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Journal Article
What can \"buy-and-hold\" stock investors expect?
Emmons, William R. (1999-06)
Monetary Trends , Issue Jun

Working Paper
Who benefits from a bull market? an analysis of employee stock option grants and stock prices
Weisbenner, Scott; Liang, J. Nellie (2001)
Stock option grants to top executives and to employees below the top executive ranks have risen rapidly with stock prices in recent years. This paper examines the growth in stock option grants at S&P 1500 companies between 1996 and 1999, and estimates the pay-for-performance sensitivities of the value of new option grants for top executives and, separately, for employees below the top executive levels. In our framework, options are a reward for past performance, leading to a positive relationship between firms' stock prices and the value of new option grants. We find substantial sensitivities ...
Finance and Economics Discussion Series , Paper 2001-57

Working Paper
When is inter-transaction time informative?
Furfine, Craig H. (2003)
We investigate the information content of inter-transaction time and find that it varies both across stocks and over time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general, trades arriving quickly move prices more than trades arriving more slowly. Further, the information content of inter-transaction time is negatively correlated with proxies for the amount of private information in the trading of a particular ...
Working Paper Series , Paper WP-03-04

Journal Article
Consistent margin requirements: are they feasible?
Estrella, Arturo (1988-07)
Quarterly Review , Volume 13 , Issue Sum , Pages 61-79

Working Paper
An empirical examination of the price-dividend relation with dividend management
Ackert, Lucy F.; Hunter, William C. (2000)
Some recent empirical evidence suggests that stock prices are not properly modelled as the present discounted value of expected dividends. In this paper we estimate a present value model of stock price that is capable of explaining the observed long-term trends in stock prices. The model recognizes that firm managers control cash dividend payments. The model estimates indicate that stock price movements may be explained by managerial behavior.
Working Paper Series , Paper WP-00-22

Conference Paper
Impact of globalization on monetary policy
Rogoff, Kenneth S. (2006)
Proceedings - Economic Policy Symposium - Jackson Hole

Journal Article
Margin requirements on equity instruments
Sofianos, George (1988-07)
Quarterly Review , Volume 13 , Issue Sum , Pages 47-60

Working Paper
Stock market uncertainty and the relation between stock and bond returns
Sun, Licheng; Stivers, Chris (2002)
The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that stock and bond returns tend to move substantially together during periods of lower stock market uncertainty. However, stock and bond returns tend to exhibit little relation or even a negative relation during periods of high stock market uncertainty. The authors? findings have implications for ...
FRB Atlanta Working Paper , Paper 2002-3

Working Paper
401(k) matching contributions in company stock: costs and benefits for firms and workers
Weisbenner, Scott; Brown, Jeffrey R.; Liang, J. Nellie (2004)
This paper examines why some employers provide matching contributions to 401(k) plans in company stock and explores the implications of match policy for employee retirement wealth. Unlike stock option grants to non-executives, a firm's decision to match in company stock does not appear to be strongly correlated with cash flow or with measures of the benefits of aligning incentives of employees and employers. Rather, we find evidence that firms are more likely to provide the match in company stock if firm risk is low (i.e. lower stock price volatility and lower bankruptcy risk) and employees ...
Finance and Economics Discussion Series , Paper 2004-23

Journal Article
The equity risk-premium puzzle
Huh, Chan Guk (1990)
FRBSF Economic Letter

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