Feedback Traders and Stock Return Autocorrelations: Evidence From a Century of Daily Data
High frequency stock returns may show mild positive autocorrelation because of non-trading. However in a noise traders model the degree of...
The Term Structure and the Equity Premium Puzzle: A Note
The importance of the term structure of real interest in determining the sign and the magnitude of the equity premium has received little attention in...
Investor Sentiment and the Closed-End Puzzle
The purpose of the present paper is to evaluate empirically an explanation of the closed-end fund puzzle based on the idea that rational investors...
The Aftermath of Hostile Takeovers
We examine what happens after each of 62 successful and unsuccessful hostile takeovers between 1984 and 1986. We find that post-takeover layoffs are...
Are Financial Markets Chaotic? A Preliminary Study of the Foreign Exchange Market
The fluctuations of financial markets appear, in general, to be unpredictable in advance, and caused by the stochastic, chance arrival of 'news' and...
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies...
Natural Oligopoly in Intermediated Markets
The industrial structure of an intermediation industry is analyzed, in brokerage markets, where intermediaries help to reduce search frictions. The...
A Heteroscedastic Factor Model of Asset Returns and Risk Premia With Time-Varying Volatility: An Application to Sixteen World Stock Markets
The empirical objective of this study is to account for the time-variation in the covariances between markets. Using data on sixteen national stock...
The After-Tax Divident-Ratio Model: Predictable Returns and Excess Returns in the Stock Market
An after-tax version of the fundamental value model is used to test for forecastability of one-period and multi-period after-tax stock returns and...
Uncertainty Resolution and the Timing of Annuity Purchases
This paper considers the question of why they annuity market is thin. A model is presented in which consumers have the option of purchasing annuities...
Insider Trading and the Allocation of Risks
A common argument in recent debates on the prosecution of insider trading has been that outsider stay away from markets with inside activity because...
Trading Systems in European Stock Exchanges
The deregulation of financial markets and the liberalization of international capital flows raises a number of challenging issues. Market participants...
Bertrand Edgeworth Competition with Non-Linear Prices
The paper studies the existence of equilibrium in price setting oligopoly. In particular, the question is addressed whether the non-existence of pure...
Intermediation in Search Markets
In markets, in which exchange requires costly search for trading partners, intermediaries can help to reduce the trading frictions. This intuition is...
