) the initial market values of their securities and (ii) the cost of their investments, The return on value is an estimate of the overall corporate cost of capital. The estimate of the real cost of capital for 1950-96 is 5.95 percent. The real return on cost is larger, 7.38 percent, so on average corporate investment seems to be profitable. A by-product of calculating these returns is information about the history of co...
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作者：Shumway, T; Warther, VA
作者单位：University of Michigan System; University of Michigan
摘要：We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are la;ge and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of -55 percent for missing performance-related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that th...
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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：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：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...
