Daily returns for stocks listed on the New York Exchange (NYSE) are not serially dependent. In contrast, order imbalances on the same stocks are highly persistent from day to day. These two empirical facts can be reconciled if sophisticated investors react to order imbalances within the trading...

During the 1990s, the richest quintile of a country had an average income per capita approximately ten times that of the poorest quintile. We find that the poor of a country are better off relatively, and absolutely, when the country ranks higher in average income, union participation, taxation,...

ABSTRACT Managing Risk in Thrift Institutions: Beyond the Duration Gap Even if thrift institutions were exposed only to interest rate risk, gap management using simple duration would be an imperfect method, particularly for callable assets and liabilities. Duration measures interest rate risk...

We provide a novel method for extracting estimates of realized pure price inflation from stock returns. The key is recognizing that pure price inflation should a®ect nominal returns of all traded assets by exactly the same amount. The popular Fama- French three-factor model is employed to...

Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance on the New York Stock Exchange. Signed order imbalances increase (decrease) following market declines...

Why do regulatory authorities scrutinize mergers and acquisitions? The authorities themselves claim to be combating monopoly power and protecting consumers, but the last two decades of empirical research has found little supporting evidence for such laudatory motives. An alternative is that M&A...

U.S. Treasury Inflation Protection Securities (TIPs) were first issued in January 1997. Through the end of 2002, eleven TIPs have been issued with maturities ranging from a few years through thirty years. One TIP bond has already matured. Returns on TIPs have been positively correlated with...

Are CEOs unable to learn? This surprising question deserves to be raised in the light of the declining pattern of cumulative abnormal returns observed in M&A programs. This paper shows that this pattern is the expected ex post empirical evidence for rational risk averse CEOs. Our theoretical...

Asian stock markets are compared with European markets before and during the 1997 Asian crisis. The clinical issue is whether regional inter-dependence became larger around the crisis, fomenting investor fears of contagion and reducing asset values because of lower diversification potential....