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Impacts of Trades in an Error-Correction Model of Quote Prices 报价纠错模型中交易的影响
New York University Stern School of Business Research Paper Series Pub Date : 2000-08-01 DOI: 10.2139/ssrn.256033
R. Engle, Andrew J. Patton
{"title":"Impacts of Trades in an Error-Correction Model of Quote Prices","authors":"R. Engle, Andrew J. Patton","doi":"10.2139/ssrn.256033","DOIUrl":"https://doi.org/10.2139/ssrn.256033","url":null,"abstract":"In this paper we analyze and interpret the quote price dynamics of 100 NYSE stocks with varying average trade frequencies. We specify an error-correction model for the log difference of the bid and the ask price, with the spread acting as the error-correction term, and include as regressors the characteristics of the trades occurring between quote observations, if any. We find that short duration and medium volume trades have the largest impacts on quote prices for all one hundred stocks, and that buyer initiated trades primarily move the ask price while seller initiated trades primarily move the bid price. Trades have a greater impact on quotes in both the short and the long run for the infrequently traded stocks than for the more actively traded stocks. Finally, we find strong evidence that the spread is mean reverting.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122424048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 153
Spiders: Where are the Bugs 蜘蛛:虫子在哪里
New York University Stern School of Business Research Paper Series Pub Date : 2000-05-23 DOI: 10.2139/ssrn.307136
E. Elton, M. Gruber, George Commer, Kai Li
{"title":"Spiders: Where are the Bugs","authors":"E. Elton, M. Gruber, George Commer, Kai Li","doi":"10.2139/ssrn.307136","DOIUrl":"https://doi.org/10.2139/ssrn.307136","url":null,"abstract":"This article examines the characteristics and performance of an exchange-traded index fund known by the name of Standard & Poor's Depository Receipts or SPDR or Spiders. The Spiders' net asset value is kept close to market price by the ability to create and delete them by in-kind transactions. Spiders underperform the S&P Index by 28 basis points and low-cost index funds by 18 points. This is primarily due to the lost income caused by holding dividends received on the underlying shares in cash. Nevertheless, Spiders are the most actively traded stock and the instrument of choice for most hedging.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114400745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 274
Valuation, Linear Information Dynamic, and Stochastic Discount Rates 估值、线性动态信息和随机贴现率
New York University Stern School of Business Research Paper Series Pub Date : 2000-03-01 DOI: 10.2139/ssrn.219208
Dan Gode, James A. Ohlson
{"title":"Valuation, Linear Information Dynamic, and Stochastic Discount Rates","authors":"Dan Gode, James A. Ohlson","doi":"10.2139/ssrn.219208","DOIUrl":"https://doi.org/10.2139/ssrn.219208","url":null,"abstract":"We generalize Ohlson (1995) to stochastic interest rates. Our analysis provides four insights. First, the earnings capitalization multiple depends on the lagged rate, not the current rate. Second, the abnormal earnings persistence parameter increases in the current rate and decreases in the lagged rate. Third, it is not necessary to specify the stochastic process underlying interest rates to relate stock prices and accounting numbers. Finally, only the lagged rate is needed to capitalize current earnings to determine current stock price, while both the lagged and current rates are needed to forecast next-period earnings based on current earnings.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122467491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Discretionary-Accruals Models and Audit Qualifications 可自由支配应计项目模型和审计资格
New York University Stern School of Business Research Paper Series Pub Date : 2000-01-01 DOI: 10.2139/ssrn.214996
Eli Bartov, F. Gul, J. Tsui
{"title":"Discretionary-Accruals Models and Audit Qualifications","authors":"Eli Bartov, F. Gul, J. Tsui","doi":"10.2139/ssrn.214996","DOIUrl":"https://doi.org/10.2139/ssrn.214996","url":null,"abstract":"The primary objective of this study is to evaluate empirically the ability of two cross-sectional models, the Cross-Sectional Jones Model and the Cross-Sectional Modified Jones Model, to detect earnings management vis-a-vis their time-series counterparts. The motivation follows because these two cross-sectional models have not been formally evaluated by prior research, and because their use offers substantial advantages to investors and researchers over their time-series counterparts. A secondary objective is to assess the robustness of findings of prior studies assessing discretionary-accruals models using our new sample and research method, which controls for potential research confounds. The evaluation involves examining the association between discretionary accruals and audit qualifications, using a sample of 166 distinct firms with qualified audit reports and a matched-pair control sample with clean audit reports. An association between large discretionary accruals generated by a model and an audit qualification provides evidence on the ability of the model to detect earnings management. Results from univariate tests that do not control for potential research confounds show that all models, except the DeAngelo Model, are consistently successful in discriminating between firms that manage earnings. Once potential research confounds are controlled, however, only the two cross-sectional models are able to detect earnings management. This last result, which highlights the importance of controlling for research confounds in earnings management studies using carefully selected samples, implies that the cross-sectional models are superior to their time-series counterparts. This finding is particularly important for future earnings management research because using a cross-sectional model rather than its time-series counterpart should result in a larger sample size that is less subject to a survivorship bias, and will also allow examining samples of firms with short history.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124980878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 961
Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt 成本融资、最优支付政策与公司债务估值
New York University Stern School of Business Research Paper Series Pub Date : 1999-12-01 DOI: 10.2139/ssrn.199768
V. Acharya, Jing-Zhi Huang, M. Subrahmanyam, R. Sundaram
{"title":"Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt","authors":"V. Acharya, Jing-Zhi Huang, M. Subrahmanyam, R. Sundaram","doi":"10.2139/ssrn.199768","DOIUrl":"https://doi.org/10.2139/ssrn.199768","url":null,"abstract":"We present a cash-flow based model of corporate debt valuation that incorporates two novel features. First, we allow for the separation and optimal determination of the firm's debt-service and dividend policies; in particular, the firm is allowed to maintain cash reserves to meet future debt obligations. Second, our model admits the possibility that raising resources through issuance of new equity could be a costly procedure. In contrast, much of the previous literature has considered only dividend polices that are the \"residual\" consequences of debt-service policy, and has assumed new equity issuance costs are either zero or infinite.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121990409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1 基于双因素现货-期货模型的美式掉期定价
New York University Stern School of Business Research Paper Series Pub Date : 1999-12-01 DOI: 10.2139/ssrn.199899
Sandra Peterson, R. Stapleton, M. Subrahmanyam
{"title":"The Valuation of American-Style Swaptions in a Two-Factor Spot-Futures Model1","authors":"Sandra Peterson, R. Stapleton, M. Subrahmanyam","doi":"10.2139/ssrn.199899","DOIUrl":"https://doi.org/10.2139/ssrn.199899","url":null,"abstract":"We build a no-arbitrage model of the term structure of interest rates using two stochastic factors, the short-term interest rate and the premium of the futures rate over the short-term interest rate. The model provides and extension of the lognormal interest rate model of Black and Karasinski (1991) to two factors, both of which can exhibit mean-reversion. The method is computationally efficient for several reasons. First, the model is based on Libor futures prices, enabling us to satisfy the no-arbitrage condition without resorting to iterative methods. Second, we modify and implement the binomial approximation methodology of Nelson and Ramaswamy (1990) and Ho, Stapleton and Subrahmanyam (1995) to compute a multiperiod tree of rates with the no-arbitrage property. The method uses a recombining two-dimensional binomial lattice of interest rates that minimizes the number of states and term structures over time. In addition to these computational advantages, a key feature of the model is that it is consistent with the observed term structure of futures rates as well as the term structure of volatilities implied by the prices of interest rate caps and floors. These prices are shown to be highly sensitive to the existence of the second factor and its volatility characteristics.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129511609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Temporal Resolution of Uncertainty and Corporate Debt Yield: An Empirical Investigation 不确定性的时间化解与公司债收益率:一个实证研究
New York University Stern School of Business Research Paper Series Pub Date : 1999-11-01 DOI: 10.1086/499136
Alexander S. Reisz
{"title":"Temporal Resolution of Uncertainty and Corporate Debt Yield: An Empirical Investigation","authors":"Alexander S. Reisz","doi":"10.1086/499136","DOIUrl":"https://doi.org/10.1086/499136","url":null,"abstract":"This paper is intended to measure Reisz's (1999) empirical implication about bond yields against data: yields demanded on corporate debt should be higher the later the uncertainty facing the firm is resolved. We conduct our study looking at new bond issues made by industrial corporations between 1987 and 1996. Based on this sample, we find strong evidence that firms with more delayed resolution of uncertainty offer higher yields once default and overall risks have been controlled for. We also find that the maturity premium on corporate bonds is monotonic in the pattern of Temporal Resolution of Uncertainty (TRU) facing the firm. Both results are mitigated for firms whose managers enjoy fewer information asymmetries. We also find that firms with more delayed TRU rely less heavily on debt and tend to issue shorter-term bonds.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"24 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127646587","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Financial Markets and Firm Dynamics
New York University Stern School of Business Research Paper Series Pub Date : 1999-09-01 DOI: 10.1257/AER.91.5.1286
Thomas F. Cooley, Vincenzo Quadrini
{"title":"Financial Markets and Firm Dynamics","authors":"Thomas F. Cooley, Vincenzo Quadrini","doi":"10.1257/AER.91.5.1286","DOIUrl":"https://doi.org/10.1257/AER.91.5.1286","url":null,"abstract":"Recent studies have shown that the dynamics of firms (growth, job relocation and exit) are negatively associated with the firm's size. In this paper we analyze whether financial factors are important in generating this negative relation. We develop a model in which, at each point in time, firms are heterogeneous in the amount of equity, and the equity affects their financing decision. The production and investment behavior of small and large firms differs substantially, and the model replicates many of the key features of industry evolution: smaller firms experience faster growth, higher rates of job creation and destruction and lower survival rates. *We have received helpful comments and suggestions from Jeff Campbell, David Chapman, Hal Cole, Tom Cosimano, Joao Gomes, Hugo Hopenhayn, Jose-Victor Rios-Rull, and Harald Uhlig. This research is supported in part by NSF Grant SBR 9617396.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125015837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 870
Private Insurance Markets or Redistributive Taxes? 私人保险市场还是再分配税?
New York University Stern School of Business Research Paper Series Pub Date : 1999-03-01 DOI: 10.21034/sr.262
Dirk Krueger, F. Perri
{"title":"Private Insurance Markets or Redistributive Taxes?","authors":"Dirk Krueger, F. Perri","doi":"10.21034/sr.262","DOIUrl":"https://doi.org/10.21034/sr.262","url":null,"abstract":"We explore the welfare consequences of different taxation schemes in an economy where agents are debt-constrained. If agents default on their debt, they are banned from future credit markets, but retain their private endowments which are subject to income taxation. A change in the tax system changes the severity of punishment from default and, hence, leads to a limitation of possible risk sharing via private contracts. The welfare consequences of a change in the tax system depend on the relative magnitudes of increased risk sharing forced by the new tax system and the reduced risk sharing in private insurance markets. We quantitatively address this issue by calibrating an artificial economy to US income and tax data. We show that for a plausible selection of the structural parameters of our model, the change to a more redistributive tax system leads to less risk sharing among individuals and lower ex-ante welfare.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128140916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 37
Structural Change Tests in Tail Behaviour and the Asian Crisis 尾部行为的结构变化测试与亚洲金融危机
New York University Stern School of Business Research Paper Series Pub Date : 1999-01-01 DOI: 10.1111/1467-937X.00184
Carmela Quintos, Zhenhong Fan, P. Phillips
{"title":"Structural Change Tests in Tail Behaviour and the Asian Crisis","authors":"Carmela Quintos, Zhenhong Fan, P. Phillips","doi":"10.1111/1467-937X.00184","DOIUrl":"https://doi.org/10.1111/1467-937X.00184","url":null,"abstract":"This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The recursive test is shown to be inconsistent in one direction, and only a one-sided test is recommended. Specifically, the test can be used when the alternative hypothesis is that the tail index decreases over time. A rolling and sequential version of the test is consistent in both directions. The methods are illustrated on recent stock price data for Thailand, Malaysia and Indonesia. The period covers the recent Asian financial crisis and enables us to assess whether breakpoints in domestic asset return distributions are related to known changes in institutional arrangements in the foreign currency markets of these countries.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125248323","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 150
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