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作者：Barclay, MJ; Christie, WG; Harris, JH; Kandel, E; Schultz, PH
作者单位：University of Rochester; Vanderbilt University; University of Notre Dame; University System of Ohio; Ohio State University; Hebrew University of Jerusalem
摘要：The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measure...
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作者：Ritchken, P; Trevor, R
作者单位：University System of Ohio; Case Western Reserve University; Macquarie University
摘要：In this paper, we develop an efficient lattice algorithm to price European and American options under discrete time GARCH processes. We show that this algorithm is easily extended to price options under generalized GARCH processes, with many of the existing stochastic volatility bivariate diffusion models appearing as limiting cases. We establish one unifying algorithm that can price options under almost all existing GARCH specifications as well as under a large family of bivariate diffusions ...
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作者：Hargis, K
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作者：Kandel, E; Marx, LM
作者单位：Hebrew University of Jerusalem; University of Rochester
摘要：We present a model of Nasdaq that includes the two ways in which marketmakers compete for order flow: quotes and direct payments. Brokers in our model can execute small trades through a computerized system, preferencing arrangements with marketmakers, or vertical integration into market making. The comparative statics in our model differ from those of the traditional model of dealer markets, which does not capture important institutional features of Nasdaq. We also show that the empirical evid...
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作者：Graham, JR
作者单位：Duke University
摘要：A model is developed which implies that if an analyst has high reputation or low ability, or if there is strong public information that is inconsistent with the analyst's private information, she is likely to herd. Herding is also common when informative private signals are positively correlated across analysts. The model is tested using data from analysts who publish investment newsletters. Consistent with the model's implications, the empirical results indicate that a newsletter analyst is l...
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作者：Lyon, JD; Barber, BM; Tsai, CL
作者单位：University of California System; University of California Davis
摘要：We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is based on either a skewness-adjusted t-statistic or the empirically generated distribution of long-run abnormal returns. The second approach is based on calculation of mean monthly abnormal returns using ...
