Robert W. Holthausen, Robert E. Verrecchia, The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market, Journal of Accounting Research, Vol. 26, No. 1 (Spring, 1988), pp. 82-106

Abstract. This study examines the volume of trading in the stock of 34 Canadian companies that initiated a policy of regular cash dividends during the period 1972–1982. Using a time‐series methodology linked to changes in Canadian tax legislation, we test whether the volume of trading surrounding first‐time dividend adoptions declined after 1978, a year when tax legislation changed the taxation of dividends toward tax neutrality for investors in high tax brackets. We observe a significant trading volume decline after 1978, which we interpret as implying that fewer investors wanted to dispose of initial dividend stocks after 1978. The result is inconsistent with dividend irrelevance theories and possibly points to tax clientele relevance in Canada. Résumé. Les auteurs examinent le volume de titres négociés pour 34 sociétés canadiennes ayant mis en place une politique de versement périodique de dividendes en espèces durant la période 1972–1982. À l'aide d'une méthodologie de séries chronologiques liée aux changements apportés à la législation fiscale canadienne, les auteurs vérifient si le volume des titres négociés dans le contexte de l'adoption initiale de cette politique de dividendes a décliné après 1978, année au cours de laquelle le fisc a modifié l'imposition des dividendes pour pencher vers la neutralité fiscale pour les investisseurs appartenant aux tranches d'impôt élevées. Ils observent un déclin appréciable du volume de titres négociés après 1978, déclin qui suppose, selon eux, qu'un moins grand nombre d'investisseurs ont voulu se défaire de telles actions après 1978. Ce résultat s'oppose aux théories de la non‐pertinence du dividende et pourrait indiquer la pertinence de la «clientèle fiscale» au Canada.

Journal Article Short-Run Models and Long-Run Forecasts: A Note on the Permanence of Output Fluctuations Get access Joseph E. Gagnon Joseph E. Gagnon Board of Governors of the Federal Reserve System Search for other works by this author on: Oxford Academic Google Scholar The Quarterly Journal of Economics, Volume 103, Issue 2, May 1988, Pages 415–424, https://doi.org/10.2307/1885122 Published: 01 May 1988

If a resource importing country can commit to the future development of a backstop tec hnology, such a development program can be used strategically to affe ct the pricing policy of a resource supplier. Previous studies have r evealed the interesting possibility that by delaying development of t he substitute, the importing country could benefit from a favorable p roduction response on the part of the exporting country. This paper d emonstrates that this effect can indeed occur, but the set of paramet ers for which it does occur is smaller than previously realized. The intuition behind this effect is further developed. Copyright 1988 by The Econometric Society.

The conventional paradigm that capital movements respond to differences in interest rates between countries and simultaneously reduce interest-rate differentials has been difficult to demonstrate empirically. This paper argues that such a demonstrati on may be feasible if a simultaneous model is specified that describe s the dynamics of adjustment and if a data interval is chosen that re veals the dynamics. Examination of U.S. and Canadian data from the 19 60s supports the argument-with monthly observations, that paradigm is strongly supported; with quarterly observations, capital flows and i nterest rates are not significantly related. Copyright 1988 by MIT Press.

We examine stock-market volatility around the quarterly expirations of stock index futures contracts and nonquarterly expirations of stock index options, using estimates of the volatility implicit in the option prices. The option prices reflect increases in the volatility of the underlying stock indexes around both quarterly and nonquarterly expiration dates. Analysis of the residual returns on index options provides evidence consistent with an unexpected increase in market volatility around expiration dates.

This paper develops and implements a technique for estimating a model of the bid/ask spread. The spread is decomposed into two components, one due to asymmetric information and one due to inventory costs, specialist monopoly power, and clearing costs. The model is estimated using NYSE common stock transaction prices in the period 1981–1983. Cross-sectional regression analysis is then used to relate time-series estimated spread components to other stock characteristics. The results cannot reject the hypothesis that significant amounts of NYSE common stock spreads are due to asymmetric information.