Journal of Financial and Quantitative Analysis

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Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets
Journal of Financial and Quantitative Analysis - Tập 50 Số 3 - Trang 543-567 - 2015
Jens Hilscher, Joshua Matthew Pollet, Mungo Ivor Wilson
AbstractThis article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard the...... hiện toàn bộ
Liquidity and Arbitrage in the Market for Credit Risk
Journal of Financial and Quantitative Analysis - Tập 46 Số 3 - Trang 627-656 - 2011
Amrut Nashikkar, Marti G. Subrahmanyam, Sriketan Mahanti
AbstractThe recent credit crisis has highlighted the importance of market liquidity and its interaction with the price of credit risk. We investigate this interaction by relating the liquidity of corporate bonds to the basis between the credit default swap (CDS) spread of the issuer and the par-equivalent bond yield spread. The liquidity of a bond is measured using...... hiện toàn bộ
Can Takeover Losses Explain Spin-Off Gains?
Journal of Financial and Quantitative Analysis - Tập 30 Số 4 - Trang 465 - 1995
Jeffrey W. Allen, Scott L. Lummer, John J. McConnell, Debra K. Reed
Volatility in Emerging Stock Markets
Journal of Financial and Quantitative Analysis - Tập 34 Số 1 - Trang 33 - 1999
Reena Aggarwal, Carla Inclán, Ricardo Pereira Câmara Leal
Has the Propensity to Pay Out Declined?
Journal of Financial and Quantitative Analysis - Tập 46 Số 1 - Trang 1-24 - 2011
Gustavo Grullon, Bradley S. Paye, Shane Underwood, J. Fred Weston
AbstractRecent studies document both a significant decline in firms’ propensity to pay dividends and a significant increase in firms’ propensity to repurchase shares and issue equity over the past 30 years. In this paper we test whether firms’ net cash disbursements to equity holders have declined in a pattern similar to firms’ propensity to pay dividends. Contrary...... hiện toàn bộ
Managerial Entrenchment and Payout Policy
Journal of Financial and Quantitative Analysis - Tập 39 Số 4 - Trang 759-790 - 2004
Aidong Hu, Praveen Kumar
AbstractBuilding on the managerial entrenchment literature, we develop and test a novel perspective on payout policy that integrates the influence of internal governance mechanisms, investment opportunities, management compensation, and monitoring by large shareholders. Our study incorporates both dividend payments and share repurchases, and examines the determinan...... hiện toàn bộ
The Response of Corporate Financing and Investment to Changes in the Supply of Credit
Journal of Financial and Quantitative Analysis - Tập 45 Số 3 - Trang 555-587 - 2010
Michael L. Lemmon, Michael R. Roberts
AbstractWe examine how shocks to the supply of credit impact corporate financing and investment using the collapse of Drexel Burnham Lambert, Inc.; the passage of the Financial Institutions Reform, Recovery, and Enforcement Act of 1989; and regulatory changes in the insurance industry as an exogenous contraction in the supply of below-investment-grade credit after ...... hiện toàn bộ
Bonus-Driven Repurchases
Journal of Financial and Quantitative Analysis - Tập 50 Số 3 - Trang 447-475 - 2015
Yingmei Cheng, Jarrad Harford, Tianming Zhang
AbstractUsing a large hand-collected database of chief executive officer (CEO) bonus structures, we find that when a CEO’s bonus is directly tied to earnings per share (EPS), his company is more likely to conduct a buyback. This effect is especially pronounced when a company’s EPS is right below the threshold for a bonus award. Share repurchasing increases the prob...... hiện toàn bộ
Deviations from Put-Call Parity and Stock Return Predictability
Journal of Financial and Quantitative Analysis - Tập 45 Số 2 - Trang 335-367 - 2010
Martijn Cremers, David Weinbaum
AbstractDeviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performa...... hiện toàn bộ
Good Carry, Bad Carry
Journal of Financial and Quantitative Analysis - Tập 55 Số 4 - Trang 1063-1094 - 2020
Geert Bekaert, George Panayotov
We distinguish between “good” and “bad” carry trades constructed from Group of Ten (G-10) currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades, which have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Aus...... hiện toàn bộ
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