◆ Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidi

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We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buy...

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2004-08-23

◆ Corporate Investment and Asset Price Dynamics: Implications for the Cross-sectio

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We show that corporate investment decisions can explain conditional dynamics in expected asset returns. Our approach is similar in spirit to Berk, Green, and Naik (1999), but we introduce to the inv...

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2004-08-23

◆ Trading Volume, Information Asymmetry, and Timing Information(Joon Chae)

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This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases i...

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2004-08-23

◆ 放弃汇率锚：雷亚尔贬值的成功与代价(Edmund Amann& Werner Baer1)

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本文来自比较 密码:007007...

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2004-08-14

◆ 为什么人民币需要升值？(关志雄)

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在人民币是否需要升值的问题上，来自日本产业经济研究所的高级研究员关志雄则有另一番想法，他认为，货币是反映一国经济实力的一面镜子。改革...

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2004-08-14

◆ 中国是东亚地区的稳定力量还是通缩压力之源(麦金农)

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近来，中国的汇率政策成为世人关注的焦点。国外的媒体、政界和商界纷纷要求人民币升值。来自美国斯坦福大学的麦金农教授和德国图宾根大学的施...

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2004-08-14

◆ Monitoring and Controlling Bank Risk: Does Risky Debt Help?(C.N.V. Krishnan)

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We examine whether mandating banks to issue subordinated debt would enhance market monitoring and control risk taking. To evaluate whether subordinated debt enhances risk monitoring, we extract the cr...

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2004-08-13

◆ Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis(M

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Two behavioral concepts, loss aversion and mental accounting, have been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence supports the theory, as...

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2004-08-13

◆ Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Eq

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This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the mo...

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2004-08-13

◆ Local Does as Local Is： Information Content of the Geography of Individual Inves

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Using data on the investments a large number of individual investors made through a discount broker from 1991 to 1996, we find that households exhibit a strong preference for local investments. We t...

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2004-08-13

◆ Managers, Workers, and Corporate Control(Marco Pagano)

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If management has high private benefits and a small equity stake, managers and workers are natural allies against takeover threats. Two forces are at play. First, managers can transform employees into...

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2004-08-13

◆ Distance, Lending Relationships, and Competition(Hans Degryse and Steven Ongena)

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We study the effect on loan conditions of geographical distance between firms, the lending bank, and all other banks in the vicinity. For our study we employ detailed contract information from more th...

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2004-08-13

◆ Financial Analyst Characteristics and Herding Behavior in Forecasting(Michael B.

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This study classifies analysts’ earnings forecasts as herding or bold and finds that (1) boldness likelihood increases with the analyst’s prior accuracy, brokerage size, and experience and decline...

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2004-08-13

◆ The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Un

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We examine syndicates for 1,638 IPOs from January 1997 through June 2002. We find strong evidence of information production by syndicate members. Offer prices are more likely to be revised in response...

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2004-08-13

◆ Does Idiosyncratic Risk Really Matter?(Turan G. Bali)

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yal and Santa-Clara (2003) find a significantly positive relation between the equal-weighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the pe...

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2004-08-13