# Journal of Financial Economics

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Опубликовано на портале: 03-10-2003

*Richard Roll*Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.

Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
are explained.

Опубликовано на портале: 02-10-2003

*Michael J. Barclay*,

*Robert H. Litzenberger*Journal of Financial Economics. 1988. Vol. 21. No. 1. P. 71-99.

This paper examines the intraday market response to announcements of new equity issues.
For fifteen minutes following the announcement, there is abnormally high volume and
a -1.3% average return. There is also a small, but significant, negative average
return in the hour before the announcement. Issue size, intended use of proceeds,
and estimated profitability of new investment are uncorrelated with the announcement
effect. After the issuance of new shares, there is a significant price recovery of
1.5%. This evidence is inconsistent with many theoretical rationales for the negative
market reaction to new equity issue announcements.

Опубликовано на портале: 02-10-2003

*Michael J. Barclay*Journal of Financial Economics. 1997. Vol. 45. No. 1. P. 35-60.

This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE
or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large
and decline dramatically with exchange listing. When market makers use both odd and
even eighths, spreads are smaller and decline only slightly with exchange listing.
The large spreads observed when Nasdaq market makers avoid odd-eighths cannot be
explained by security-specific characteristics. Instead, the results support the
conclusion that the avoidance of odd-eighth quotes is used as a coordination device
among Nasdaq market makers to maintain supra-competitive bid-ask spreads.

Опубликовано на портале: 02-10-2003

*Michael J. Barclay*Journal of Financial Economics. 1987. Vol. 19. No. 1. P. 31-44.

This study examines the ex-dividend day behavior of common stock prices before the
enactment of the federal income tax. On ex-dividend days during the pre-tax period,
stock prices fell, on average, by the full amount of the dividend. The data are consistent
with the hypothesis that (i) investors in the pre-tax period value dividends and
capital gains as perfect substitutes and (ii) the differential taxation of dividends
and capital gains has since caused investors to discount the value of taxable cash
dividends in relation to capital gains.

**Investing in equity mutual funds**[статья]

Опубликовано на портале: 03-10-2003

*Lubos Pastor*,

*Robert F. Stambaugh*Journal of Financial Economics. 2002. Vol. 63. No. 3. P. 351-380.

Authors construct optimal portfolios of equity funds by combining historical returns
on funds and passive indexes with prior views about asset pricing and skill. By including
both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy
from managerial skill. Modest confidence in a pricing model helps construct portfolios
with high Sharpe ratios. Investing in active mutual funds can be optimal even for
investors who believe managers cannot outperfofm passive indexes. Optimal portfolios
exclude hot-hand funds even for investors who believe momentum is priced. Our large
universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.

Опубликовано на портале: 02-10-2003

*Michael R. Gibbons*Journal of Financial Economics. 1982. Vol. 10. No. 1. P. 3-27.

A variety of financial models are cast as nonlinear parameter restrictions on multivariate
regression models, and the framework seems well suited for empirical purposes. Aside
from eliminating the errors-in-the-variables problem which has plagued a number of
past studies, the suggested methodology increases the precision of estimated risk
premiums by as much as 76%. In addition, the approach leads naturally to a likelihood
ratio test of the parameter restrictions as a test for a financial model. This testing
framework has considerable power over past test statistics. With no additional variable
beyond , the substantive content of the CAPM is rejected for the period 1926–1975
with a significance level less than 0.001.

Опубликовано на портале: 03-10-2003

*Shmuel Kandel*,

*Robert F. Stambaugh*Journal of Financial Economics. 1987. Vol. 18. No. 1. P. 61-90.

A framework is presented for investigating the mean-variance efficiency of an unobservable
portfolio based on its correlation with a proxy portfolio. A sensitivity analysis
derives the highest correlation between the proxy and a portfolio that reverses the
inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation
between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges
from 0.76 to 0.48. We also test whether the correlation between the proxy and the
tangent portfolio exceeds a given level. This hypothesis is often rejected for the
NYSE-AMEX proxy at a correlation of 0.7.

Опубликовано на портале: 03-10-2003

*Robert C. Merton*Journal of Financial Economics. 1980. Vol. 8. No. 4. P. 323-361.

The expected market return is a number frequently required for the solution of many
investment and corporate finance problems, but by comparison with other financial
variables, there has been little research on estimating this expected return. Current
practice for estimating the expected market return adds the historical average realized
excess market returns to the current observed interest rate. While this model explicitly
reflects the dependence of the market return on the interest rate, it fails to account
for the effect of changes in the level of market risk. Three models of equilibrium
expected market returns which reflect this dependence are analyzed in this paper.
Estimation procedures which incorporate the prior restriction that equilibrium expected
excess returns on the market must be positive are derived and applied to return data
for the period 1926–1978. The principal conclusions from this exploratory investigation
are: (1) in estimating models of the expected market return, the non-negativity restriction
of the expected excess return should be explicity included as part of the specification:
(2) estimators which use realized returns should be adjusted for heteroscedasticity.

Опубликовано на портале: 02-10-2003

*Michael J. Barclay*,

*Neil D. Pearson*,

*Michael Steven Weisbach*Journal of Financial Economics. 1998. Vol. 49. No. 1. P. 3-43.

Despite the fact that taxable investors would prefer to defer the realization of
capital gains indefinitely, most open-end mutual funds regularly realize and distribute
a large portion of their gains. We present a model in which unrealized gains in the
fund's portfolio increase expected future taxable distributions, and thus increase
the present value of a new investor's tax liability. In equilibrium, managers interested
in attracting new investors pass through taxable capital gains to reduce the overhang
of unrealized gains. This model contains a number of empirical predictions that are
consistent with data on actual fund overhangs.

**Portfolio Return Autocorrelation**[статья]

Опубликовано на портале: 25-10-2007

*Timothy S. Mech*Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 307-334.

This paper investigates whether portfolio return autocorrelation can be explained
by time-varying expected returns, nontrading, stale limit orders, market maker inventory
policy, or transaction costs. Evidence is consistent with the hypothesis that transaction
costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost
model which predicts that prices adjust faster when changes in valuation are large
in relation to the bid-ask spread. Cross-sectional tests support
this prediction, but time-series tests do not.

Опубликовано на портале: 02-10-2003

*Michael J. Barclay*,

*Jerold B. Warner*Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 281-305.

We examine the proportion of a stock's cumulative price change that occurs in each
trade-size category, using transactions data for a sample of NYSE firms. Although
the majority of trades are small, most of the cumulative stock-price change is due
to medium-size trades. This evidence is consistent with the hypothesis that informed
trades are concentrated in the medium-size category, and that price movements are
due mainly to informed traders' private information.

Опубликовано на портале: 25-10-2007

*Kenneth R. French*,

*Richard Roll*Journal of Financial Economics. 1986. Vol. 17. No. 1. P. 5-26.

Asset prices are much more volatile during exchange trading hours than during non-trading
hours. This paper considers three explanations for this phenomenon:
(1) volatility is caused by public information which is more likely to arrive
during normal business hours;
(2) volatility is caused by private information which affects prices when informed
investors trade; and
(3) volatility is caused by pricing errors that occur during trading. Although
a significant fraction of the daily variance is caused by mispricing, the behavior
of returns around exchange holidays suggests that private information is the principle
factor behind high trading-time variances.

Опубликовано на портале: 02-11-2007

*Gregory N. Mankiw*,

*Stephen P. Zeldes*Journal of Financial Economics. 1991. Vol. 29. No. 1. P. 97-112.

Only one-fourth of U.S. families own stock. This paper examines whether the consumption
of stockholders differs from the consumption of non-stockholders and whether these
differences help explain the empirical failures of the consumption-based CAPM. Household
panel data are used to construct time series on the consumption of each group. The
results indicate that the consumption of stockholders is more volatile than that
of non-stockholders and is more highly correlated with the excess return on the stock
market. These differences help explain the size of the equity premium, although they
do not fully resolve the equity premium puzzle