The Journal of Finance

The Relation between Stock Market Movements and NYSE Seat Prices

Published: 12/2000,  Volume: 55,  Issue: 6  |  DOI: 10.1111/0022-1082.00308  |  Cited by: 18

Donald B. Keim, Ananth Madhavan

Exchange seat prices are widely reported and followed as measures of market sentiment. This paper analyzes the information content of NYSE seat prices using: (1) annual seat prices from 1869 to 1998, and (2) the complete record of trades, bids and offers for the seat market from 1973 to 1994. Seat market volumes have predictive power regarding future stock market returns, consistent with a model where seat market activity is a proxy for unobserved factors affecting expected returns. We find abnormally large price movements in seats prior to October 1987, consistent with the hypothesis that seat prices capture market sentiment.

A Further Investigation of the Weekend Effect in Stock Returns

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03675.x  |  Cited by: 507

DONALD B. KEIM, ROBERT F. STAMBAUGH

This study uses a longer time period and additional stocks to further investigate the weekend effect. We find consistently negative Monday returns (1) for the S & P Composite as early as 1928, (2) for Exchange‐traded stocks of firms of all sizes, and (3) for actively traded over‐the‐counter (OTC) stocks. The OTC results are based on bid prices and therefore appear to reject specialist‐related explanations. For the 30 individual stocks of the Dow Jones Industrial Index, the average correlation between Friday and Monday returns is positive and the highest of all pairs of successive days. The latter finding is inconsistent with fairly general measurement‐error explanations.

Earnings Yields, Market Values, and Stock Returns

Published: 3/1989,  Volume: 44,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1989.tb02408.x  |  Cited by: 296

JEFFREY JAFFE, DONALD B. KEIM, RANDOLPH WESTERFIELD

Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) a substantially longer sample period, 1951–1986, (b) data that are reasonably free of survivor biases, (c) both portfolio and seemingly unrelated regression tests, and (d) an emphasis on the important differences between January and other months. Over the entire period, the earnings yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. We also find evidence of consistently high returns for firms of all sizes with negative earnings.

Returns and Volatility of Low‐Grade Bonds 1977–1989

Published: 3/1991,  Volume: 46,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1991.tb03745.x  |  Cited by: 97

MARSHALL E. BLUME, DONALD B. KEIM, SANDEEP A. PATEL

This paper examines the risks and returns of long‐term low‐grade bonds for the period 1977–1989. We find: (1) low‐grade bonds realized higher returns than higher‐grade bonds and lower returns than common stocks, and low‐grade bonds exhibited less volatility than higher‐grade bonds due to their call features and high coupons; (2) there is no relation between the age of low‐grade bonds and their realized returns; cyclical factors explain much of the observed relation between default rates and bond age; and (3) low‐grade bonds behave like both bonds and stocks. Despite this complexity there is no evidence that low‐grade bonds are systematically over‐ or under‐priced.

General Tests of Latent Variable Models and Mean‐Variance Spanning

Published: 3/1993,  Volume: 48,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1993.tb04704.x  |  Cited by: 59

WAYNE E. FERSON, STEPHEN R. FOERSTER, DONALD B. KEIM

The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean‐variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size‐based common stock portfolios proxy for the risk factors, we reject the hypothesis that four of them describe the conditional expected returns of the other assets.

SOME IMPLICATIONS OF THE GROWTH OF FINANCIAL INTERMEDIARIES

Published: 12/1958,  Volume: 13,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1958.tb04220.x  |  Cited by: 2

Donald Shelby

The Demand for Borrowed Reserves: A Switching Regression Model

Published: 6/1984,  Volume: 39,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1984.tb02317.x  |  Cited by: 11

DONALD DUTKOWSKY

A microeconomic model of bank demand for borrowed reserves from the Federal Reserve is developed based upon constrained cost minimization. The derived demand function was found to correspond to behavior appropriate to the unknown switchpoint switching regression problem. When estimated, parameters generally conformed to theoretical expectations. The model was also tested for existence of switching regression behavior against a model similar to Goldfeld and Kane [12]. Significance exceeded 99% in all cases. With the advent of reserve intermediate targeting, it appears especially necessary to reinvestigate the behavior determining this important source of reserves.

THE DEVELOPMENT AND SCOPE OF LIFE INSURANCE ANNUITIES IN THE UNITED STATES*

Published: 9/1955,  Volume: 10,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1955.tb01285.x  |  Cited by: 0

Donald Scoles

PREFERRED STOCK VALUATION IN RECAPITALIZATIONS

Published: 3/1958,  Volume: 13,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1958.tb04171.x  |  Cited by: 0

Donald A. Fergusson

PORTFOLIO SELECTION AND THE STRUCTURE OF CAPITAL ASSET PRICES WHEN RELATIVE PRICES OF CONSUMPTION GOODS MAY CHANGE

Published: 3/1972,  Volume: 27,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1972.tb00618.x  |  Cited by: 4

Donald G. Heckerman

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03658.x  |  Cited by: 0

DONALD J. MULLINEAUX

WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03052.x  |  Cited by: 170

Donald R. Lessard

ECONOMIES OF SCALE AND ORGANIZATIONAL EFFICIENCY IN BANKING: A PROFIT‐FUNCTION APPROACH

Published: 3/1978,  Volume: 33,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1978.tb03403.x  |  Cited by: 14

Donald J. Mullineaux

RECONCILING MONETARY MANAGEMENT AND DEBT MANAGEMENT POLICIES

Published: 12/1950,  Volume: 5,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1950.tb03801.x  |  Cited by: 1

Donald C. Miller

GUARANTEED RENEWABLE DISABILITY INSURANCE*

Published: 12/1958,  Volume: 13,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1958.tb04226.x  |  Cited by: 0

Oliver Donald Dickerson

Information Diversity and Market Behavior: A Comment

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03880.x  |  Cited by: 1

DONALD P. MINASSIAN

THE ROLE OF EQUIPMENT OBLIGATIONS IN POSTWAR RAILROAD FINANCING

Published: 9/1960,  Volume: 15,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1960.tb01598.x  |  Cited by: 0

Donald M. Street

DEVALUATION RISK AND INTEREST‐RATE‐PARITY THEORY*

Published: 3/1969,  Volume: 24,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1969.tb00356.x  |  Cited by: 1

Donald J. Schilling

THE ROLE OF PREFERRED STOCK IN ELECTRIC UTILITY FINANCING*

Published: 12/1964,  Volume: 19,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1964.tb02899.x  |  Cited by: 0

Donald E. Fischer

MATERIALS AND METHODS OF TEACHING BUSINESS FINANCE (I)*

Published: 9/1950,  Volume: 5,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1950.tb03789.x  |  Cited by: 0

Donald M. Halley

THE FORECASTING PROPERTIES OF INSIDERS' TRANSACTIONS*

Published: 12/1964,  Volume: 19,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1964.tb02901.x  |  Cited by: 4

Donald L. Rogoff

INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01384.x  |  Cited by: 183

Donald R. Lessard

THE INTERACTION EFFECTS OF RESTRICTIONS ON BRANCHING AND OTHER BANK REGULATIONS

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00213.x  |  Cited by: 5

Donald P. Jacobs

THE DEMAND FOR DENOMINATIONS OF U.S. CURRENCY, 1914–65*

Published: 3/1970,  Volume: 25,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1970.tb00426.x  |  Cited by: 0

Donald Preston Cole

MULTINATIONAL PORTFOLIO DIVERSIFICATION FOR DEVELOPING COUNTRIES*

Published: 6/1971,  Volume: 26,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1971.tb01739.x  |  Cited by: 0

Donald Roy Lessard

MEMBER‐BANK BORROWING: AN ADDITIONAL COMMENT

Published: 3/1961,  Volume: 16,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1961.tb02799.x  |  Cited by: 0

Donald R. Hodgman

THE SMALL‐LOAN INDUSTRY IN TEXAS*

Published: 3/1961,  Volume: 16,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1961.tb02807.x  |  Cited by: 0

Donald A. Tyree

FINANCIAL INNOVATION AND THE MORTGAGE MARKET: THE POSSIBILITIES FOR LIABILITY MANAGEMENT BY THRIFTS

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb01896.x  |  Cited by: 1

Donald P. Tucker

THE DEMAND FOR AND THE SUPPLY OF NON‐FARM RESIDENTIAL MORTGAGE FUNDS, 1960–70*

Published: 12/1961,  Volume: 16,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1961.tb04241.x  |  Cited by: 0

Donald H. Sauer

CONVERTIBILITY AND THE BUSINESS COMMUNITY

Published: 5/1955,  Volume: 10,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1955.tb01263.x  |  Cited by: 0

Donald F. Heatherington

THE INSURABILITY OF CREDIT RISKS*

Published: 9/1954,  Volume: 9,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1954.tb01234.x  |  Cited by: 0

Donald W. O'Connell

THE INVESTMENT DECISION UNDER UNCERTAINTY: PORTFOLIO SELECTION*

Published: 12/1962,  Volume: 17,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1962.tb04346.x  |  Cited by: 1

Donald E. Farrar

RECENT DEVELOPMENTS IN PREFERRED STOCK FINANCING

Published: 9/1952,  Volume: 7,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1952.tb00096.x  |  Cited by: 2

Donald A. Fergusson

EMERGENCY EXCESS PROFITS TAXATION AND PROPOSED MODIFICATIONS*

Published: 12/1954,  Volume: 9,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1954.tb01255.x  |  Cited by: 0

Donald M. Soule

THE MARKETABLE SECURITY PORTFOLIOS OF NON‐FINANCIAL CORPORATIONS, INVESTMENT PRACTICES AND TRENDS

Published: 9/1960,  Volume: 15,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1960.tb01599.x  |  Cited by: 8

Donald P. Jacobs

DEVELOPMENT OF THE SMALL BUSINESS INVESTMENT COMPANY PROGRAM*

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04303.x  |  Cited by: 0

Donald Earl Vaughn

A REAPPRAISAL OF THE SOURCES OF SURPLUS PROFITS IN A SELLER'S MARKET*

Published: 3/1954,  Volume: 9,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1954.tb01205.x  |  Cited by: 0

Donald J. Hart

DISCUSSION

Published: 5/1976,  Volume: 31,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1976.tb01901.x  |  Cited by: 1

Donald A. Nichols

REPLY

Published: 12/1973,  Volume: 28,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1973.tb01465.x  |  Cited by: 0

Donald G. Heckerman

THE BALANCE OF PAYMENTS: A TOOL OF ECONOMIC ANALYSIS*

Published: 3/1953,  Volume: 8,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1953.tb01141.x  |  Cited by: 0

Donald Gibson Badger

A Model of Intertemporal Discount Rates in the Presence of Real and Inflationary Autocorrelations

Published: 9/1987,  Volume: 42,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1987.tb03927.x  |  Cited by: 1

DONALD I. BOSSHARDT

This paper discusses the pricing of assets in an intertemporal rational‐expectations model when real production and inflation evolve according to first‐order autocorrelated processes. The focus is on the structure of the various intertemporal discount rates (yields) exhibited by this economy. Yield curves are identified for consumption claims, indexed bonds, and nominally riskless bonds and can be extended to any claim that can be approximated by a (finite) linear combination of such securities. The model demonstrates that, if the average term structure for nominally riskless securities is upward sloping, then the yield curve for consumption (market) claims is downward sloping, suggesting that conventional methods for computing long‐term discount rates err by not accounting for maturity factors. The paper also explores the relationship between the intertemporal equilibrium and its embedded single‐period equilibria. The single‐period risk measures in this economy are derived and shown to be (generally) functions of maturity. A model of nominal bond betas is constructed along these lines. It is shown that bond betas that are increasing functions of maturity do not necessarily imply an upward‐sloping term structure.

CHANGING PRICES AND FINANCIAL REPORTS: AN ANALYSIS AND A CASE STUDY*

Published: 9/1955,  Volume: 10,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1955.tb01284.x  |  Cited by: 0

Donald A. Corbin

DISCUSSION

Published: 6/1978,  Volume: 33,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1978.tb00770.x  |  Cited by: 0

Donald P. Tucker

DISCUSSION

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00287.x  |  Cited by: 1

Donald R. Hodgman

THE RELATIVE IMPORTANCE OF MONETARY AND FISCAL VARIABLES IN DETERMINING PRICE LEVEL MOVEMENTS: COMMENT

Published: 3/1973,  Volume: 28,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1973.tb01359.x  |  Cited by: 0

Donald M. Bellante

A NOTE ON INFLATION AND COMMON STOCK VALUES

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00847.x  |  Cited by: 17

Donald A. Nichols

MEMBER‐BANK BORROWING: A COMMENT

Published: 3/1961,  Volume: 16,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1961.tb02797.x  |  Cited by: 0

Donald R. Hodgman

A NOTE ON BANK RESPONSE TO RESERVE CHANGES

Published: 3/1967,  Volume: 22,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1967.tb01659.x  |  Cited by: 0

Donald R. Fraser

CHANGES IN QUALITY OF BANK CREDIT

Published: 5/1956,  Volume: 11,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1956.tb00710.x  |  Cited by: 0

Donald S. Thompson

THE SPECULATIVE BEHAVIOR OF MUTUAL FUNDS

Published: 5/1972,  Volume: 27,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1972.tb00967.x  |  Cited by: 20

Donald G. Simonson