Financial Review
ESCI-ISI SCOPUS (1969-2023)
1540-6288
0732-8516
Mỹ
Cơ quản chủ quản: Wiley-Blackwell , WILEY
Lĩnh vực:
FinanceEconomics and Econometrics
Các bài báo tiêu biểu
THE NEGLECTED AND SMALL FIRM EFFECTSAbstract This paper addresses the empirical question of whether the differential attention which companies receive affects the capital asset pricing process. The degree of attention was measured by research concentration rankings based on the number of analysts regularly following the firm's securities. The results suggest: (i) that there is a “neglected firm effect... ...
Tập 17 Số 4 - Trang 201-218 - 1982
Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR AnalysisAbstract This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data‐determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B... ...
Tập 38 Số 4 - Trang 591-609 - 2003
Asymmetric Effects of Interest Rate Changes on Stock PricesAbstract This study examines the stock price adjustment process around announcements of changes in the federal funds rate target in the 1990s using an asymmetric autoregressive exponential GARCH model (ASAR‐EGARCH). We find that target change announcements convey new information to the stock market. Risk aversion increases before the announcement of a rate change, a... ...
Tập 35 Số 3 - Trang 125-144 - 2000
Earnings Management Surrounding New Debt IssuesAbstract We examine whether firms manage earnings before issuing bonds to achieve a lower cost of borrowing. We find significant income‐increasing earnings management prior to bond offerings. We also find that firms that manage earnings upward issue debt at a lower cost, after controlling for various bond issuer and issue characteristics. Our results are consistent ... ...
Tập 45 Số 3 - Trang 659-681 - 2010
Volatility Reversion and Correlation Structure of Returns in Major International Stock MarketsAbstract This paper investigates the stochastic behavior of weekly stock market returns in the U.S., Japan, and the U.K. during the period 1984 to 1994. The analysis is carried out using an augmented version of Bollerslev's [7] multivariate GARCH model with structural dummies to test for differences in the mean, volatility, and covariance structure of returns during... ...
Tập 32 Số 2 - Trang 205-224 - 1997
The Impact of Country Diversification on Wealth Effects in Cross‐Border MergersAbstract We posit that country diversification via cross‐border mergers creates wealth by providing benefits for firms that are not available to their shareholders. We hypothesize that these benefits are inversely related to the extent of co‐movement in the economies of the bidder's and target's countries. We examine the wealth effects of U.S. targets and bidders in... ...
Tập 35 Số 2 - Trang 37-58 - 2000
CEO Influence and Executive CompensationAbstract The sales‐maximization hypothesis and the shareholder wealth‐maximization hypothesis have been suggested in prior finance literature to explain the determinants of CEO pay. This paper proposes that CEO influence over the board is an additional explanation for the size of CEO pay. Evidence from the 1989–1991 period indicates that CEO pay is positively relate... ...
Tập 31 Số 1 - Trang 51-66 - 1996
Price Clustering on the Tokyo Stock ExchangeAbstract This paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also ... ...
Tập 42 Số 2 - Trang 289-301 - 2007
First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock ReturnsAbstract This study investigates the impact of first‐ and second‐moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first‐moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant exposures are asymmetric. When the model utilizes one‐day lags, 4... ...
Tập 38 Số 3 - Trang 455-471 - 2003
Long Memory In Futures PricesAbstract This paper tests for fractional roots in the futures prices for selected commodities, foreign currencies, and stock indexes. The fractional testing method is the spectral regression method suggested by Geweke and Porter‐Hudak (1983). The empirical results suggest the presence of a fractional exponent in the differencing process for several commodity and for... ...
Tập 34 Số 1 - Trang 91-100 - 1999