Search Results
Journal Article
Settlement delays and stock prices
An analysis of whether investors consider the length of the settlement delay between the time a stock trade is executed and the security is delivered. By modeling stock returns and conducting regression tests, the author concludes that stock prices do reflect the effects of the settlement delay.
Journal Article
Merchant acquirers and payment card processors: a look inside the black box
Each year, hundreds of millions of credit and debit cardholders make billions of transactions worth trillions of dollars. Yet few consumers are aware that such transactions travel through, and are made possible by a highly evolved group of intermediaries that sign up merchants to accept cards, handle card transactions, manage the dispute-resolution process, and, along with regulatory agencies, set rules that govern card transactions. ; This article demystifies the ?Black Box? of the transactions process for payment cards. After describing a simple transaction with a private-label card, the ...
Working Paper
Expected returns to stock investments by angel investors in groups
Angel investors invest billions of dollars in thousands of entrepreneurial projects annually, far more than the number of firms that obtain venture capital. Previous research has calculated realized internal rates of return on angel investments, but empirical estimates of expected returns have not yet been produced. Although calculations of realized returns are a valuable contribution, expected returns, rather than realized returns, drive investment decisions. We use a new data set and statistical framework to produce the first empirical estimates of expected returns on angel investments. We ...
Conference Paper
The asset flexibility option and the value of deposit insurance
Working Paper
Is there discrimination in mortgage pricing? the case of overages
We conduct an empirical investigation to explain observed differentials in mortgage overage pricing. Our analysis makes several contributions. First, we study an area of mortgage pricing that is little understood by consumers and has received little scrutiny in the literature. Second, we consider the impact of the market power of individual loan officers on overages paid by borrowers, particularly minorities. Third, we include a number of borrower and lender characteristics not available in previous analysis. ; Importantly, we introduce a new direct measure of the market power of individual ...
Working Paper
Market imperfections
Market imperfections affect virtually every transaction in some way, generating costs that interfere with trades that rational individuals make, or would make, in the absence of the imperfection. Understanding these costs gives us insight regarding the total costs of transactions, where to place them, or whether to make them at all. Market imperfections also generate profit opportunities for entrepreneurs who can reduce or eliminate them. Institutions or individuals who can lower costs tracing to imperfections have a competitive advantage and can earn economic rents until competing firms ...
Working Paper
Asset allocation and section 529 plans
Previous research has concluded that prespecified asset allocations used by many Section 529 college savings plans are suboptimal. We extend this research to show that though it may be true, it is true for reasons other than those asserted in previous research. In addition, it tends to deflect attention from other investment options and strategies.
Working Paper
A generalized method for detecting abnormal returns and changes in systematic risk
The authors generalize traditional event-study techniques to allow for event-induced parameter shifts, shifting variances, and firm-specific event periods. Their method, which nests traditional methods, also permits systematic risk to change gradually during the event period and exit the period at higher or lower levels. The authors use their approach to study 132 banks that acquired other institutions between 1989 and 1995. The authors find a significant change in the systematic risk of the acquiring firms, significant ARCH effects, and an event period that ends before the date of the ...