Journal of Financial and Quantitative Analysis

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How Stock Flippers Affect IPO Pricing and Stabilization
Journal of Financial and Quantitative Analysis - Tập 37 Số 2 - Trang 319 - 2002
Raymond P. H. Fishe
A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data
Journal of Financial and Quantitative Analysis - Tập 35 Số 4 - Trang 553 - 2000
Thomas J. Finucane
Negotiation and the IPO Offer Price: A Comparison of Integer vs. Non-Integer IPOs
Journal of Financial and Quantitative Analysis - Tập 39 Số 3 - Trang 517-540 - 2004
Daniel Bradley, John Cooney, Bradford D. Jordan, Ajai K. Singh
AbstractWe investigate the pricing of 4,989 equity IPOs with offer dates between 1981 and 2000. Approximately three-fourths of these IPOs have integer offer prices. Average initial returns for IPOs with integer offer prices are significantly higher (24.5%) than those priced on the fraction of the dollar (8.1%). This result is robust through time and after condition...... hiện toàn bộ
Discounting and Clustering in Seasoned Equity Offering Prices
Journal of Financial and Quantitative Analysis - Tập 39 Số 1 - Trang 1-23 - 2004
Simona Mola, Tim Loughran
AbstractAn analysis of 4,814 SEOs during 1986–1999 indicates that the average offering ofnew shares is priced at a discount of 3% from the closing price on the day before the issue. Discounts have risen steadily over time, sharply increasing the indirect costs of issuing seasoned equity. There is evidence of increased clustering of offer prices at integers, and of ...... hiện toàn bộ
Tick Size, Bid-Ask Spreads, and Market Structure
Journal of Financial and Quantitative Analysis - Tập 36 Số 4 - Trang 503 - 2001
Roger D. Huang, Hans R. Stoll
The Clustering of IPO Gross Spreads: International Evidence
Journal of Financial and Quantitative Analysis - Tập 38 Số 3 - Trang 673 - 2003
Sami Torstila
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
Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
Journal of Financial and Quantitative Analysis - Tập 33 Số 4 - Trang 465 - 1998
George J. Jiang
A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior
Journal of Financial and Quantitative Analysis - Tập 15 Số 3 - Trang 757 - 1980
John C. Wiginton
Tổng số: 73   
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