A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 319 resources
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The authors use CPI data for U.S. and Canadian cities for fourteen categories of consumer prices to examine the nature of the deviations from the law of one price. The distance between cities explains a significant amount of the variation in the prices of similar goods in different cities, but the variation of the price is much higher for two cities located in different countries than for two equidistant cities in the same country. The authors explore some of the reasons for this finding. Sticky nominal prices appear to be one explanation but probably do not explain most of the border effect. Copyright 1996 by American Economic Association.
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Kothari, Shanken, and Sloan (1995) claim that betas from annual returns produce a stronger positive relation between beta and average return than betas from monthly returns. They also contend that the relation between average return and book-to-market equity (BE/ME) is seriously exaggerated by survivor bias. We argue that survivor bias does not explain the relation between BE/ME and average return. We also show that annual and monthly betas produce the same inferences about the beta premium. Our main point on the beta premium is, however, more basic. It cannot save the Capital asset pricing model (CAPM), given the evidence that beta alone cannot explain expected return.
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In an economy where fiat money serves both as a medium of exchange and the means by which debts are cleared, it is shown that nonoptimal equilibria of constrained liquidity may arise. Optimality may be restored by temporary expansions of the monetary base (e.g., an active central-bank 'discount window'). Copyright 1996 by American Economic Association.
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This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5,987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), ninety minutes (1991/92), and twenty-four hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years but their size relates more closely to market volatility than to speed of publication. There is, therefore, no gain in liquidity from delayed publication.
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This article develops an equilibrium framework for strategic option exercise games. The author focuses on a particular example: the timing of real estate development. An analysis of the equilibrium exercise policies of developers provides insights into the forces that shape market behavior. The model isolates the factors that make some markets prone to bursts of concentrated development. The model also provides an explanation for why some markets may experience building booms in the face of declining demand and property values. While such behavior is often regarded as irrational overbuilding, the model provides a rational foundation for such exercise patterns.
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The authors document the determinants of the term to maturity of 7,369 bonds and notes issued between 1982 and 1993. Their main finding is that large firms with investment grade credit ratings typically borrow at the short end and at the long end of the maturity spectrum, while firms with speculative grade credit ratings typically borrow in the middle of the maturity spectrum. This pattern is consistent with the theory that risky firms do not issue short-term debt in order to avoid inefficient liquidation, but are screened out of the long-term debt market because of the prospect of risky asset substitution.
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The authors analyze the rationale for limit order trading. Use of limit orders involves two risks: (1) an adverse information event can trigger an undesirable execution, and (2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short-term price fluctuations that compensate a limit order trader. The authors' empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well-balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.
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In this article, the authors generalize C. Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time-varying covariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. The authors find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stock returns predicted by firm size and book-to-market equity ratios. The results indicate that allowing time-varying covariances and time-varying reward-to-covariabilities does little to salvage the traditional asset pricing models. Coauthors are Raymond Kan, Lilian Ng, and Chu Zhang.
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