Journal of Financial Research
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IS THE REAL INTEREST RATE REALLY UNSTABLE?Abstract If nominal interest rates have a unit root, but inflation and inflation forecast errors do not, ex‐ante real interest rates are argued to have a unit root and are therefore nonstationary. I show that empirical tests for nonstationarity of real interest rates using such a deductive method can be misleading when the stationary inflation forecast errors are la... ... hiện toàn bộ
Journal of Financial Research - Tập 17 Số 4 - Trang 551-559 - 1994
A MULTIFACTOR MODEL OF THE QUALITY OPTION IN TREASURY FUTURES CONTRACTSAbstract The values of quality options in Treasury futures contracts are set relative to the prices of all coupon bonds in their respective deliverable sets. As a result, any model used to value the quality option should set its price relative to the set of observed bond prices. This requirement rules out the use of most simple equilibrium models that represent all ... ... hiện toàn bộ
Journal of Financial Research - Tập 18 Số 3 - Trang 261-279 - 1995
Equity Market Liberalization in Emerging MarketsAbstract Equity market liberalizations, if effective, lead to important changes in both the financial and real sectors as the economy becomes integrated into world capital markets. The study of market integration is complicated because one can liberalize in many ways and many countries have taken different routes. To study the effectiveness of particular liberalizat... ... hiện toàn bộ
Journal of Financial Research - Tập 26 Số 3 - Trang 275-299 - 2003
ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITYAbstract We model the seasonal volatility of stock returns using GARCH specifications and size‐sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal volatility does not explain seasonal returns when the reward fo... ... hiện toàn bộ
Journal of Financial Research - Tập 21 Số 2 - Trang 229-246 - 1998
TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATIONAbstract We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks, and the difference is greater for smaller stocks. In contrast, ... ... hiện toàn bộ
Journal of Financial Research - Tập 27 Số 3 - Trang 309-328 - 2004
LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZESAbstract We analyze market liquidity (i.e., spreads and depths) and quote clustering using data from the Kuala Lumpur Stock Exchange (KLSE), where the tick size increases with share price in a stepwise fashion. We find that stocks that are subject to larger mandatory tick sizes have wider spreads and less quote clustering. We also find that liquidity providers on th... ... hiện toàn bộ
Journal of Financial Research - Tập 28 Số 2 - Trang 177-195 - 2005
Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin HypothesisAbstract Some empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell‐Tobin hypothesis. In this article we reinvestigate this negative relation from a long‐term point of view using cointegration analysis. The data on the historical in... ... hiện toàn bộ
Journal of Financial Research - Tập 25 Số 3 - Trang 305-320 - 2002
INSTITUTIONAL OWNERSHIP AND EARNING MANAGEMENT BY BANK HOLDING COMPANIESAbstract We explore the role of institutional investors as a source of market discipline in mitigating earning management (EMGT) by bank holding companies (BHCs). We propose that ownership by monitoring institutions (institutional investors with large and long‐term stakes and independence from managers) is associated with less EMGT because th...
Journal of Financial Research - Tập 40 Số 2 - Trang 147-178 - 2017
Syndicated Loan Announcements and Borrower ValueAbstract Announcements of syndication loans increase borrowers' shareholder wealth if they are revolving credit agreements but not if they are term loans. Share price responses to revolving credit announcements are positive and significant, whereas the wealth effect for term loans is negative and significant. The results show that announcements from both the financi... ... hiện toàn bộ
Journal of Financial Research - Tập 27 Số 1 - Trang 133-141 - 2004
INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!Abstract We compare individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP) to evaluate TDS for use in studies involving large numbers of individual equities in markets outside the United States. We document important issues of coverage, classification, and data integrity and find that... ... hiện toàn bộ
Journal of Financial Research - Tập 29 Số 4 - Trang 463-479 - 2006
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