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Working Paper
The role of warrants in corporate reorganizations
Longhofer, Stanley D. (1995)
An argument that informational asymmetries explain why the original shareholders of some firms emerge from Chapter 11 bankruptcy proceedings with stock in the reorganized company, while others receive warrants. By proposing a reorganization plan in which they receive warrants, the original stockholders of a firm with good future prospects can signal their superior information to the creditors in a way that firms with poor prospects will not wish to mimic.
Working Papers (Old Series) , Paper 9512

Journal Article
Primer on U.S. stock price indices
Fortune, Peter (1998-11)
The measurement of the "average" price of common stocks is a matter of widespread interest. Investors want to know how "the market" is doing, and to be able to compare their returns with a meaningful benchmark. Money managers often have their compensation tied to performance, typically measured by comparing their results to a benchmark portfolio, so they and their clients are interested in the benchmark portfolio's returns. And policymakers want to judge the potential for sudden adjustments in stock prices when differences from "fundamental value emerge. ; This article discusses some ...
New England Economic Review , Issue Nov , Pages 25-40

Journal Article
Are stock returns different over weekends? a jump diffusion analysis of the \"weekend effect\"
Fortune, Peter (1999-09)
The distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. The performance of stock prices during breaks in trading has received considerable attention in recent years, especially since the advent of "circuit breakers" designed to create stability when markets are chaotic. This study examines the distribution of daily returns on five popular stock price indices, with a special emphasis on the difference between returns over weekends and returns over adjacent intraweek trading days. The author revisits the "weekend effect" in ...
New England Economic Review , Issue Sep , Pages 3-19

Working Paper
Are U.S. investment and capital stocks at optimal levels?
Kennedy, James E.; Cohen, Darrel; Hassett, Kevin A. (1995)
Finance and Economics Discussion Series , Paper 95-32

Working Paper
Managing international portfolios with small capitalization stocks
Nicodano, Giovanna; Guidolin, Massimo (2007)
In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis. Because of this feature, a power utility investor ought to hold a well-diversified portfolio, despite the high risk premium and Sharpe ratios offered by small capitalization stocks. On the contrary small caps command large optimal weights when the investor ignores variance risk, by incorrectly assuming joint normality of returns. The dominant factor in inducing ...
Working Papers , Paper 2007-030

Journal Article
Stock market volatility
Krainer, John (2002)
FRBSF Economic Letter

Journal Article
Stockholding is still highly concentrated
Guo, Hui (2001-06)
National Economic Trends , Issue Jun

Report
Description of margin requirements
Sofianos, George (1988)
Research Paper , Paper 8823

Working Paper
From the horse’s mouth: how do investor expectations of risk and return vary with economic conditions?
Amromin, Gene; Sharpe, Steven A. (2012)
Data obtained from monthly Gallup/UBS surveys from 1998-2007 and from a special supplement to the Michigan Surveys of Consumer Attitudes, run in 22 monthly surveys between 2000-2005, are used to analyze stock market beliefs and portfolio choices of household investors. We show that the key variables found to be positive predictors of actual stock returns in the asset-pricing literature are also highly correlated with investor?s reported expected returns, but with the opposite sign. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly ...
Working Paper Series , Paper WP-2012-08

Discussion Paper
What Can We Learn from Prior Periods of Low Volatility?
Navarro-Staicos, Juan; Rosa, Carlo; Duarte, Fernando M. (2014-10-06)
Volatility, a measure of how much financial markets are fluctuating, has been near its record low in many asset classes. Over the last few decades, there have been only two other periods of similarly low volatility: in May 2013, and prior to the financial crisis in 2007. Is there anything we can learn from the recent period of low volatility versus what occurred slightly more than one year ago and seven years ago? Probably; the current volatility environment appears quite similar to the one in May 2013, but it?s substantially different from what happened prior to the financial crisis.
Liberty Street Economics , Paper 20141006

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