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 314 resources
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This study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit 'herding' behavior (i.e., buying and selling the same stocks at the same time). The authors find that 77 percent of the mutual funds were 'momentum investors,' buying stocks that were past winners; however, most did not systematically sell past losers. On average, funds that invested on momentum realized significantly better performance than other funds. The authors also find relatively weak evidence that funds tended to buy and sell the same stocks at the same time. Copyright 1995 by American Economic Association.
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The authors show that space matters in designing the optimal provision of local public goods. Geography imposes a particular institutional structure of local governments due to the overlapping of market areas associated with different local public goods. The optimum can be decentralized through local governments that have jurisdiction over market areas of all local public good types. This implies that the appropriate suppliers of local public goods are metropolitan governments which finance them through user charges and land rent. In addition, the authors' approach invalidates the prevailing theory of fiscal federalism, according to which a layer of government should be established for each type of local public good. Copyright 1995 by American Economic Association.
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Recent research has documented the failure of market beta to capture the cross-section of expected returns within the context of a two-pass estimation methodology. However, the two-pass methodology suffers from the errors-in-variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross-section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross-section of expected returns.
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One way in which corporate financial structure affects macroeconomic performance is by creating debt overhang. Debt overhang occurs when existing debt deters new investment because the benefits from new investment will go to the existing creditors, not to the new investors. If the economy is booming, debt overhang will not bind because the returns to investing are high. If the economy is stagnant, debt overhang will bind because the returns to investing are low. As a result, high levels of debt can create multiple expectational equilibria in which 'animal spirits' determine economy activity. Copyright 1995 by American Economic Association.
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The authors examine the following paradox: in a dynamic setting, equilibria can be radically different in a model with a finite number of agents than in a model with a continuum of agents. They present a simple strategic setting in which this paradox is a general phenomenon. However, the paradox disappears when there is noisy observation of the players' actions and the aggregate level of noise does not disappear too rapidly as the number of players increases. The authors give several economic examples in which this paradox has recently received attention: durable-goods monopoly, corporate takeovers, and time consistency of optimal government policy. Copyright 1995 by American Economic Association.
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Oil futures prices are often below spot prices. This phenomenon, known as strong backwardation, is inconsistent with Hotelling's theory under certainty that the net price of an exhaustible resource rises over time at the rate of interest. The authors introduce uncertainty and characterize oil wells as call options. They show that production occurs only if discounted futures are below spot prices, production is nonincreasing in the riskiness of future prices, and strong backwardation emerges if the riskiness of future prices is sufficiently high. The empirical analysis indicates that U.S. oil production is inversely related and backwardation is directly related to implied volatility.
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How marketability affects security prices is one of the most important issues in finance. The authors derive a simple analytical upper bound on the value of marketability using option-pricing theory. They show that discounts for lack of marketability can potentially be large even when the illiquidity period is very short. This analysis also provides a benchmark for assessing the potential costs of exchange rules and regulatory requirements restricting the ability of investors to trade when desired. Furthermore, these results provide new insights into the relation between discounts for lack of marketability and the length of the marketability restriction.
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