Search

This article re-evaluates the authors' previous explanations for profitability momentum strategies. The authors also provide support for behavioral models that propose delayed overreactions to be the reason for momentum profits.

This article evaluates institutional corporate bond trading to estimate transaction costs for over-the-counter bond markets. The author finds that larger trades have lower trading costs, small institutions pay more than large institutions in order to trade, and large bond dealers charge less than small ones.

This article evaluates the significance of banking market structure on growth, focusing on the role of this structure on the dynamics of capital accumulation. The authors find that bank concentration promotes growth of industry sectors in most need of external finance by aiding credit access for newer firms, but also find a general depressing effect of bank concentration on all sectors.

This article evaluates aggregate market spreads, depths and trading activities to analyze liquidity in U.S. equities over an extended period of time. The authors find that liquidity plummets in down markets, volatility decreases trading activity and spreads, strong day-of-the-week effects exist, and that interest rates influence liquidity with increases in depth and trading activity just prior to macroeconomic announcements.

This article examines the decisions of strategic traders in a noisy financial market when they hold an endowment of stock. Results show that after receiving the endowment the trader reduces risk exposure by selling at decreased rates and then buying back shares.

This article examines the volatility of common stocks at the market, firm and industry levels using a disaggregated approach. Results show an increase in the firm-level volatility from 1962-1997; the correlations between individual stocks and the market model's explanatory power has declined, while the number of stocks needed for diversification have increased; finally, market volatility leads the other volatility areas.

Research presented concerns the economic impact of stock market liberalization, or a country's policy to allow foreign purchasing of stocks. Findings suggest that the country that liberalizes it's stock market can lower the cost of equity capital by promoting risk-sharing between foreign and domestic agents.

Research shows that analystsE target prices information produces a significant market reaction, both unconditionally and conditional based on earnings forecast revisions and recommendations on contemporaneously issued stock. Target prices projected one year ahead tend to be 28% higher than current market prices.