Financial Review
ESCI-ISI SCOPUS (1969-2025)
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 EFFECTS
Tập 17 Số 4 - Trang 201-218 - 1982
AbstractThis 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” in terms of superior
performanc...
Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
Tập 38 Số 4 - Trang 591-609 - 2003
AbstractThis 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‐share market are better
informed...
Asymmetric Effects of Interest Rate Changes on Stock Prices
Tập 35 Số 3 - Trang 125-144 - 2000
AbstractThis 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, and especially
before the announce...
Earnings Management Surrounding New Debt Issues
Tập 45 Số 3 - Trang 659-681 - 2010
AbstractWe 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 with studies that report
earnings...
Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets
Tập 32 Số 2 - Trang 205-224 - 1997
AbstractThis 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 the pre‐ and
post‐October 1987 c...
The Impact of Country Diversification on Wealth Effects in Cross‐Border Mergers
Tập 35 Số 2 - Trang 37-58 - 2000
AbstractWe 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 involved in
cross‐border mergers wi...
CEO Influence and Executive Compensation
Tập 31 Số 1 - Trang 51-66 - 1996
AbstractThe 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 related to
measures of CEO influence ov...
Price Clustering on the Tokyo Stock Exchange
Tập 42 Số 2 - Trang 289-301 - 2007
AbstractThis 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 extends to order book depth.
Ther...
First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns
Tập 38 Số 3 - Trang 455-471 - 2003
AbstractThis 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, 42.2% of the
cases are significant...
Long Memory In Futures Prices
Tập 34 Số 1 - Trang 91-100 - 1999
AbstractThis 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 foreign currency futures
prices. The...