Journal of Financial Economics
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Опубликовано на портале: 03-12-2007Steven L. Jones Journal of Financial Economics. 1993. Vol. 33. No. 1.
This paper reconciles the relative pricing controversy between DeBondt and Thaler (1985, 1987), Chan (1988), and Ball and Kothari (1989). The negative autocorrelation in long-horizon index returns, along with the selection criterion of the contrarian strategy, can explain the positive covariance between time-varying betas and risk premiums. However, test-period beta estimates reflect the reversal of earnings expectations associated with underlying factors. The controversy thus reduces to the debate of Fama and French (1988) and Poterba and Summers (1988) over the source of the temporary price components in the market index. Rational changes in expected returns and cash flows explain most of the cross-sectional variation in returns
Portfolio Return Autocorrelation [статья]
Опубликовано на портале: 25-10-2007Timothy 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: 02-10-2003Michael J. Barclay, Clifford G. Holderness, Jeffrey Pontiff Journal of Financial Economics. 1993. Vol. 33. No. 3. P. 263-291.
The greater the managerial stock ownership in closed-end funds, the larger are the discounts to net asset value. The average discount for funds with blockholders is 14%, whereas the average discount for funds without blockholders is only 4%. This relation is robust over time and to various model specifications that control for other factors that affect discounts. We argue that blockholders receive private benefits that do not accrue to other shareholders and that they veto open-ending proposals to preserve these benefits. We support this argument by documenting a range of potential private benefits received by blockholders in closed-end funds.
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.