A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 332 resources
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This paper analyzes how the daily opening and closing of financial markets affect trading volume. The authors model the desire to trade at the beginning and end of the day a a function of overnight return volatility. NYSE data from 1933-88 indicate that closing volume is positively related.to expected overnight volatility, while volume at the open is positively related to both expected and unexpected volatility from the previous night. The authors interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed. This desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers.
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The Federal Trade Commission's action to eliminate basing-point pricing in the soft plywood industry during the mid 1970s created a natural experiment: the author finds that the FTC's action had no effect on the delivered price of the base-site product (Douglas fir plywood) but decreased the delivered price of the non-base-site product (pine plywood) for many consumers. The evidence suggests that the detrimental effects of basing-point pricing for economic welfare were reflected entirely in the behavior of non-base-site firms. Copyright 1992 by American Economic Association.
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The authors characterize the conditions under which efficient portfolios put small weights on individual assets. These conditions bound mean returns with measures of average absolute covariability between assets. The bounds clarify the relationship between linear asset pricing models and well-diversified efficient portfolios. The authors argue that the extreme weightings in sample efficient portfolios are due to the dominance of a single factor in equity returns. This makes it easy to diversify on subsets to reduce residual risk, while weighing the subsets to reduce factor risk simultaneously. The latter involves taking extreme positions. This behavior seems unlikely to be attributable to sampling error.
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This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. The authors find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.
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This paper examines justifications of the rational-expectations hypothesis that rely on the analysis of the agents' mental forecasting ("educing") activity (which involves "forecasting the forecasts" of others, etc.). The corresponding concept of eductive learning stability, based on the game-theoretical concept of rationalizability, is primarily used within the classical Muth model. Conditions for coordination of beliefs are interpreted and discussed; they are robust to the introduction of noise. More generally, eductive stability fits economic intuition on coordination: stability increases when the industry product differentiation increases and when decisions are sequential and observable. Copyright 1992 by American Economic Association.
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The leading explanation for the positive price response surrounding tender offer share repurchase and specially designated dividend (SDD) announcements is the information signaling hypothesis. This paper reexamines these announcements to determine if Jensen's free cash-flow theory also has explanatory power. Lang and Litzenberger's (1989) findings suggest an important role for the free cash-flow theory in explaining the market's reaction to dividend changes. In contrast, they find the market's reaction to share repurchases and SDDs is approximately the same for both high-Q and low-Q firms. They thus have an empirical puzzle: If Jensen's free cash-flow theory applies to dividend changes, it is difficult to see why it does not also apply to the analogous events examined here.
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This paper investigates the effect of setup costs on the pricing of investment banking services. The existence of setup costs is predicted to result in lower underwriter spreads in initial public offerings for firms that are expected to issue again. Consistent with this prediction, the author finds significantly lower spreads for firms that make subsequent issues. He also finds that a firm's likelihood of changing underwriters in a subsequent offer is related to the time between offerings and the underwriter's pricing performance in the initial public offerings. These results suggest that the deviations from optimal initial public offerings pricing carry a penalty for the underwriter.
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Several experimental sessions were conducted to elicit certainty equivalents for a sequence of lotteries involving real monetary outcomes. The opportunity to conduct sessions in the People's Republic of China afforded the ability to offer very large monetary incentives relative to subjects' living costs; in the highest payoff condition, subjects earned three times their normal monthly revenue in the course of a two-hour experiment. Results indicate a statistically significant impact of the level of monetary incentives on revealed risk preferences. However, even under extreme monetary incentives, subjects demanded amounts well in excess of expected value for low-probability gain prospects. Copyright 1992 by American Economic Association.
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