[This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.]

Wayne R. Landsman, Aswath Damodaran, Using Shrinkage Estimators to Improve Upon Time-Series Model Proxies for the Security Market's Expectation of Earnings, Journal of Accounting Research, Vol. 27, No. 1 (Spring, 1989), pp. 97-115

Expected returns on common stocks and long-term bonds contain a term or maturity premium that has a clear business-cycle pattern (low near peaks, high near troughs). Expected returns also contain a risk premium that is related to longer-term aspects of business conditions. The variation through time in this premium is stronger for low-grade bonds than for high-grade bonds and stronger for stocks than for bonds. The general message is that expected returns are lower when economic conditions are strong and higher when conditions are weak.

This paper tests Baron's (1982) model of initial public offering (IPO) underpricing. That model relies on information asymmetries between issuers and underwriters and predicts that offer prices will be lower than would prevail in the absence of asymmetric information. We examine the initial public offerings of 38 investment banks that went public in the period 1970–1987 and participated in the distribution of their own securities. We find that contrary to the implication of Baron's model such self-marketed offerings are characterized by statistically significant underpricing comparable to that of other IPOs.

Using weekly call option prices on twenty-five stocks over a ten-year period (1975–1985) and calls on the S&P 500 stock-index futures, we find that ex ante market volatility follows a mixed mean-reverting diffusion with noise process. Changes in volatility are correlated across stocks and a marketwide volatility effect is found. Strong forces pull the volatility back to its long-term value. The findings suggest the development of new option pricing models.

This paper proposes tests of asset pricing models that allow for time variation in conditional covariances. The evidence indicates that the conditional covariances do change through time. Estimates of the expected excess return on the market divided by the variance of the market (reward-to-risk ratio) are presented for the Sharpe-Lintner CAPM, as well as a number of tests of the model specification. The patterns of the pricing errors through time suggest the model's inability to capture the dynamic behavior of assets returns.

We examine the determinants of “audit delay,” the number of calendar days from fiscal year‐end to the audit report date. A descriptive model of audit delay is tested on a sample of 465 companies listed on the Toronto Stock Exchange from 1977 to 1982. Although several variables included in the model are statistically significant, the proportion of variability in audit delay explained by the variables is low. Descriptive data are presented for variables consistently associated with audit delay over the six‐year period — auditor size, industry classification, existence of extraordinary items, and sign of net income. Some directions for future research are also suggested. Résumé. Les auteurs examinent les déterminants du «délai de vérification», soit le nombre de jours francs qui s'écoulent entre la fin de l'exercice financier et la publication du rapport des vérificateurs. Ils vérifient un modèle descriptif du délai de vérification sur un échantillon de 465 entreprises cotées à la bourse de Toronto, de 1977 à 1982. Bien que plusieurs variables incluses dans le modèle soient statistiquement significatives, la proportion de la variation du délai de vérification expliquée par ces variables est mince. Les auteurs présentent des données descriptives pour les variables associées de façon uniforme au délai de vérification, sur la période de six ans — la taille du cabinet de vérification, la classification du secteur, l'existence de postes extraordinaires et le caractère positif ou négatif du résultat net. Ils suggèrent également certaines pistes de recherche à envisager.