A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 336 resources
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In all industrial countries, fiscal policy is increasingly about redistribution. In this paper, the authors study redistribution across different types of agents in a world characterized by the presence of labor unions and distortionary taxation. They show that an increase in transfers financed by distortionary taxation has nonlinear effects on unit labor costs relative to the other countries, depending on the degree of centralization of the wage-setting process in the labor market. The authors find considerable empirical support for the model in a sample of fourteen OECD countries. Copyright 1997 by American Economic Association.
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The higher taxation of dividends in the United States gave rise to theories that explain why companies pay dividends. Tax-based signaling models propose that the higher tax on dividends is a necessary condition to make them informative about companies' values. In Germany, where dividends are not tax-disadvantaged and in fact are taxed lower for most investor classes, these models predict that dividends are not informative. However, the authors find that the stock price reaction to dividend news in Germany is similar to that found in the United States. This suggests other reasons, beyond taxation, that make dividends informative.
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We study the information content of implied volatility from several volatility specifications of the Heath-Jarrow-Morton (1992) (HJM) models relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the variation of realized interest rate volatility over both daily and monthly horizons. The implied volatility dominates the GARCH terms, the Glosten et al. (1993) type asymmetric volatility terms, and the interest rate level. However, it cannot explain that the impact of interest rate shocks on the volatility is lower when interest rates are low than when they are high.
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Recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean-reverting fractionally integrated process. Meanwhile, much shorter lived volatility dynamics are typically observed with high frequency intradaily returns. The present article demonstrates that, by interpreting the volatility as a mixture of numerous heterogeneous short-run information arrivals, the observed volatility process may exhibit long-run dependence. As such, the long-memory characteristics constitute an intrinsic feature of the return generating process, rather than the manifestation of occasional structural shifts. These ideas are confirmed by the authors' analysis of a one-year time series of five-minute Deutschemark-U.S. dollar exchange rates.
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When a series of individuals with private information announce public predictions, initial conformity can create an 'information cascade' in which later predictions match the early announcements. This paper reports an experiment in which private signals are draws from an unobserved urn. Subjects make predictions in sequence and are paid if they correctly guess which of two urns was used for the draws. If initial decisions coincide, then it is rational for subsequent decisionmakers to follow the established pattern, regardless of their private information. Rational cascades formed in most periods in which such an imbalance occurred. Copyright 1997 by American Economic Association.
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Angel, J. J. (1997). Tick Size, Share Prices, and Stock Splits. The Journal of Finance, 52, 655–681.
Minimum price variation rules help explain why stock prices vary substantially across countries and other curiosities of share prices. Companies tend to split their stock so that the institutionally mandated minimum tick size is optimal relative to the stock price. A large relative tick size provides an incentive for dealers to make markets and for investors to provide liquidity by placing limit orders, despite its placing a high floor on the quoted bid-ask spread. A simple model suggests that idiosyncratic risk, firm size, and visibility of the firm affect the optimal relative tick size and thus the share price.
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Yakov Amihud and Haim Mendelson (1986) and George Constantinides (1986) provide a theoretical basis for the proposition that assets with higher transactions costs are held by investors for longer holding periods, and vice versa. The authors examine average holding periods and bid-ask spreads for Nasdaq stocks from 1983 through 1991 and for New York Stock Exchange (NYSE) stocks from 1975 through 1989 and find strong evidence that, as predicted, the length of investors' holding periods is related to bid-ask spreads. They also find that the relation between holding periods and bid-ask spreads is much stronger on Nasdaq, where spreads are larger, than on the NYSE, where spreads are smaller.
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