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....

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 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...

Most models of deposit insurance assume that the volatility of a bank's assets is exogenously provided. Although this framework allows the impact of volatility on bankruptcy costs and deposit insurance subsidies to be explored, it is static and does not incorporate the fact that equityholders...

The application of generalized ARCH models to daily stock returns shows that changes in delivery and payment termsare an important factor in determining measured volatility. In contrast, the holding period between trading days when markets are closed is relatively unimportant. This new approach...

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...

Most empirical research has found positive liquidity or term premiums. This paper shows that a completely spurious premium may be embedded in the observed yield curve. If payment delays - say, those due to check-clearing or brokerage accounts - in the government securities markets are priced,...

Most models of deposit insurance assume that the volatility of a bank's assets is exogenously provided. Although this framework allows the impact of volatility on bankruptcy costs and deposit insurance subsidies to be explored, it is static and does not incorporate the fact that equityholders...

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...