Всего статей в данном разделе : 115
Опубликовано на портале: 25-10-2007David M. Cutler, James Michael Poterba, Lawrence H. Summers American Economic Review. 1990. Vol. 80. No. 2. P. 63-68.
This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them. Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the characteristic return patterns might be generated, and also to address the long-standing question of whether profitable speculation stabilizes asset markets.
Опубликовано на портале: 02-10-2003Michael 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.
Stock Index Autocorrelation and Cross-Autocorrelations of Size-Sorted Portfolios in the Japanese Market [статья]
Опубликовано на портале: 03-11-2007Iwaisako Tokuo Discussion Paper Series of Hitotsubashi University. 2007.
Following Lo and MacKinlay's work on the U.S. market (1988, 1990), this paper investigates the autocorrelation of the market index and the cross-autocorrelations of size-sorted portfolios in the Japanese market. The structure of the cross-autocorrelations in the Japanese market is very similar to that of the U.S. in the sense that there are lead-lag relations running from larger stocks to smaller stocks, which will create positive autocorrelation in the market index. Although we have found no autocorrelation in the popular Japanese TOPIX market index, it is because TOPIX puts much more weight on larger stocks compared to the CRSP index for the U.S. market. However, such a cross-autocorrelation structure disappeared during the latter half of the 1990s, as the largest stocks in the Japanese market began to exhibit negative autocorrelation. The possibility of a serious financial crisis during this period provides an explanation for negative autocorrelation. Some empirical evidence is provided for this explanation.
Опубликовано на портале: 25-10-2007Andrew W. Lo, A. Craig MacKinlay Review of Financial Studies. 1988. Vol. 1. No. 1. P. 41-66.
In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sampleperiod (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted porfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of assetprices.
Stock Return Autocorrelation and Institutional Investors: The Case of American Depository Receipt [статья]
Опубликовано на портале: 25-10-2007Diane DeQing Li, Kennet Yung Review of Accounting and Finance. 2006. Vol. 5. No. 1. P. 45-58.
Though stock portfolio return autocorrelation is well documented in the literature, its cause is still not clearly understood. Presently, evidence of private information induced stock return autocorrelation is still very limited. The difficulty in obtaining foreign country information by small investors makes the private information of institutional investors in the ADR (American Depository Receipt) market more significant and influential. As such, the ADR market provides a favorable environment for testing the effect of private information on return autocorrelation. The purpose of this paper is to address this issue.
Опубликовано на портале: 25-10-2007Kenneth 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: 03-12-2007Ana Carvajal, Jennifer A. Elliott IMF, Working Paper. 2007.
This paper examines the strengths and weaknesses of securities regulatory systems worldwide with a view to a better understanding of common problems and areas of global concern. We found that a consistent theme emerges regarding the lack of ability of regulators to effectively enforce compliance with existing rules and regulation. In many countries, a combination of factors, including insufficient legal authority, a lack of resources, political will and skills, has undermined the regulator's capacity to effectively execute regulation. This weakness is more acute in areas of increased technical complexity such as standards for and supervision of the valuation of assets and risk management practices.
Опубликовано на портале: 19-11-2007Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, Richard Roll International Economic Review. 1969. Vol. 10. No. 1. P. 1-21.
There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an "efficient" market, i.e., a market that adjusts rapidly to new information. It is important to note, however, that in the empirical work to date the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specijc kinds of new information. The prime concern of this paper is to examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split
Опубликовано на портале: 02-11-2007Gregory 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
Опубликовано на портале: 16-11-2007Eugene F. Fama, Kenneth R. French Journal of Finance. 1992. Vol. 47. No. 2. P. 427-465.
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market beta, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in beta that is unrelated to size, the relation between market beta and average return is flat, even when beta is the only explanatory variable.
Опубликовано на портале: 22-10-2007Hakan Berument, Ercan Balaban Journal of Economics & Finance. 2001. Vol. 25. No. 2. P. 181-193.
This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
The Declining U.S. Equity Premium [статья]
Опубликовано на портале: 03-10-2003Ravi Jaganathan, Ellen R. McGrattan, Anna Scherbina FRB Quarterly Review. 2000. Vol. 24. No. 4. P. 3-19.
This study demonstrates that the U.S. equity premium has declined significantly during the last three decades. The study calculates the equity premium using a variation of a formula in the classic Gordon stock valuation model. The calculation includes the bond yield, the stock dividend yield, and the expected dividend growth rate, which in this formulation can change over time. The study calculates the premium for several measures of the aggregate U.S. stock portfolio and several assumptions about bond yields and stock dividends and gets basically the same result. The premium averaged about 7 percentage points during 192670 and only about 0.7 of a percentage point after that. This result is shown to be reasonable by demonstrating the roughly equal returns that investments in stocks and consol bonds of the same duration would have earned between 1982 and 1999, years when the equity premium is estimated to have been zero.
The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings [статья]
Опубликовано на портале: 22-06-2006John J. McConnell, Gregory B. Kadlec Journal of Finance. 1994. Vol. 49. No. 2. P. 611-636.
This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Mertons (1987) investor recognition factor and Amihud and Mendelsons (1986) liquidity factor as explanations of the change in share value. We find that, on average, firms earn abnormal returns of 5 percent in response to the listing announcement and that listing is associated an increase in number of shareholders, and a reduction in bid-ask spreads. Cross-sectional regressions provide support for both investor recognition and bid-ask spreads as sources of value from exchange listing.
Опубликовано на портале: 02-10-2003Michael J. Barclay, William G. Christie, Eugene Kandel, Jeffrey H. Harris, Paul H. Schultz Journal of Finance. 1999. Vol. 54. No. 1. P. 1-34.
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 measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
Опубликовано на портале: 02-10-2003Eugene Kandel, Michael J. Barclay, Leslie M. Marx Journal of Financial Intermediation. 1998. Vol. 7. No. 2. P. 130-150.
We study the effects of changes in bid-ask spreads on the prices and trading volumes of stocks that move from Nasdaq to the NYSE or Amex, and stocks that move from Amex to Nasdaq. When stocks move from Nasdaq to an exchange, their spreads typically decrease, but the reduction in spreads is larger when Nasdaq market makers avoid odd-eighth quotes. When stocks move from Amex to Nasdaq, their spreads typically increase, but again, the increase is larger when Nasdaq market makers avoid odd eighths. We use this data to isolate the effects of transaction costs on trading volume and expected returns. We find that higher transaction costs significantly reduce trading volume, but do not have a significant effect on prices