A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 720 resources
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Hidden capital exists whenever the accounting measure of a firm's net worth diverges from its economic value. Such unbooked capital has on-balance-sheet and off-balance-sheet sources. This paper develops a model to estimate both forms of hidden capital and to test hypotheses about their determinants. In effect, the analysis expands the two-index model by endogenizing the market and interest-rate sensitivities of any stock and decomposing each sensitivity into on-balance-sheet and off-balance-sheet elements. For a sample of banks during 1975-85, the model finds considerable variation in both forms of hidden capital.
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For homothetic time and state separable preferences, the coefficient of relative risk aversion is equal to the reciprocal of the elasticity of intertemporal substitution. This paper shows that, when the growth rate of consumption is independent and identically distributed, asset pricing models based upon preferences in which the coefficient of relative risk aversion and the elasticity of intertemporal substitution are no longer linked do not have more explanatory power. Further, in these stochastic environments, estimates of the coefficient of relative risk aversion in the standard preferences are measures of the true coefficient of relative risk aversion and not the elasticity of intertemporal substitutions. These results are fairly accurate descriptions of economies calibrated using United States annual data.
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In this paper, the authors document regularities in trading patterns of individual and institutional investors related to the day of the week. They find a relative increase in trading activity by individuals on Mondays. In addition, there is a tendency for individuals to increase the number of sell transactions relative to buy transactions, which might explain at least part of the weekend effect.
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This paper provides empirical support for the notion that autoregressive conditional heteroskedasticity in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to have significant explanatory power regarding the variance of daily returns, which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns. Furthermore, autoregressive conditional heteroskedasticity effects tend to disappear when volume is included in the variance equation.
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This paper evaluates the effects of events leading to the passage of the Garn-St. Germain Depository Institutions Act of 1982. The evidence suggests that the call for reform by President Reagan's Housing Commission and the Senate passage of the bill produced positive abnormal returns to stockholders of large savings and loans and commercial banks. Stockholders of small S&Ls and banks, on the other hand, generally experienced negative abnormal returns. Furthermore, when hopes of passage of the act faded, significant negative (positive) abnormal returns were experienced by stockholders of large (small) S&Ls and banks.
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This paper examines whether futures market data can be used to understand the behavior of real interest rates. Several ways of examining the data indicate that futures market data are not particularly informative about real interest rates. No only does this evidence cast some doubt on results in previous research that make use of futures market data to draw inferences about real interest rates, but it also indicates that future research on real interest rates may need to turn to a different line of attack.
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In a sample of 326 U.S. acquisitions between 1975 and 1987, three types of acquisitions have systematically lower and predominantly negative announcement period returns to bidding firms. The returns to bidding shareholders are lower when their firm diversifies, when it buys a rapidly growing target, and when its managers performed poorly before the acquisition. These results suggest that managerial objectives may drive acquisitions that reduce bidding firms' values.
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In this paper, the authors examine the market valuation effects of corporate saleleasebacks. Specifically, they test whether such transactions offer a net benefit to lessees or lessors by evaluating the impact on share prices from announcements of saleleasebacks of major corporate assets. Their evidence indicates that the announcements are associated with positive abnormal returns to lessees. They conclude that this positive market reaction results from an overall reduction in the present value of expected taxes occasioned by the transactions. The evidence also suggests that the gains from saleleasebacks accrue solely to lessee firms.
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This paper investigates the existence of equilibria with information-based black trading in a multiperiod market when no investor is constrained to block trade. Attention is restricted to equilibria in which a strategic uninformed institution (i.e., one which is forced to rebalance its portfolio, but is free to choose an optimal rebalancing strategy) is willing to trade a block rather than "break up" the block into a series of smaller trades. Examples of such equilibria are found and analyzed.
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This study investigates intraday relations between price changes and trading volumes of options and stocks for a sample of firms whose options traded on the Chicago Board Options Exchange during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.
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Topic
- Bond (63)
- Mergers and Acquisitions (14)
- Capital Structure (10)
- CEO (6)
- Director (5)
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- Journal Article (720)