A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 306 resources
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Traditional asset-pricing theories assume complete market participation, despite considerable empirical evidence that most investors participate in a limited number of markets. The authors show that once the participation decision is endogenized, market properties change dramatically. First, limited market participation can amplify the effect of liquidity trading relative to full participation; under certain circumstances, an arbitrarily small aggregate liquidity shock can cause significant price volatility. Second, there exist multiple equilibria with very different participation regimes and levels of asset-price volatility. Third, under plausible conditions the equilibria can be Pareto-ranked; the Pareto-preferred equilibrium is characterized by greater participation and lower volatility. Copyright 1994 by American Economic Association.
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The authors develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. The authors find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next they relate their measure of public information to aggregate measures of intraday market activity. The authors' results suggest a positive, moderate relationship between public information and trading volume but an insignificant relationship with price volatility.
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This article derives testable restrictions on equilibrium asset prices when investors have the option to time the realization of their capital gains and losses for tax purposes. The tax-timing option alters both the magnitude and timing of equity returns relative to those in a tax-free model. The tax-induced restrictions are empirically examined, and the tax rates and preference parameters are estimated. While the tax-free model can be rejected in favor of the tax-based model as the specified alternative, the tax-based model is still unable to adequately explain cross-sectional differences in asset returns.
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The authors use panel data and information about differences in state tax rates to separate the effects of transitory and permanent tax rate changes on capital-gains realizations behavior. The estimated effect of permanent change is substantially smaller than the effect of transitory change. The difference is even larger than differences between estimates from past micro data studies, which have primarily measured the transitory effect, and time-series studies, which have primarily measured the permanent effect. The authors' results resolve a long-standing conflict between micro data and time-series studies of how marginal tax rates affect capital-gains realizations behavior. Copyright 1994 by American Economic Association.
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The authors model the decision to replace durable capital when intensity is variable. Decisions of this type include land-redevelopment decisions where the density of residential or commercial development is a choice variable as well as capital-replacement decisions where capacity is variable. The authors provide a general yet simple formation of the problem using an optimal-stopping framework. They characterize the value of the project, the timing of investment, and the intensity of development. The authors show that intensity interacts in important ways with timing, taxes, and project values. The ability to vary intensity raises hurdle rents and delays development decisions. Copyright 1994 by American Economic Association.
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On April 1, 1992, New Jersey's minimum wage rose from 4.25 to 5.05 per hour. To evaluate the impact of the law, the authors surveyed 410 fast-food restaurants in New Jersey and eastern Pennsylvania before and after the rise. Comparisons of employment growth at stores in New Jersey and Pennsylvania (where the minimum wage was constant) provide simple estimates of the effect of the higher minimum wage. The authors also compare employment changes at stores in New Jersey that were initially paying high wages (above $5.00) to the changes at lower-wage stores. They find no indication that the rise in the minimum wage reduced employment. Copyright 1994 by American Economic Association.
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This article examines both the shareholder wealth effects of employee stock ownership plans (ESOPs) announced by firms subject to takeover pressure and the takeover incidence of targets with and without ESOPs. Although we do not find that defensive ESOPs significantly reduce shareholder wealth on average, we identify two factors - the change in managerial and employee ownership due to the ESOP and the simultaneous announcement of other defensive tactics - that are associated with negative stock price reactions. We find that ESOPs are strong deterrents to takeover. ESOP targets that are acquired earn higher returns than targets without ESOPs, but the difference is not statistically significant.
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Differences in property rights create a motive for trade among otherwise identical regions. Two regions with identical technologies, endowments, and preferences will trade if one, the South, has ill-defined property rights on environmental resources. Trade with a region with well-defined property rights transmits and enlarges the problem of the commons: the North overconsumes underpriced resource-intensive products imported from the South. This occurs even though trade equalizes all prices, of goods and factors, worldwide. Taxing the use of resources in the South is unreliable as it can lead to more overextraction. Property-rights policies may be more effective. Copyright 1994 by American Economic Association.
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This article examines the role of measurement biases, due to order flow effects, in abnormal split ex-day returns. The authors conjecture that postsplit orders consist of numerous small buyers and fewer larger sellers. This change in order flow causes closing prices to occur more frequently at the ask price, consistent with M. T. Maloney and J. H. Mulherin (1992) and M. Grinblatt and D. Keim (1991). In addition, this change causes specialists' spreads to increase, perhaps to offset larger average inventories. The authors examine both NYSE and NASDAQ samples and find that order flow biases can explain approximately 80 percent (48 percent) of the NYSE (NASDAQ) ex-day return.
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