Review of Financial Studies
Опубликовано на портале: 25-10-2007Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 1994. Vol. 7. No. 3. P. 539-573.
This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns.
Опубликовано на портале: 02-10-2003Owen Lamont, Christopher Polk, Jesus Saa-Requejo Review of Financial Studies. 2001. Vol. 14. No. 2. P. 529-554.
Authors tested whether the impact of financial constraints on firm value is observable in stock returns. They formed portfolios of firms based on observable characteristics related to financial constraints, and test for common variation in stock returns. Financially constrained firms stock returns move together over time, suggesting that constrained firms are subject to common shocks. Constrained firms have low average stock returns in our 1968-1997 sample of growing manufacturing firms. They finded no evidence that the relative performance of constrained firms reflects monetary policy, credit conditions, or business cycles.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Robert H. Litzenberger, Jerold B. Warner Review of Financial Studies. 1990. Vol. 3. No. 2. P. 233-253.
New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.