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Showing results 1 to 10 of approximately 103.
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Journal Article
Dow-Jones futures
Dew, Kurt
(1978)
FRBSF Economic Letter
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
Conference Paper
Impact of globalization on monetary policy
Rogoff, Kenneth S.
(2006)
Proceedings - Economic Policy Symposium - Jackson Hole
Journal Article
Volatile firms, stable economy
Guo, Hui
(2004-03)
National Economic Trends
, Issue Mar
Report
The joint dynamics of liquidity, returns, and volatility across small and large firms
Subrahmanyam, Avanidhar; Sarkar, Asani; Chordia, Tarun
(2005)
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
Margin requirements on equity instruments
Sofianos, George
(1988-07)
Quarterly Review
, Volume 13
, Issue Sum
, Pages 47-60
Conference Paper
Consequences of going private buyouts for public debt and preferred stock: 1974-1985
Smith, Abbie; Schipper, Katherine; Marais, Laurentius
(1989)
Proceedings
, Paper 232
Discussion Paper
Leader-Follower Dynamics in Shareholder Activism
Cetemen, Doruk; Cisternas, Gonzalo; Kolb, Aaron; Viswanathan, S
(2023-09-06)
Activist shareholders play a central role in modern corporations, influencing the capital structure, business strategy, and governance of firms. Such “blockholders” range from investors who actively jawbone or break up firms to index funds that are largely passive in that they limit themselves to voting. In between, however, is a key group of blockholders that have historically focused on trading but have embraced activism as an established business strategy in the past few decades. Campaigns involving such “trading” blockholders have become ubiquitous, increasingly targeting ...
Liberty Street Economics
, Paper 20230906
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
Working Paper
Reexamining stock valuation and inflation: the implications of analysts' earnings forecasts
Sharpe, Steven A.
(2001)
This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation between equity valuations and expected inflation is found to be the result of two effects: a rise in expected inflation coincides with both (i) lower expected real earnings growth and (ii) higher required real returns. The earnings channel mostly reflects a negative relation between expected long-term ...
Finance and Economics Discussion Series
, Paper 2001-32
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