Search results: 50.
Performance Changes Following Top Management Dismissals
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04049.x | Cited by: 688
DAVID J. DENIS, DIANE K. DENIS
We document that forced resignations of top managers are preceded by large and significant declines in operating performance and followed by large improvements in performance. However, forced resignations are rare and are due more often to external factors (e.g., blockholder pressure, takeover attempts, etc.) than to normal board monitoring. Following the management change, these firms significantly downsize their operations and are subject to a high rate of corporate control activity. Normal retirements are followed by small increases in operating income and are also subject to a slightly higher than normal incidence of postturnover corporate control activity.
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: 99
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.
Agency Problems, Equity Ownership, and Corporate Diversification
Published: 3/1997, Volume: 52, Issue: 1 | DOI: 10.1111/j.1540-6261.1997.tb03811.x | Cited by: 901
DAVID J. DENIS, DIANE K. DENIS, ATULYA SARIN
We provide evidence on the agency cost explanation for corporate diversification. We find that the level of diversification is negatively related to managerial equity ownership and to the equity ownership of outside blockholders. In addition, we report that decreases in diversification are associated with external corporate control threats, financial distress, and management turnover. These findings suggest that agency problems are responsible for firms maintaining value‐reducing diversification strategies and that the recent trend toward increased corporate focus is attributable to market disciplinary forces.
Global Diversification, Industrial Diversification, and Firm Value
Published: 10/2002, Volume: 57, Issue: 5 | DOI: 10.1111/0022-1082.00485 | Cited by: 739
David J. Denis, Diane K. Denis, Keven Yost
Using a sample of 44,288 firm‐ears between 1984 and 1997, we document an increase in the extent of global diversification over time. This trend does not reflect a substitution of global for industrial diversification. We also find that global diversification results in average valuation discounts of approximately the same magnitude as those for industrial diversification. Analysis of the changes in excess value associated with changes in diversification reveals that increases in global diversification reduce excess value, while reductions in global diversification increase excess value. These findings support the view that the costs of global diversification outweigh the benefits.
Do Initial Public Offering Firms Purchase Analyst Coverage with Underpricing?
Published: 12/2004, Volume: 59, Issue: 6 | DOI: 10.1111/j.1540-6261.2004.00719.x | Cited by: 304
MICHAEL T. CLIFF, DAVID J. DENIS
We report that initial public offering (IPO) underpricing is positively related to analyst coverage by the lead underwriter and to the presence of an all‐star analyst on the research staff of the lead underwriter. These findings are robust to controls for other determinants of underpricing and to controls for the endogeneity of underpricing and analyst coverage. In addition, we find that the probability of switching underwriters between IPO and seasoned equity offering is negatively related to the unexpected amount of post‐IPO analyst coverage. These findings are consistent with the hypothesis that underpricing is, in part, compensation for expected post‐IPO analyst coverage from highly ranked analysts.
Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Equity Offerings and Share Repurchases
Published: 12/1994, Volume: 49, Issue: 5 | DOI: 10.1111/j.1540-6261.1994.tb04781.x | Cited by: 45
DAVID J. DENIS, GREGORY B. KADLEC
We investigate the relation between trading activity, the measurement of security returns, and the evolution of security prices by examining estimates of systematic risk surrounding equity offerings and share repurchases. In contrast to prior studies, we find no evidence of changes in systematic risk following either equity offerings or share repurchases after correcting for biases caused by infrequent trading and price adjustment delays. Moreover, changes in ordinary least squares beta estimates are significantly related to contemporaneous changes in trading activity. Our results have implications for studies interested in the properties of security returns, particularly those examining periods in which trading activity changes.
Divisional Managers and Internal Capital Markets
Published: 3/7/2013, Volume: 68, Issue: 2 | DOI: 10.1111/jofi.12003 | Cited by: 235
RAN DUCHIN, DENIS SOSYURA
Using hand‐collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers' formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections on investment efficiency depends on the tradeoff between agency and information asymmetry. Under weak governance, connections reduce investment efficiency and firm value via favoritism. Under high information asymmetry, connections increase investment efficiency and firm value via information transfer.
The Dynamics of Financially Constrained Arbitrage
Published: 7/20/2018, Volume: 73, Issue: 4 | DOI: 10.1111/jofi.12689 | Cited by: 98
DENIS GROMB, DIMITRI VAYANOS
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of arbitrage capital are self‐correcting: following a shock that depletes capital, returns increase, which allows capital to be gradually replenished. Spreads increase more for trades with volatile fundamentals or more time to convergence. Arbitrageurs cut their positions more in those trades, except when volatility concerns the hedgeable component. Financial constraints yield a positive cross‐sectional relationship between spreads/returns and betas with respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers arbitrageurs' risk and price volatility.
Who Writes the News? Corporate Press Releases during Merger Negotiations
Published: 1/7/2014, Volume: 69, Issue: 1 | DOI: 10.1111/jofi.12109 | Cited by: 436
KENNETH R. AHERN, DENIS SOSYURA
Firms have an incentive to manage media coverage to influence their stock prices during important corporate events. Using comprehensive data on media coverage and merger negotiations, we find that bidders in stock mergers originate substantially more news stories after the start of merger negotiations, but before the public announcement. This strategy generates a short‐lived run‐up in bidders' stock prices during the period when the stock exchange ratio is determined, which substantially impacts the takeover price. Our results demonstrate that the timing and content of financial media coverage may be biased by firms seeking to manipulate their stock price.
Agency Conflicts in Public and Negotiated Transfers of Corporate Control
Published: 4/2000, Volume: 55, Issue: 2 | DOI: 10.1111/0022-1082.00222 | Cited by: 122
Mike Burkart, Denis Gromb, Fausto Panunzi
We analyze control transfers in firms with a dominant minority blockholder and otherwise dispersed owners, and show that the transaction mode is important. Negotiated block trades preserve a low level of ownership concentration, inducing more inefficient extraction of private benefits. In contrast, public acquisitions increase ownership concentration, resulting in fewer private benefits and higher firm value. Within our model, the incumbent and new controlling party prefer to trade the block because of the dispersed shareholders' free‐riding behavior. We also explore the regulatory implications of this agency problem and its impact on the terms of block trades.
Conflicting Priorities: A Theory of Covenants and Collateral
Published: 4/9/2025, Volume: 80, Issue: 3 | DOI: 10.1111/jofi.13445 | Cited by: 10
JASON RODERICK DONALDSON, DENIS GROMB, GIORGIA PIACENTINO
We develop a theory of secured debt, unsecured debt, and debt with anti‐dilution covenants. We assume that, as in practice, covenants convey the right to accelerate if violated, but the new secured debt retains its priority even if issued in violation of covenants. We find that such covenants are nonetheless useful: They provide state‐contingent financing flexibility, balancing over‐ and underinvestment incentives. The optimal debt structure is multilayered, combining secured and unsecured debt with and without covenants. Our results are consistent with observations about debt structure, covenant violations, and waivers. They speak to a policy debate about debt priority.
Legal Investor Protection and Takeovers
Published: 5/8/2014, Volume: 69, Issue: 3 | DOI: 10.1111/jofi.12142 | Cited by: 39
MIKE BURKART, DENIS GROMB, HOLGER M. MUELLER, FAUSTO PANUNZI
This paper examines the role of legal investor protection for the efficiency of the market for corporate control when bidders are financially constrained. In the model, stronger legal investor protection increases bidders' outside funding capacity. However, absent effective bidding competition, this does not improve efficiency, as the bid price, and thus bidders' need for funds, increases one‐for‐one with the pledgeable income. In contrast, under effective competition for the target, the increased outside funding capacity improves efficiency by making it less likely that more efficient but less wealthy bidders are outbid by less efficient but wealthier rivals.
S&P 500 Index Additions and Earnings Expectations
Published: 9/11/2003, Volume: 58, Issue: 5 | DOI: 10.1111/1540-6261.00589 | Cited by: 288
Diane K. Denis, John J. McConnell, Alexei V. Ovtchinnikov, Yun Yu
AbstractStock price increases associated with addition to the S&P 500 Index have been interpreted as evidence that demand curves for stocks slope downward. A key premise underlying this interpretation is that Index inclusion provides no new information about companies' future prospects. We examine this premise by analyzing analysts' earnings per share (eps) forecasts around Index inclusion and by comparing postinclusion realized earnings to preinclusion forecasts. Relative to benchmark companies, companies newly added to the Index experience significant increases in eps forecasts and significant improvements in realized earnings. These results indicate that S&P Index inclusion is not an information‐free event.
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
Individual Investors and Volatility
Published: 7/19/2011, Volume: 66, Issue: 4 | DOI: 10.1111/j.1540-6261.2011.01668.x | Cited by: 319
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.
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: 212
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%.
Political Connections and Allocative Distortions
Published: 1/7/2019, Volume: 74, Issue: 2 | DOI: 10.1111/jofi.12751 | Cited by: 298
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.
Presidential Address: Social Transmission Bias in Economics and Finance
Published: 5/27/2020, Volume: 75, Issue: 4 | DOI: 10.1111/jofi.12906 | Cited by: 273
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.
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
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.
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03648.x | Cited by: 0
DAVID EMANUEL
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
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: 627
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.
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.
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
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.
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: 623
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.
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
Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France
Published: 2/5/2020, Volume: 75, Issue: 3 | DOI: 10.1111/jofi.12880 | Cited by: 129
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: 347
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.
A Note on Capital Budgeting Techniques and the Reinvestment Rate: Comment
Published: 3/1981, Volume: 36, Issue: 1 | DOI: 10.1111/j.1540-6261.1981.tb03545.x | Cited by: 2
DAVID J. NICOL
Selective Publicity and Stock Prices
Published: 3/27/2012, Volume: 67, Issue: 2 | DOI: 10.1111/j.1540-6261.2012.01726.x | Cited by: 322
DAVID H. SOLOMON
I examine how media coverage of good and bad corporate news affects stock prices, by studying the effect of investor relations (IR) firms. I find that IR firms “spin” their clients' news, generating more media coverage of positive press releases than negative press releases. This spin increases announcement returns. Around earnings announcements, however, IR firms cannot spin the news and their clients' returns are significantly lower. This pattern is consistent with positive media coverage increasing investor expectations, creating disappointment around hard information. Using reporter connections and geographical links, I argue that IR firms causally affect both media coverage and returns.
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
DISCUSSION
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03668.x | Cited by: 1
DAVID S. KIDWELL
The Manipulation of Executive Stock Option Exercise Strategies: Information Timing and Backdating
Published: 11/25/2009, Volume: 64, Issue: 6 | DOI: 10.1111/j.1540-6261.2009.01513.x | Cited by: 70
DAVID C. CICERO
I identify three option exercise strategies executives engage in, including (i) exercising with cash and immediately selling the shares, (ii) exercising with cash and holding the shares, and (iii) delivering some shares to the company to cover the exercise costs and holding the remaining shares. Stock price patterns suggest executives manipulate option exercises. They use private information to increase the profitability of all three strategies, and likely backdated some exercise dates in the pre‐Sarbanes‐Oxley period to enhance the profitability of the latter two strategies, where the executive's company is the only counterparty. Backdating is associated with reporting of internal control weaknesses.
Investment Decisions Depend on Portfolio Disclosures
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00132 | Cited by: 147
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.
Minutes of the Annual Membership Meeting
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/0022-1082.00061-i1 | Cited by: 0
David H. Pyle
Tender Offers and Management Resistance
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02237.x | Cited by: 56
DAVID P. BARON
Presidential Address: Pension Policy and the Financial System
Published: 8/2018, Volume: 73, Issue: 4 | DOI: 10.1111/jofi.12710 | Cited by: 64
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.
Report of the Executive Secretary and Treasurer for the Year Ending September 30, 1999
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00272 | Cited by: 0
David H. Pyle
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
Portfolio Disclosures and Year‐End Price Shifts
Published: 9/1997, Volume: 52, Issue: 4 | DOI: 10.1111/j.1540-6261.1997.tb01121.x | Cited by: 82
DAVID K. MUSTO
Commercial paper sells at an extra discount if it matures in the next calendar year but Treasury bills do not. The discount is apparent in downward price shifts before the year‐end, and upward price shifts at the turn of the year that are significantly correlated with the simultaneous returns to small stocks, and that cannot reflect tax‐loss selling. Cross‐sectional and time‐series tests on prices, as well as low of funds evidence on trades by institutional investors, indicate that both the debt and equity patterns reflect agency problems related to portfolio disclosures.
A SUGGESTION FOR THE CONTROL OF PEACETIME INFLATION*
Published: 12/1949, Volume: 4, Issue: 4 | DOI: 10.1111/j.1540-6261.1949.tb02359.x | Cited by: 0
David Gordon Tyndall
CORPORATE FINANCIAL POLICIES—DEBT VERSUS EQUITY*
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01873.x | Cited by: 0
David Patrick Rochester
SECURITY‐BASED CONGLOMERATE ACQUISITIONS: THE EFFECT ON RESIDUAL OWNERSHIP*
Published: 3/1971, Volume: 26, Issue: 1 | DOI: 10.1111/j.1540-6261.1971.tb00611.x | Cited by: 0
David Foster Rankin
Expectations and the Treasury Bill‐Federal Funds Rate Spread over Recent Monetary Policy Regimes
Published: 6/1990, Volume: 45, Issue: 2 | DOI: 10.1111/j.1540-6261.1990.tb03703.x | Cited by: 23
DAVID P. SIMON
This paper shows that the spread between the 3–month Treasury bill and the federal funds rate has significant predictive power for the future change in the federal funds rate during the volatile nonborrowed reserves operating regime, but it has less and no predictive power during the borrowed reserves regime and the federal funds targeting regime, respectively. These findings suggest that Treasury bill rates forecast future federal funds rates most accurately when the Federal Reserve follows a well‐defined rule that does not smooth the impact of shocks on the federal funds rate.
A SHORT‐RUN MODEL OF COMMERCIAL BANK PORTFOLIO BEHAVIOR*
Published: 9/1967, Volume: 22, Issue: 3 | DOI: 10.1111/j.1540-6261.1967.tb02990.x | Cited by: 0
David T. Hulett
SENIOR SECURITIES IN THE CAPITAL STRUCTURES OF COMMERCIAL BANKS*
Published: 3/1966, Volume: 21, Issue: 1 | DOI: 10.1111/j.1540-6261.1966.tb02964.x | Cited by: 0
David W. Cole