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Fifteen minutes of fame? The market impact of internet stock picks

We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick day remains higher for these stocks than for a sample matched according to size, book-to-market value, and liquidity in the preceding year. In addition, after controlling for fundamental and microstructure factors, we find that stocks with lower initial liquidity have greater improvements in liquidity ...
Staff Reports , Paper 158

The joint dynamics of liquidity, returns, and volatility across small and large firms

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are informative in predicting liquidity shifts in the other. Impulse responses indicate the existence of persistent liquidity, return, and volatility spillovers across the small- and large-cap sectors. Lead and lag patterns across small- and ...
Staff Reports , Paper 207

Journal Article
Why don't banks take stock?

Banks in the United States are forbidden to hold stock in nonfinancial firms under most circumstances. The same is not true of banks in other countries. But are U.S. banks really shackled compared with their foreign counterparts? Do such restrictions make a difference in banks' behavior? Mitchell Berlin discusses these and other questions about banks' financial claims in nonfinancial firms and offers some possible answers.
Business Review , Issue May , Pages 3-15

Working Paper
401(k) matching contributions in company stock: costs and benefits for firms and workers

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

Working Paper
Motor vehicle stocks, scrappage, and sales

This paper offers a new framework for analyzing aggregate sales of new motor vehicles that incorporates separate models for the change in the vehicle stock and for the rate of vehicle scrappage. Because this approach requires only a minimal set of assumptions about demographic trends, the state of the economy, consumer "preferences," new vehicle prices and repair costs, and vehicle retirements, it is shown to be especially useful as a macroeconomic forecasting tool. In addition, a new historical annual time series estimate of motor vehicle stocks in the United States is presented.
Finance and Economics Discussion Series , Paper 96-40

Working Paper
Share repurchases and employee stock options and their implications for S&P 500 share retirements and expected returns

We estimate the effects of share repurchases and employee stock option exercises on net share retirements for large S&P 500 companies. We find that, over the past five years, gross repurchases have reduced shares outstanding 2 percent annually; but, owing to the exercise of employee stock options, only about half of those shares were actually retired. Given the recent pace of employee stock option grants, and assuming that equities continue to be priced at about 30 times earnings, our analysis suggests that the pace of net share retirements will fall well below the pace of the last few years, ...
Finance and Economics Discussion Series , Paper 1999-59

Working Paper
Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design

Using panel data for nearly 1,000 companies during 1991 to 2000, this paper finds that employees allocated nearly 20 percent of their total 401(k) contributions to purchases of company stock, and then relates this share to plan design features and firm financial characteristics. We find that the number of investment alternatives offered, n, and whether the company requires some of the match to be in company stock are key factors of the share of total contributions in company stock. We cannot reject the hypothesis that participants invest 1/n of their contributions in company stock. In ...
Finance and Economics Discussion Series , Paper 2002-36

Working Paper
Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules

This paper analyzes the ability of both economic variables and moving-average rules to forecast the monthly U.S. equity premium using out-of-sample tests for 1960?2008. Both approaches provide statistically and economically significant out-of-sample forecasting gains, which are concentrated in U.S. business-cycle recessions. Nevertheless, economic variables and moving-average rules capture different sources of equity premium fluctuations: moving average rules detect the decline in the average equity premium early in recessions, while economic variables more readily pick up the rise in the ...
Working Papers , Paper 2010-008

Working Paper
Incorporating equity market information into supervisory monitoring models

We examine whether equity market variables, such as stock returns and equity-based default probabilities, are useful to bank supervisors for assessing the condition of bank holding companies. Using an event study framework, we find that equity market variables anticipate supervisory ratings changes by up to four quarters and that the improvements in forecast accuracy arising from conditioning on equity market information are statistically significant. We develop an off-site monitoring model that easily combines supervisory and equity market information, and we find that the model's forecasts ...
Working Paper Series , Paper 2001-14

Discussion Paper
How the stock market could learn to live with index futures and options

Research Papers in Banking and Financial Economics , Paper 88



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Liang, J. Nellie 7 items

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