Search results: 50.
The Pre‐FOMC Announcement Drift
Published: 1/19/2015, Volume: 70, Issue: 1 | DOI: 10.1111/jofi.12196 | Cited by: 556
DAVID O. LUCCA, EMANUEL MOENCH
We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre‐FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre‐FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to preannouncement excess equity returns. We discuss challenges in explaining these returns with standard asset pricing theory.
The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under
Published: 12/30/2023, Volume: 79, Issue: 2 | DOI: 10.1111/jofi.13307 | Cited by: 10
DAVID O. LUCCA, JONATHAN H. WRIGHT
We study the recent Australian experience with yield curve control (YCC) as perhaps the best evidence of how this policy might work in other developed economies. YCC seemingly worked well in 2020, when the market expected short rates to stay at zero for a long period of time. As the global recovery and inflation gained momentum in 2021, liftoff expectations moved up, the Reserve Bank of Australia purchased most of the targeted government bond outstanding, and the target bond's yield dislocated from other financial market instruments. The evidence suggests that central bank bond purchase programs can operate more narrowly than previously considered.
Resource Allocation in Bank Supervision: Trade‐Offs and Outcomes
Published: 6/2022, Volume: 77, Issue: 3 | DOI: 10.1111/jofi.13127 | Cited by: 42
THOMAS M. EISENBACH, DAVID O. LUCCA, ROBERT M. TOWNSEND
We estimate a structural model of resource allocation on work hours of Federal Reserve bank supervisors to disentangle how supervisory technology, preferences, and resource constraints impact bank outcomes. We find a significant effect of supervision on bank risk and large technological scale economies with respect to bank size. Consistent with macroprudential objectives, revealed supervisory preferences disproportionately weight larger banks, especially post‐2008 when a resource reallocation to larger banks increased risk on average across all banks. Shadow cost estimates show tight resources around the financial crisis and counterfactuals indicate that binding constraints have large effects on the distribution of bank outcomes.
Individual Investors and Volatility
Published: 7/19/2011, Volume: 66, Issue: 4 | DOI: 10.1111/j.1540-6261.2011.01668.x | Cited by: 316
THIERRY FOUCAULT, DAVID SRAER, DAVID J. THESMAR
We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected stocks, we also find a significant decrease in the magnitude of return reversals and the price impact of trades.
DISCUSSION
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04539.x | Cited by: 0
DAVID FELDMAN
STATE OF THE FINANCE FIELD: FURTHER COMMENT
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00322.x | Cited by: 10
David Durand
A QUARTERLY SERIES OF CORPORATE BASIC YIELDS, 1952–57, AND SOME ATTENDANT RESERVATIONS*
Published: 9/1958, Volume: 13, Issue: 3 | DOI: 10.1111/j.1540-6261.1958.tb04200.x | Cited by: 3
David Durand
MERGERS, DIVERSIFICATION AND THE THEORIES OF THE FIRM
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01368.x | Cited by: 0
David Gilbert
Remuneration, Retention, and Reputation Incentives for Outside Directors
Published: 10/2004, Volume: 59, Issue: 5 | DOI: 10.1111/j.1540-6261.2004.00699.x | Cited by: 624
DAVID YERMACK
I study incentives received by outside directors in Fortune 500 firms from compensation, replacement, and the opportunity to obtain other directorships. Previous research has only shown these relations to apply under limited circumstances such as financial distress. Together these incentive mechanisms provide directors with wealth increases of approximately 11 cents per $1,000 rise in firm value. Although smaller than the performance sensitivities of CEOs, outside directors' incentives imply a change in wealth of about $285,000 for a 1 standard deviation (SD) change in typical firm performance. Cross‐sectional patterns of director equity awards conform to agency and financial theories.
Political Connections and Allocative Distortions
Published: 1/7/2019, Volume: 74, Issue: 2 | DOI: 10.1111/jofi.12751 | Cited by: 294
DAVID SCHOENHERR
Exploiting a unique institutional setting in Korea, this paper documents that politicians can increase the amount of government resources allocated through their social networks to the benefit of private firms connected to these networks. After winning the election, the new president appoints members of his networks as CEOs of state‐owned firms that act as intermediaries in allocating government contracts to private firms. In turn, these state firms allocate significantly more procurement contracts to private firms with a CEO from the same network. Contracts allocated to connected private firms are executed systematically worse and exhibit more frequent cost increases through renegotiations.
Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk Premium
Published: 3/1981, Volume: 36, Issue: 1 | DOI: 10.1111/j.1540-6261.1981.tb03533.x | Cited by: 45
DAVID LONGWORTH
The efficiency of the Canadian‐U.S. exchange market for the current float is examined more extensively than previously. Semi‐strong‐form tests which admit the lagged spot rate as a predictor are considered in addition to the standard weak‐form test. These stronger tests reject the joint null hypothesis of an efficient exchange market and no risk premium for the period ending in October 1976, although not for the entire period. For almost every year the current spot rate provided a better forecast of the future spot rate than did the current forward rate.
GROWTH STOCKS AND THE PETERSBURG PARADOX*
Published: 9/1957, Volume: 12, Issue: 3 | DOI: 10.1111/j.1540-6261.1957.tb04143.x | Cited by: 13
David Durand
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03648.x | Cited by: 0
DAVID EMANUEL
The Term Structure of Interest Rates in a Partially Observable Economy
Published: 7/1989, Volume: 44, Issue: 3 | DOI: 10.1111/j.1540-6261.1989.tb04391.x | Cited by: 29
DAVID FELDMAN
This paper investigates the term structure of interest rates in a multiperiod production and exchange economy with incomplete information. Unable to observe their stochastic investment opportunities, investors engage in dynamic Bayesian inference. This results in the endogenous identification of a more complex production function which generates a richer term structure, resembling the one that actual market prices imply. In addition, this paper introduces a characteristic function of the term structure and demonstrates that, in contrast with a fully observable economy, the widely investigated expectations hypothesis holds true only if interest rates are nonstochastic.
Presidential Address: Social Transmission Bias in Economics and Finance
Published: 5/27/2020, Volume: 75, Issue: 4 | DOI: 10.1111/jofi.12906 | Cited by: 266
DAVID HIRSHLEIFER
I discuss a new intellectual paradigm, social economics and finance—the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is social transmission bias: systematic directional shift in signals or ideas induced by social transactions. I use five “fables” (models) to illustrate the novelty and scope of the transmission bias approach, and offer several emergent themes. For example, social transmission bias compounds recursively, which can help explain booms, bubbles, return anomalies, and swings in economic sentiment.
Transactions Costs and the Theory of Portfolio Selection
Published: 9/1976, Volume: 31, Issue: 4 | DOI: 10.1111/j.1540-6261.1976.tb01964.x | Cited by: 26
David Goldsmith
Heterogeneous Beliefs, Speculation, and the Equity Premium
Published: 1/10/2008, Volume: 63, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01310.x | Cited by: 210
ALEXANDER DAVID
Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk‐averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross‐sectional consumption dispersion. With a risk aversion coefficient less than one, agents' speculation causes half the observed equity premium and lowers the riskless rate by about 1%.
Good Timing: CEO Stock Option Awards and Company News Announcements
Published: 6/1997, Volume: 52, Issue: 2 | DOI: 10.1111/j.1540-6261.1997.tb04809.x | Cited by: 621
DAVID YERMACK
This article analyzes the timing of CEO stock option awards, as a method of investigating corporate managers' influence over the terms of their own compensation. In a sample of 620 stock option awards to CEOs of Fortune 500 companies between 1992 and 1994, I find that the timing of awards coincides with favorable movements in company stock prices. Patterns of companies' quarterly earnings announcements are consistent with an interpretation that CEOs receive stock option awards shortly before favorable corporate news. I evaluate and reject several alternative explanations of the results, including insider trading and the manipulation of news announcement dates.
A Theoretical Model for Valuing Preferred Stock
Published: 9/1983, Volume: 38, Issue: 4 | DOI: 10.1111/j.1540-6261.1983.tb02288.x | Cited by: 19
DAVID EMANUEL
This paper develops a model of preferred stock value which includes the possibility of dividends on the preferred stock being omitted. The analytical framework used is based on the option‐hedging methodology of Black and Scholes. Precise valuation formulae are obtained for cumulative and noncumulative preferred stock in a variety of contexts. The values obtained are quite different from those for either riskless or risky perpetual bonds, which have previously been proposed as being similar to preferred stock.
Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France
Published: 2/5/2020, Volume: 75, Issue: 3 | DOI: 10.1111/jofi.12880 | Cited by: 123
JOHAN HOMBERT, ANTOINETTE SCHOAR, DAVID SRAER, DAVID THESMAR
We evaluate the effect of downside insurance on self‐employment. We exploit a large‐scale reform of French unemployment benefits that insured unemployed workers starting businesses. The reform significantly increased firm creation without decreasing the quality of new entrants. Firms started postreform were initially smaller, but their employment growth, productivity, and survival rates are similar to those prereform. New entrepreneurs' characteristics and expectations are also similar. Finally, jobs created by new entrants crowd out employment in incumbent firms almost one‐for‐one, but have a higher productivity than incumbents. These results highlight the benefits of encouraging experimentation by lowering barriers to entry.
Housing Collateral and Entrepreneurship
Published: 1/12/2017, Volume: 72, Issue: 1 | DOI: 10.1111/jofi.12468 | Cited by: 343
MARTIN C. SCHMALZ, DAVID A. SRAER, DAVID THESMAR
We show that collateral constraints restrict firm entry and postentry growth, using French administrative data and cross‐sectional variation in local house‐price appreciation as shocks to collateral values. We control for local demand shocks by comparing treated homeowners to controls in the same region that do not experience collateral shocks: renters and homeowners with an outstanding mortgage, who (in France) cannot take out a second mortgage. In both comparisons, an increase in collateral value leads to a higher probability of becoming an entrepreneur. Conditional on entry, treated entrepreneurs use more debt, start larger firms, and remain larger in the long run.
Report of the Executive Secretary and Treasurer for the Year Ending September 30, 2008
Published: 7/16/2009, Volume: 64, Issue: 4 | DOI: 10.1111/j.1540-6261.2009.01487.x | Cited by: 0
David H. Pyle
Report of the Executive Secretary and Treasurer
for the Year Ending September 30, 2006
Published: 8/2007, Volume: 62, Issue: 4 | DOI: 10.1111/j.1540-6261.2007.01266.x | Cited by: 0
David H. Pyle
Approximating the Asset Pricing Kernel
Published: 9/1997, Volume: 52, Issue: 4 | DOI: 10.1111/j.1540-6261.1997.tb01114.x | Cited by: 56
DAVID A. CHAPMAN
This article tests a simple consumption‐based asset pricing model by approximating the true asset pricing kernel using low‐order orthonormal polynomials based on the model's state variables. Approximated kernels based solely on next period's consumption growth are not rejected by overall measures of model fit, but they produce statistically and economically large pricing errors. Approximated kernels based on two quarters of future consumption growth and technology shocks have substantially improved overall fit. In particular, the best of these kernels are capable of eliminating the small firm effect.
THE IMPACT OF CORPORATE GROWTH ON THE RISK OF COMMON STOCKS
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01827.x | Cited by: 18
David R. Fewings
Minutes of the Annual Membership Meeting
Published: 8/1999, Volume: 54, Issue: 4 | DOI: 10.1111/0022-1082.00155 | Cited by: 0
David H. Pyle
FIRM VALUATION, CORPORATE TAXES, AND DEFAULT RISK
Published: 12/1975, Volume: 30, Issue: 5 | DOI: 10.1111/j.1540-6261.1975.tb01053.x | Cited by: 11
David P. Baron
Risk‐Based Premiums for Insurance Guaranty Funds
Published: 9/1988, Volume: 43, Issue: 4 | DOI: 10.1111/j.1540-6261.1988.tb02607.x | Cited by: 148
J. DAVID CUMMINS
Insurance guaranty funds have been adopted in all states to compensate policyholders for losses resulting from insurance company insolvencies. The guaranty funds charge flat premium rates, usually a percentage of premiums. Flat premiums can induce insurers to adopt high‐risk strategies, a problem that can be avoided through the use of risk‐based premiums. This article develops risk‐based premium formulas for three cases: a) an ongoing insurer with stochastic assets and liabilities, b) an ongoing insurer also subject to jumps in liabilities (catastrophes), and c) a policy cohort, where claims eventually run off to zero. Premium estimates are provided and compared with actual guaranty fund assessment rates.
A MONETARIST MODEL OF THE MONETARY PROCESS*
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00506.x | Cited by: 0
David I. Fand
GOVERNMENT DEBT, INTERGENERATION WELFARE, AND ECONOMIC ACTIVITY*
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00836.x | Cited by: 0
David H. Kopf
DISCUSSION
Published: 5/1973, Volume: 28, Issue: 2 | DOI: 10.1111/j.1540-6261.1973.tb01795.x | Cited by: 0
David J. Ott
MONEY SUPPLY CONTROL: RESERVES AS THE INSTRUMENT UNDER LAGGED ACCOUNTING
Published: 6/1976, Volume: 31, Issue: 3 | DOI: 10.1111/j.1540-6261.1976.tb01927.x | Cited by: 0
David A. Pierce
Fed Policy, Financial Market Efficiency, and Capital Flows
Published: 8/1999, Volume: 54, Issue: 4 | DOI: 10.1111/0022-1082.00153 | Cited by: 0
David M. Jones
THE EFFECT OF A CHANGE IN THE CEILING RATE ON DEPOSITS AT COMMERCIAL BANKS*
Published: 9/1967, Volume: 22, Issue: 3 | DOI: 10.1111/j.1540-6261.1967.tb02985.x | Cited by: 0
David E. Bond
The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time
Published: 12/1989, Volume: 44, Issue: 5 | DOI: 10.1111/j.1540-6261.1989.tb02659.x | Cited by: 9
DAVID C. SHIMKO
This paper values a contingent claim to discrete stochastic cash flows generated by a Poisson arrival process with a randomly varying intensity parameter. In the most general case, both the size and the arrival intensity of cash flows may correlate wih state variables in a continuous time economy. Assuming the conditions of an intertemporal capital aset pricing model, solutions for the value of the contingent claim can be found using various techniques. The paper suggests immediate applications to the valuation of insurance contracts, the decision to build a firm with unknown future investment opportunities, and the pricing of mortgage‐backed securities.
Presidential Address: Pension Policy and the Financial System
Published: 8/2018, Volume: 73, Issue: 4 | DOI: 10.1111/jofi.12710 | Cited by: 63
DAVID S. SCHARFSTEIN
In this paper, I examine the effect of pension policy on the structure of financial systems around the world. In particular, I explore the hypothesis that policies that promote pension savings also promote the development of capital markets. I present a model that endogenizes the extent to which savings are intermediated through banks or capital markets, and derive implications for corporate finance, household finance, banking, and the size of the financial sector. I then present a number of facts that are broadly consistent with the theory and examine a variety of alternative explanations of my findings.
Minutes of the Annual Membership Meeting, January 7, 2012
Published: 7/19/2012, Volume: 67, Issue: 4 | DOI: 10.1111/j.1540-6261.2012.01756.x | Cited by: 0
DAVID H. PYLE
AN ECONOMIC ANALYSIS OF CREDIT UNIONS IN MICHIGAN*
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00285.x | Cited by: 1
David L. McKee
REAL ESTATE CREDIT CONTROLS AS A SELECTIVE INSTRUMENT OF FEDERAL RESERVE POLICY*
Published: 12/1958, Volume: 13, Issue: 4 | DOI: 10.1111/j.1540-6261.1958.tb04227.x | Cited by: 0
David P. Eastburn
Defensive Changes in Corporate Payout Policy: Share Repurchases and Special Dividends
Published: 12/1990, Volume: 45, Issue: 5 | DOI: 10.1111/j.1540-6261.1990.tb03722.x | Cited by: 98
DAVID J. DENIS
This paper examines defensive payouts announced in response to hostile corporate control activity. The evidence indicates that the announcement of defensive share repurchases is associated with an average negative impact on the share price of the target firm. In contrast, special dividend payments generally increase the wealth of target firm shareholders. Regardless of payout type, those firms remaining independent after the outcome of the corporate control contest experience an abnormal share price increase over the duration of the contest. Among these firms there are substantial post‐contest changes in capital, asset, and ownership structure and abnormally high rates of top management turnover.
Inflation and Asset Returns in a Monetary Economy
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04660.x | Cited by: 170
DAVID A. MARSHALL
Postwar U.S. data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth. These patterns are closely matched quantitatively by an equilibrium monetary asset pricing model. The model also implies negative correlations between expected asset returns and expected inflation, and it predicts that the inflation‐asset return correlation will be more strongly negative when inflation is generated by fluctuations in real economic activity than when it is generated by monetary fluctuations.
Report of the Executive Secretary and Treasurer
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/0022-1082.00380-i1 | Cited by: 0
David H. Pyle
What Do Entrepreneurs Pay for Venture Capital Affiliation?
Published: 8/2004, Volume: 59, Issue: 4 | DOI: 10.1111/j.1540-6261.2004.00680.x | Cited by: 1051
David H. Hsu
This study empirically evaluates the certification and value‐added roles of reputable venture capitalists (VCs). Using a novel sample of entrepreneurial start‐ups with multiple financing offers, I analyze financing offers made by competing VCs at the first professional round of start‐up funding, holding characteristics of the start‐up fixed. Offers made by VCs with a high reputation are three times more likely to be accepted, and high‐reputation VCs acquire start‐up equity at a 10–14% discount. The evidence suggests that VCs' “extra‐financial” value may be more distinctive than their functionally equivalent financial capital. These extra‐financial services can have financial consequences.
REPLY
Published: 12/1959, Volume: 14, Issue: 4 | DOI: 10.1111/j.1540-6261.1959.tb00143.x | Cited by: 0
David E. Novack
Investment Decisions Depend on Portfolio Disclosures
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00132 | Cited by: 145
David K. Musto
Abstract
A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for “window dressing” than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross‐sectional comparisons locate the most intense rebalancing in the worst recent performers.
SUPER PREMIUM SECURITY PRICES AND OPTIMAL CORPORATE FINANCING DECISIONS
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01903.x | Cited by: 6
David W. Glenn
DISCUSSION
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00464.x | Cited by: 7
DAVID P. SEIDERS
The Implications of Nonmarketable Income for Consumption‐Based Models of Asset Pricing
Published: 9/1988, Volume: 43, Issue: 4 | DOI: 10.1111/j.1540-6261.1988.tb02609.x | Cited by: 4
DAVID P. BROWN
A new representation of nonmarketable (NM) income is introduced in this essay. Using this representation and continuous trading, there exists a set of individuals who do not participate in the asset market and who consume at the rate of nonmarketable income derived from human capital. Because these individuals remain nonparticipants for a range of stochastic processes governing the NM income, consumption betas are not generally unique in value and the consumption‐based CAPM (CCAPM) does not obtain. However, the intertemporal CAPM (ICAPM) of Merton remains valid.
THE FINANCING OF INDUSTRIAL DEVELOPMENT IN COLORADO*
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01247.x | Cited by: 0
David L. Mosconi