The mutuel handle, or the total volume of wagering at a racetrack, has important implications for both racetrack and state revenues. This paper studies the factors that determine the dollar volume of wagering. One factor we study is of particular interest because it is both large and new to the...

Nonparametric tests reject that rankings of Treasury bill returns are random within months. Treasury bills tend to earn lower returns on the first trading day of the month of January. This pattern in January does not extend to the other months of the year. Unlike stocks, bill returns are...

This paper develops two models of the money marketmutual fund maturity decision. The first assumes thatmarkets are efficient but that transactions are costly. Thesecond model relies on a survey of fund managers to selectvariables that might permit exploiting perceivedprofit opportunities....

This paper models stock returns as a function of three components: a constant expected return, the impact of the mechanism for executing trades, and a rational expectations error. We examine changes in these parameters using Goldfeld and Quandt's (1976) deterministic switching based on time....

The dramatic increase in the volume of international securities trading has strained the present system of settling trades. The costs and risks of such trading can no longer be ignored. An international organization, the Group of Thirty, has recommended changes in the structure of financial...

The General Capital Asset Pricing Model (GCAPM) incorporates certain market imperfections (see Levy, 1978 and 1980). Levy concludes that in GCAPM equilibrium, all investors do not necessarily hold the market portfolio and that a security's own variance is priced. We show that financial...

Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH-in-mean models to examine the relationship between mean returns on a stock portfolio and its...

The General Capital Asset Pricing Model (GCAPM) incorporates certain market imperfections. Levy concludes that in GCAPM equilibrium, all investors do not necessarily hold the market portfolio and that a security's own variance is priced. We show that financial intermediaries, responding to...

In this paper stock returns are modeled as a function of payment delays. Three hypotheses are tested: (1) that buyers compensate sellers for a six-business-day payment delay; (2) that the rate of compensation is the riskless rate; and (3) that this delay is solely responsible for day-of-the-week...