Showing 1 - 9 of 9
Most of the market microstructure literature has focused on the liquidity of individual securities, whereas most of the asset pricing literature has focused on the association between systematic risk and return. We document the presence of a systematic, time-varying component of liquidity. At...
Persistent link: https://www.econbiz.de/10005245478
I survey and assess the development of continuous-time methods in finance during the last 30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio...
Persistent link: https://www.econbiz.de/10005207595
We compare the price impact of trades across market structures by examining firms that switch exchanges. When firms are listed on Nasdaq, quoted prices adjust quite slowly to the information contained in order flow. On average, it takes about 5 minutes (or about 6 transactions) for half of the...
Persistent link: https://www.econbiz.de/10005663850
We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors= implicit valuations of retained earnings versus paid-in equity. Retained earnings are distributable as taxable dividends, whereas paid-in equity is distributable as a tax-free return of...
Persistent link: https://www.econbiz.de/10005776739
We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.
Persistent link: https://www.econbiz.de/10005630993
Persistent link: https://www.econbiz.de/10005631034
We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the empirical implications of the models of Solnik (1974b) as revised by Sercu (1980), Grauer, Litzenberger, and Stehle (1976), and Adler and Dumas (1983). Both exchange rate and foreign...
Persistent link: https://www.econbiz.de/10005478440
A front page Sunday New York Times article on a potential development of new drugs to cure cancer caused the price of EntreMed (ENMD) stock to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. Trading volume was more than 400 times the normal trading volume, and...
Persistent link: https://www.econbiz.de/10005478459
In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...
Persistent link: https://www.econbiz.de/10005478465