The Journal of Finance

Futures Markets and Informational Efficiency: A Laboratory Examination

Published: 9/1984,  Volume: 39,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1984.tb03887.x  |  Cited by: 54

ROBERT FORSYTHE, THOMAS R. PALFREY, CHARLES R. PLOTT

Through the use of laboratory market methodology, the effect of a futures market on the time path of asset prices is studied and competing models of asset pricing are analyzed. With replication of market conditions, the predictions of a rational expectations equilibrium model are relatively accurate whether or not futures markets are present. However, the presence of futures markets increases the speed with which an efficient equilibrium is achieved. While this more rapid adjustment can increase the variance of spot market prices as they move to equilibrium, this increased variance reflects efficiency gains due to better information.

ON THE DISTRIBUTIONAL IMPACT OF FEDERAL INTEREST RATE RESTRICTIONS

Published: 3/1978,  Volume: 33,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1978.tb03399.x  |  Cited by: 4

Charles Clotfelter, Charles Lieberman

On the Number of Factors in the Arbitrage Pricing Model

Published: 6/1986,  Volume: 41,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1986.tb05041.x  |  Cited by: 115

CHARLES TRZCINKA

Recent theory has demonstrated that the Arbitrage Pricing Model with K factors critically depends on whether K eigenvalues dominate the covariance matrix of returns as the number of securities grows large. The purpose of this paper is to test whether sample covariance matrices can be characterized as having K large eigenvalues. Using all available data on the 1983 CRSP tapes, we compute sample covariance matrices of returns in sequentially larger portfolios of securities. Analyzing their eigenvalues, we find evidence that one eigenvalue dominates the covariance matrix indicating that a one‐factor model may describe security pricing. We also find that, for values of K larger than one, there is no obvious way to choose the number of factors. Nevertheless, we find that while only the first eigenvalue dominates the matrix, the first five eigenvalues are growing more distinct.

THE FISCAL IMPACTS OF INTERGOVERNMENTAL AID ON LOCAL GOVERNMENTS IN ONONDAGA COUNTY, NEW YORK*

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00890.x  |  Cited by: 0

Charles Waldauer

HOW THE UNITED STATES FINANCED WORLD WAR I*

Published: 12/1955,  Volume: 10,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1955.tb01303.x  |  Cited by: 0

Charles Gilbert

COMMERCIAL‐BANK HOLDINGS OF MORTGAGES INSURED BY THE FEDERAL HOUSING ADMINISTRATION*

Published: 3/1971,  Volume: 26,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1971.tb00608.x  |  Cited by: 0

Charles Huegy

DISCUSSION

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb00577.x  |  Cited by: 1

Charles Upton

The Pricing of Tax‐Exempt Bonds and the Miller Hypothesis

Published: 9/1982,  Volume: 37,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1982.tb03588.x  |  Cited by: 60

CHARLES TRZCINKA

This paper reports a new test of two competing theories of the relation between tax‐exempt and taxable interest rates. The Miller hypothesis predicts that the tax‐exempt rate is 52 percent of the taxable rate, while the institutional demand hypothesis predicts a volatile relationship. The tests in this paper employ a random intercept model to control for the risk of average interest rates. The results favor the Miller hypothesis. Marginal tax rates are found to be close to Miller's predicted 48 percent. The relationship is not influenced by relative demand or supply and the marginal tax rate appears stable over time.

AN INVESTIGATION OF THE SHORT RUN EFFECTS OF CAPITAL GAINS ON HOUSEHOLD CONSUMPTION AND SAVING*

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01039.x  |  Cited by: 0

Charles Lieberman

Performance Hypothesis Testing with the Sharpe and Treynor Measures: A Comment

Published: 12/1986,  Volume: 41,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1986.tb02541.x  |  Cited by: 17

CHARLES BRAM CADSBY

A STUDY OF DISTRIBUTED LAGS AND BUSINESS FIXED INVESTMENT*

Published: 12/1969,  Volume: 24,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1969.tb01707.x  |  Cited by: 0

Charles W. Bischoff

INFLATION AND CAPITAL BUDGETING

Published: 6/1976,  Volume: 31,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1976.tb01934.x  |  Cited by: 35

Charles R. Nelson

INFLATION AND RATES OF RETURN ON COMMON STOCKS

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb01900.x  |  Cited by: 383

Charles R. Nelson

INTEREST‐RATE REGULATION ON COMMERCIAL‐BANK DEPOSITS: ITS EVOLUTION AND IMPACT IN THE STATE OF INDIANA*

Published: 12/1967,  Volume: 22,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1967.tb00309.x  |  Cited by: 0

Charles M. Linke

THE IMPLEMENTATION OF MONETARY POLICY WITH SPECIAL ATTENTION TO THE AVAILABILITY OF CREDIT*

Published: 12/1956,  Volume: 11,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1956.tb04094.x  |  Cited by: 0

Charles Foster Haywood

NOTES ON FEDERAL RESERVE POLICY, AUGUST, 1945—JUNE, 1948

Published: 6/1949,  Volume: 4,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1949.tb02339.x  |  Cited by: 0

Charles C. Abbott

A SIMPLIFIED RECONCILIATION OF ECONOMIC AND ACCOUNTING DETERMINANTS OF DEPRECIATION COST*

Published: 9/1958,  Volume: 13,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1958.tb04206.x  |  Cited by: 0

Charles E. Gilliland

A COMMENT ON “THE FEDERAL HOME LOAN BANK SYSTEM AND THE CONTROL OF CREDIT”

Published: 12/1958,  Volume: 13,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1958.tb04221.x  |  Cited by: 0

Charles F. Haywood

THE ADEQUACY OF FEDERAL RESERVE POWERS TO DISCHARGE RESPONSIBILITIES*

Published: 5/1959,  Volume: 14,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1959.tb01576.x  |  Cited by: 0

Charles F. Haywood

THE FINANCIAL POLICIES OF CHURCHES

Published: 12/1951,  Volume: 6,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1951.tb04483.x  |  Cited by: 1

Charles N. Millican

AVERAGE INTEREST CHARGES, THE LOAN MIX, AND MEASURES OF COMPETITION: SIXTH FEDERAL RESERVE DISTRICT EXPERIENCE

Published: 12/1968,  Volume: 23,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1968.tb00317.x  |  Cited by: 1

Charles T. Taylor

THE VALUE OF QUARTERLY INFORMATION IN PREDICTING FUTURE STOCK PRICE CHANGES*

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00942.x  |  Cited by: 0

Charles P. Jones

CHURCH FINANCING BY FINANCIAL INSTITUTIONS IN THE UNITED STATES, 1946–52*

Published: 12/1955,  Volume: 10,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1955.tb01300.x  |  Cited by: 0

Charles N. Millican

DEMAND FOR SHORT TERM GOVERNMENT DEBT*

Published: 3/1972,  Volume: 27,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1972.tb00638.x  |  Cited by: 0

Charles I. Smith

GROSS FLOWS OF FUNDS THROUGH SAVINGS AND LOAN ASSOCIATIONS

Published: 5/1960,  Volume: 15,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1960.tb00160.x  |  Cited by: 1

CHARLES M. TORRANCE

FEDERAL CREDIT UNIONS IN THE UNITED STATES AN ANALYSIS*

Published: 3/1959,  Volume: 14,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1959.tb00497.x  |  Cited by: 0

Charles F. Meehling

Growth, Consolidation and Mergers in Banking: Comment

Published: 9/1976,  Volume: 31,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1976.tb01973.x  |  Cited by: 0

R. Charles Moyer

THE TREATMENT OF SECURITY HOLDERS UNDER THE ABSOLUTE PRIORITY RULE IN CHAPTER X REORGANIZATIONS*

Published: 12/1966,  Volume: 21,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1966.tb00281.x  |  Cited by: 0

Charles B. Franklin

CORPORATE SAVING BEHAVIOR: A STUDY OF INTERNAL FINANCING*

Published: 12/1960,  Volume: 15,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1960.tb02775.x  |  Cited by: 0

Charles W. Howe

THE CENTRALIZATION OF GOVERNMENTAL EXPENDITURES FOR EDUCATION AND HIGHWAYS IN NORTH CAROLINA, 1929–52

Published: 9/1956,  Volume: 11,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1956.tb00116.x  |  Cited by: 0

Charles E. Ratliff

The Hedging Performance of the New Futures Markets: Comment

Published: 12/1980,  Volume: 35,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1980.tb02211.x  |  Cited by: 65

CHARLES T. FRANCKLE

AN ANALYSIS OF THE KENTUCKY INCOME TAX*

Published: 9/1955,  Volume: 10,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1955.tb01290.x  |  Cited by: 0

Charles R. Lockyer

OLD AND NEW IDEAS ON RESERVE REQUIREMENTS

Published: 5/1953,  Volume: 8,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1953.tb01156.x  |  Cited by: 0

Charles R. Whittlesey

DISCUSSION

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00801.x  |  Cited by: 0

Charles J. Goetz

DISCUSSION

Published: 5/1967,  Volume: 22,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1967.tb00014.x  |  Cited by: 0

Charles M. Linke

CHANGES IN RAILROAD FINANCIAL STRUCTURES 1929–1958*

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04347.x  |  Cited by: 0

Charles A. D'Ambrosio

THE INFLUENCE OF GROWTH DURATION ON SHARE PRICES*

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04300.x  |  Cited by: 7

Charles C. Holt

QUANTIFICATION AND MEASUREMENT OF RISK: AN EMPIRICAL STUDY OF SELECTED COMMON STOCKS*

Published: 9/1967,  Volume: 22,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1967.tb02987.x  |  Cited by: 0

Charles Griffiths Ferreira

Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experimental Investigation

Published: 6/1996,  Volume: 51,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1996.tb02696.x  |  Cited by: 85

CHARLES R. SCHNITZLEIN

I examine the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. I find significant differences in an environment that extends the Kyle (1985) framework to permit the exogenous liquidity trading motive to have a natural economic interpretation. The adverse selection costs incurred by noise traders are significantly lower under the call auction, despite no significant reduction in average price efficiency. This result suggests that discussions of the costs and benefits of insider trading should take place within the context of a specific trading mechanism.

LINEAR PROGRAMMING AND SHORT‐TERM FINANCIAL PLANNING*

Published: 9/1969,  Volume: 24,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1969.tb00406.x  |  Cited by: 0

Charles W. Young

THE DISTRIBUTIONS OF MEMBER‐BANK RESERVES AMONG THE TWELVE FEDERAL RESERVE DISTRICTS, 1948–1964*

Published: 12/1967,  Volume: 22,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1967.tb00310.x  |  Cited by: 0

L. Charles Miller

MEETING THE LONG‐TERM CAPITAL REQUIREMENTS OF SMALL BUSINESS*

Published: 6/1951,  Volume: 6,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1951.tb04452.x  |  Cited by: 3

Charles H. Schmidt

TAXES, THE COST OF CAPITAL, AND THE FIRM'S INVESTMENT DECISIONS

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00927.x  |  Cited by: 1

Charles W. Haley

THE DICHOTOMY BETWEEN MONETARY AND VALUE THEORY IN CLASSICAL AND NEOCLASSICAL ECONOMICS*

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00537.x  |  Cited by: 0

Charles W. Baird

Nonparametric Estimates of LDC Repayment Prospects

Published: 5/1979,  Volume: 34,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1979.tb02105.x  |  Cited by: 6

CHARLES FISK, FRANK RIMLINGER

Ownership Structure, Speculation, and Shareholder Intervention

Published: 2/1998,  Volume: 53,  Issue: 1  |  DOI: 10.1111/0022-1082.45483  |  Cited by: 569

Charles Kahn, Andrew Winton

An institution holding shares in a firm can use information about the firm both for trading (“speculation”) and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervention. We examine key factors that affect the intervention decision, the usefulness of “short‐swing” provisions and restricted shares in encouraging institutional intervention, and implications for ownership structure across different firms.

Analyst Forecast Consistency

Published: 1/11/2013,  Volume: 68,  Issue: 1  |  DOI: 10.1111/j.1540-6261.2012.01800.x  |  Cited by: 220

GILLES HILARY, CHARLES HSU

We show empirically that analysts who display more consistent forecast errors have greater ability to affect prices, and that this effect is larger than that of stated accuracy. These results lead to three implications. First, consistent analysts are less likely to be demoted and are more likely to be nominated All Star analysts. Second, analysts strategically deliver downward‐biased forecasts to increase their consistency (if at the expense of stated accuracy). Finally, the benefits of consistency and of “lowballing” (accuracy) are increasing (decreasing) in institutional investors’ presence.

REPLY

Published: 6/1972,  Volume: 27,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1972.tb01000.x  |  Cited by: 0

Vittorio Bonomo, Charles Schotta

Market Integration and Price Execution for NYSE‐Listed Securities

Published: 7/1993,  Volume: 48,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1993.tb04028.x  |  Cited by: 73

CHARLES M. C. LEE

For New York Stock Exchange (NYSE) listed securities, the price execution of seemingly comparable orders differs systematically by location. In general, executions at the Cincinnati, Midwest, and New York stock exchanges are most favorable to trade initiators, while executions at the National Association of Security Dealers (NASD) are least favorable. These intermarket price differences depend on trade size, with the smallest trades exhibiting the biggest per share price difference. Collectively, these results raise questions about the adequacy of the existing intermarket quote system (ITS), the broker's fiduciary responsibility for “best execution,” and the propriety of order flow inducements.

FEDERAL OPEN MARKET OPERATIONS AND VARIATIONS IN THE RESERVE BASE

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00530.x  |  Cited by: 1

Vittorio Bonomo, Charles Schotta