Pages: i-vii | Published: 8/2000 | DOI: 10.1111/j.1540-6261.2000.tb00700.x | Cited by: 0
Pages: viii-xxvi | Published: 8/2000 | DOI: 10.1111/j.1540-6261.2000.tb00701.x | Cited by: 0
Pages: 1477-1477 | Published: 8/2000 | DOI: 10.1111/0022-1082.00258 | Cited by: 0
Pages: 1479-1514 | Published: 8/2000 | DOI: 10.1111/0022-1082.00259 | Cited by: 298
Hans R. Stoll
The sources of trading friction are studied, and simple, robust empirical measures of friction are provided. Seven distinct measures of trading friction are computed from transactions data for 1,706 NYSE/AMSE stocks and 2,184 Nasdaq stocks. The measures provide insights into the magnitude of trading costs, the importance of informational versus real frictions, and the role of market structure. The degree to which the various measures are associated with each other and with trading characteristics of stocks is examined.
Pages: 1515-1567 | Published: 8/2000 | DOI: 10.1111/0022-1082.00260 | Cited by: 213
John Y. Campbell
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade‐off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross‐sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance.
Pages: 1569-1622 | Published: 8/2000 | DOI: 10.1111/0022-1082.00261 | Cited by: 76
Suresh M. Sundaresan
I survey and assess the development of continuous‐time methods in finance during the last 30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen significant progress in econometric theory, computational and estimation methods to test and implement continuous‐time models. Capital market frictions and bargaining issues are being increasingly incorporated in continuous‐time theory.
Pages: 1623-1653 | Published: 8/2000 | DOI: 10.1111/0022-1082.00262 | Cited by: 344
In this paper I argue that corporate finance theory, empirical research, practical applications, and policy recommendations are deeply rooted in an underlying theory of the firm. I also argue that although the existing theories have delivered very important and useful insights, they seem to be quite ineffective in helping us cope with the new type of firms that is emerging. I outline the characteristics that a new theory of the firm should satisfy and how such a theory could change the way we do corporate finance, both theoretically and empirically.
Pages: 1655-1695 | Published: 8/2000 | DOI: 10.1111/0022-1082.00263 | Cited by: 530
We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds pick stocks well enough to cover their costs. Also, high‐turnover funds beat the Vanguard Index 500 fund on a net return basis. Our evidence supports the value of active mutual fund management.
Pages: 1695-1703 | Published: 8/2000 | DOI: 10.1111/0022-1082.00264 | Cited by: 54
Tobias J. Moskowitz
Pages: 1705-1765 | Published: 8/2000 | DOI: 10.1111/0022-1082.00265 | Cited by: 372
Andrew W. Lo, Harry Mamaysky, Jiang Wang
Technical analysis, also known as “charting,” has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis—the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and we apply this method to a large number of U.S. stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution—conditioned on specific technical indicators such as head‐and‐shoulders or double bottoms—we find that over the 31‐year sample period, several technical indicators do provide incremental information and may have some practical value.
Pages: 1765-1770 | Published: 8/2000 | DOI: 10.1111/0022-1082.00266 | Cited by: 17
Pages: 1771-1801 | Published: 8/2000 | DOI: 10.1111/0022-1082.00267 | Cited by: 60
Shane A. Corwin, Marc L. Lipson
We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.
Pages: 1801-1805 | Published: 8/2000 | DOI: 10.1111/0022-1082.00268 | Cited by: 0
Daniel G. Weaver
Pages: 1807-1849 | Published: 8/2000 | DOI: 10.1111/0022-1082.00269 | Cited by: 23
Matthew Rhodes-Kropf, S. Viswanathan
This paper extends the theory of non‐cash auctions by considering the revenue and efficiency of using different securities. Research on bankruptcy and privatization suggests using non‐cash auctions to increase cash‐constrained bidder participation. We examine this proposal and demonstrate that securities may lead to higher revenue. However, bidders pool unless bids include debt, which results in possible repossession by the seller. This suggests all‐equity outcomes are unlikely and explains the high debt of reorganized firms. Securities also inefficiently determine bidders' incentive contracts and the firm's capital structure. Therefore, we recommend a new cash auction for an incentive contract.
Pages: 1850-1854 | Published: 8/2000 | DOI: 10.1111/0022-1082.00270 | Cited by: 0
Pages: 1855-1856 | Published: 8/2000 | DOI: 10.1111/0022-1082.00271 | Cited by: 0
David H. Pyle
Pages: 1857-1860 | Published: 8/2000 | DOI: 10.1111/0022-1082.00272 | Cited by: 0
David H. Pyle
Pages: 1861-1892 | Published: 8/2000 | DOI: 10.1111/0022-1082.00273 | Cited by: 0
René M. Stulz
Pages: 1893-1894 | Published: 8/2000 | DOI: 10.1111/0022-1082.00059-i1 | Cited by: 0
Pages: 1894-1897 | Published: 8/2000 | DOI: 10.1111/1540-6261.t01-1-00275 | Cited by: 0
Pages: 1895-1897 | Published: 8/2000 | DOI: 10.1111/1540-6261.00275 | Cited by: 0
Pages: 1899-1900 | Published: 8/2000 | DOI: 10.1111/0022-1082.00276 | Cited by: 0