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 306 resources
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I study the large premium (82 percent) attributed to voting shares on the Milan Stock Exchange. The premium varies according to the ownership structure and the concentration of the voting rights, and it can be rationalized in the presence of enormous private benefits of control. A case study seems to indicate that in Italy private benefits of control can easily be worth more than 60 percent of the value of nonvoting equity. A tentative explanation for these findings is provided.
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We propose alternative generalized method of moments (GMM) tests that are analytically solvable in many econometric models, yielding in particular analytical GMM tests for asset pricing models with time-varying risk premiums. We also provide simulation evidence showing that the proposed tests have good finite sample properties and that their asymptotic distribution is reliable for the sample size commonly used. We apply our tests to study the number of latent factors in the predictable variations of the returns on portfolios grouped by industries. Using data from October 1941 to September 1986 and two sets of instrumental variables, we find that the tests reject a one-factor model but not a two-factor one.
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This paper examines the efficiency of the legal gambling market for major league baseball. Weak-form tests of market efficiency within and across odds lines are performed. Surprisingly, the consistently observed favorite-longshot bias in racetrack betting is shown to exist in reverse for baseball bettors. However, these and other deviations from efficiency are shown to be insufficient to allow for profitable betting strategies when commissions are considered.
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The authors develop a model of production and exchange with uncertainty concerning the quality of commodities and study the role of fiat money in ameliorating frictions caused by private information. The model is specified so that, without private information, only high-quality commodities are produced and there is no welfare gain from using money. With private information, there can be equilibria (and sometimes multiple equilibria) where low-quality commodities are produced and money can increase welfare. Money works by promoting useful production and exchange. In efficient monetary equilibria, agents adopt strategies that increase the probability of acquiring high-quality output. Copyright 1994 by American Economic Association.
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This article investigates empirically the comovements of the conditional mean and volatility of stock returns. It extends the results in the literature by demonstrating the role of the commercial paper-Treasury yield spread in predicting time variation in volatility. The conditional mean and volatility exhibit an asymmetric relation, which contrasts with the contemporaneous relation that has been tested previously. The volatility leads the expected return, and this time-series relation is documented using offset correlations, short-horizon contemporaneous correlations, and a vector autoregression. These results bring into question the value of modeling expected returns as a constant function of conditional volatility.
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Average postwar expansions are twice as long as prewar expansions and contractions are one-half as long. This paper investigates three possible explanations. The first explanation is that shocks to the economy have been smaller in the postwar period. The second explanation is that the composition of output has shifted from very cyclical sectors to less cyclical sectors. The third explanation is that the apparent stabilization is largely spurious and is caused by differences in the way that prewar and postwar business-cycle reference dates were chosen by the National Bureau of Economic Research The evidence presented in this paper favors this third explanation. Copyright 1994 by American Economic Association.
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