A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.

• Degeorge, F., & Zeckhauser, R. (1993). The Reverse LBO Decision and Firm Performance: Theory and Evidence. The Journal of Finance, 48, 1323–1348.

  The authors investigate the transition from private to public ownership of companies that had previously been subject to leveraged buyouts. They show that the information asymmetry problem firms face when they go to public markets for equity, as well as behavioral and debt overhang effects, will produce a pattern in which superior performance before an offering should be expected, with disappointing performance subsequently. The authors find empirical evidence of this phenomenon by studying sixty-two reverse leveraged buyouts that went public between 1983 and 1987. The market appears to anticipate this pattern.

• Ederington, L. H., & Lee, J. H. (1993). How Markets Process Information: News Releases and Volatility. The Journal of Finance, 48, 1161–1191.

  The authors examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. They find these announcements are responsible for most of the observed time-of-day and day-of-the-week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. The authors identify those announcements with the greatest impact on these markets.

• Giammarino, R. M., Lewis, T. R., & Sappington, D. E. M. (1993). An Incentive Approach to Banking Regulation. The Journal of Finance, 48, 1523–1542.

  The authors examine the optimal design of a risk-adjusted deposit insurance scheme when the regulator has less information than the bank about the inherent risk of the bank's assets (adverse selection) and when the regulator is unable to monitor the extent to which bank resources are being directed away from normal operations toward activities that lower asset quality (moral hazard). Under a socially optimal insurance scheme: (1) asset quality is below the first-best level, (2) higher-quality banks have larger asset bases and face lower capital adequacy requirements than lower-quality banks, and (3) the probability of failure is equated across banks.

• Grier, K. B., & Perry, M. J. (1993). The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity. The Journal of Finance, 48, 1445–1455.

  Most current empirical work finds no evidence that money shocks lower interest rates. The authors show that these nonresults are mainly due to a failure to model the conditional heteroskedasticity of interest rates. Autoregressive conditional heteroskedasiticity (ARCH) models find a significant liquidity effect where ordinary least squares (OLS) models do not. The existence of a liquidity effect is found using different models and sample periods when ARCH models are used in estimation but never when OLS is employed.

• Handa, P., Kothari, S. P., & Wasley, C. (1993). Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval. The Journal of Finance, 48, 1543–1551.

  The capital asset pricing model's (CAPM) primary empirical implication is a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). Recent research indicates that inferences about the risk-return relation are sensitive to the choice of the return measurement interval. The authors perform multivariate tests of the Sharpe-Lintner CAPM using monthly and annual returns on market-value-ranked portfolios. The CAPM is rejected using monthly returns, a result consistent with previous research. In contrast, the authors fail to reject the CAPM when annual holding period returns are used.

• Jarrell, G. A., & Seguin, P. J. (1993). The Irrelevance of Margin: Evidence Form the Crash Of’87. The Journal of Finance, 48, 1456–1473.

  Following the crash of 1987, one contentious regulatory issue has been whether margin activity exacerbated the decline in equity values. The authors contrast the crash behavior of NASDAQ securities eligible for margin trading with the behavior of ineligible ones. Consistent with the hypothesis that margin-eligible securities were more frequently subjected to margin calls and forced sales, they find that abnormal volumes were uniformly larger for eligible securities. However, there is no evidence that this activity provoked additional price depreciation. Margin-eligible securities actually fell by one percent less than the ineligible securities over the period.

• Jegadeesh, N. (1993). Treasury Auction Bids and the Salomon Squeeze. The Journal of Finance, 48, 1403–1419.

  Recent press accounts claim that collusion is common practice in Treasury auctions and that as a result the auction profits are excessive. But, this paper finds that the auction prices are on average marginally higher than the secondary market bid prices. The auction profits, however, are systematically related to the total fraction of winning bids tendered by banks and dealers. The postauction prices of the two-year notes in which Salomon Brothers had a 94 percent holding are also examined. The secondary market prices of these notes were significantly higher than the estimated competitive prices in the four-week postissue period.

• Paul, J. M. (1993). Crowding Out and the Informativeness of Security Prices. The Journal of Finance, 48, 1475–1496.

  Individual investors trade less aggressively on any particular piece of information as more investors observe it. The trades of the new investors observing a piece of information 'crowd out'some of the trades of the old investors who observe that same piece of information. This paper shows that when traders are risk averse, these crowding out effects lead the proportions of traders who choose to observe one signal versus another to differ from the proportions that maximize the informativeness of prices.

• Slovin, M. B., & Sushka, M. E. (1993). Ownership Concentration, Corporate Control Activity, and Firm Value: Evidence From the Death of Inside Blockholders. The Journal of Finance, 48, 1293–1321.

  The authors analyze how ownership concentration affects firm value and control of public companies by examining effects of deaths of inside blockholders. They find shareholder wealth increases, ownership concentration falls, and extensive corporate control activity ensues. Share price responses are related to the deceased's equity stake. Control group holdings fall for two-thirds of the firms due to either the estate's dispersal or inheritors selling stock. A majority of firms become targets of control bids: three-quarters of bids are successful; one-third are hostile. The authors' evidence is broadly consistent with Stulz's (1988) model of the relationship between ownership concentration and firm value.

• Amin, K. I., & Ng, V. K. (1993). Option Valuation With Systematic Stochastic Volatility. The Journal of Finance, 48, 881–910.

  The authors use an extension of the equilibrium framework of M. Rubinstein (1976) and M. Brennan (1979) to derive an option valuation formula when the stock return volatility is both stochastic and systematic. Their formula incorporates a stochastic volatility process as well as a stochastic interest rate process in the valuation of options. If the 'mean,'volatility, and 'covariance' processes for the stock return and the consumption growth are predictable, the authors' option valuation formula can be written in 'preference-free'form. Further, many popular option valuation formulae in the literature can be written as special cases of their general formula.