Journal of Financial Research

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TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION
Journal of Financial Research - Tập 27 Số 3 - Trang 309-328 - 2004
Kee H. Chung, Bonnie F. Van Ness, Robert A. Van Ness
AbstractWe 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
LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES
Journal of Financial Research - Tập 28 Số 2 - Trang 177-195 - 2005
Kee H. Chung, Kenneth A. Kim, Pattanaporn Chatjuthamard
AbstractWe 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
INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!
Journal of Financial Research - Tập 29 Số 4 - Trang 463-479 - 2006
Ozgur Ince, R. Burt Porter
AbstractWe 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
IS THE REAL INTEREST RATE REALLY UNSTABLE?
Journal of Financial Research - Tập 17 Số 4 - Trang 551-559 - 1994
Seung-Mook Choi
AbstractIf 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
INSTITUTIONAL OWNERSHIP AND EARNING MANAGEMENT BY BANK HOLDING COMPANIES
Journal of Financial Research - Tập 40 Số 2 - Trang 147-178 - 2017
Elyas Elyasiani, Yuan Wen, Rongrong Zhang
AbstractWe 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...... hiện toàn bộ
Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock
Journal of Financial Research - Tập 26 Số 3 - Trang 301-318 - 2003
Yiuman Tse, Grigori Erenburg
AbstractWe investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX‐listed, exchange‐traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking the first time it traded securities of companies it does not li...... hiện toàn bộ
ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY
Journal of Financial Research - Tập 21 Số 2 - Trang 229-246 - 1998
Kenneth Beller, John R. Nofsinger
AbstractWe 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
Equity Market Liberalization in Emerging Markets
Journal of Financial Research - Tập 26 Số 3 - Trang 275-299 - 2003
Geert Bekaert, Campbell R. Harvey, Christian Lundblad
AbstractEquity 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
A MULTIFACTOR MODEL OF THE QUALITY OPTION IN TREASURY FUTURES CONTRACTS
Journal of Financial Research - Tập 18 Số 3 - Trang 261-279 - 1995
Peter Ritchken, L. Sankarasubramanian
AbstractThe 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
Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis
Journal of Financial Research - Tập 25 Số 3 - Trang 305-320 - 2002
Keshab Shrestha, Sheng‐Syan Chen, Cheng-Few Lee
AbstractSome 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
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