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

• Balduzzi, P., Bertola, G., & Foresi, S. (1995). Asset Price Dynamics and Infrequent Feedback Trades. The Journal of Finance, 50, 1747–1766.

  This article combines the continuous arrival of information with the infrequency of trades and investigates the effects on asset price dynamics of positive- and negative-feedback trading. Specifically, the authors model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility and feedback traders who mechanically respond to price changes and infrequently submit market orders. They show that positive-feedback strategies increase the volatility of stock returns and the response of stock prices to dividend news. Conversely, the presence of negative-feedback traders makes stock returns less volatile and prices less responsive to dividends.

• Biais, B., Hillion, P., & Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance, 50, 1655–1689.

  As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases).

• Black, F. (1995). Interest Rates as Options. The Journal of Finance, 50, 1371–1376.

  Since people can hold currency at a zero nominal interest rate, the nominal short rate cannot be negative. The real interest rate can be and has been negative, since low risk real investment opportunities like filling in the Mississippi delta do not guarantee positive returns. The inflation rate can be and has been negative, most recently (in the United States) during the Great Depression. The nominal short rate is the 'shadow real interest rate' (as defined by the investment opportunity set) plus the inflation rate, or zero, whichever is greater. Thus the nominal short rate is an option. Longer term interest rates are always positive, since the future short rate may be positive even when the current short rate is zero. We can easily build this option element into our interest rate trees for backward induction or Monte Carlo simulation: just create a distribution that allows negative nominal rates, and then replace each negative rate with zero.

• Borokhovich, K. A. (1995). Finance Research Productivity and Influence. The Journal of Finance, 50, 1691–1717.

  This study examines differences in finance research productivity and influence across 661 academic institutions over the five-year period from 1989 through 1993. The authors find that forty institutions account for over 50 percent of all articles published by sixteen leading journals over the five-year period; sixty-six institutions account for two-thirds of the articles. Influence is more skewed, with as few as twenty institutions accounting for 50 percent of all citations to articles in these journals. The number of publications and publication influence increase with faculty size and academic accreditation. Prestigious business schools are associated with high publication productivity and influence. Coauthors are Robert J. Bricker, Kelly R. Brunarski, and Betty J. Simkins.

• Braun, P. A., Nelson, D. B., & Sunier, A. M. (1995). Good News, Bad News, Volatility, and Betas. The Journal of Finance, 50, 1575–1603.

  The authors investigate the conditional covariances of stock returns using bivariate exponential ARCH models. These models allow market volatility, portfolio-specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., 'leverage' effects. Using monthly data, the authors find strong evidence of conditional heteroscedasticity in both market and nonmarket components of returns, and weaker evidence of time-varying conditional betas. Surprisingly, while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket sources of risk.

• Burkart, M. (1995). Initial Shareholdings and Overbidding in Takeover Contests. The Journal of Finance, 50, 1491–1515.

  Within the context of takeovers, this paper shows that in private-value auctions the optimal individually rational strategy for a bidder with partial ownership of the item is to overbid, i.e., to bid more than his valuation. This strategy, however, can lead to an inefficient outcome and the winning bidder making a net loss. Further, the overbidding result implies that the presence of a large shareholder increases the bid premium in single-bidder takeovers at the expense of reducing the probability of the takeover actually occurring.

• Crabbe, L. E., & Turner, C. M. (1995). Does the Liquidity of a Debt Issue Increase With Its Size? Evidence From the Corporate Bond and Medium-Term Note Markets. The Journal of Finance, 50, 1719–1734.

  To investigate the liquidity of large issues, this study tests for yield differences between corporate bonds and medium-term notes. In the sample, medium-term notes have an average issue size of 4 million, compared with 265 million for bonds. Among medium-term notes that have the same issuance date, the same maturity date, and the same corporate issuer, the authors find no relation between size and yields. Moreover, bonds and medium-term notes have statistically equivalent yields. Thus, rather than suggesting that large issues have greater liquidity, these findings indicate that large and small securities issued by the same borrower are close substitutes.

• Craine, R. (1995). Fairly Priced Deposit Insurance and Bank Charter Policy. The Journal of Finance, 50, 1735–1746.

  The thrust of current deposit insurance reform–risk-based insurance premiums and capital requirements–is an effort to price deposit insurance more fairly. Fairly pricing deposit insurance eliminates inequitable wealth transfers but it does not lead to an efficient equilibrium. This paper shows that an alternative charter policy results in an efficient separating equilibrium.

• Dharan, B. G., & Ikenberry, D. L. (1995). The Long-Run Negative Drift of Post-Listing Stock Returns. The Journal of Finance, 50, 1547–1574.

  After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, postlisting performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long-run phenomena, poor postlisting performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing before a decline in performance. Poor postlisting performance is not observed in larger firms.

• Gompers, P. A. (1995). Optimal Investment, Monitoring, and the Staging of Venture Capital. The Journal of Finance, 50, 1461–1489.

  This paper examines the structure of staged venture capital investments when agency and monitoring costs exist. Expected agency costs increase as assets become less tangible, growth options increase, and asset specificity rises. Data from a random sample of 794 venture-capital-backed firms support the predictions. Venture capitalists concentrate investments in early stage and high technology companies where informational asymmetries are highest. Decreases in industry ratios of tangible assets to total assets, higher market-to-book ratios, and greater R&D intensities lead to more frequent monitoring. Venture capitalists periodically gather information and maintain the option to discontinue funding projects with little probability of going public.