Search results: 50.
How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice?
Published: 3/12/2015, Volume: 70, Issue: 2 | DOI: 10.1111/jofi.12231 | Cited by: 512
HANS‐MARTIN VON GAUDECKER
Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that score high on financial literacy or rely on professionals or private contacts for advice achieve reasonable investment outcomes. Compared to these groups, households with below‐median financial literacy that trust their own decision‐making capabilities lose an expected 50 bps on average. All group differences stem from the top of the loss distribution.
THE LONG‐TERM EFFECTS OF GOVERNMENT DEFICITS ON THE U.S. OUTPUT POTENTIAL
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02038.x | Cited by: 0
George M. von Furstenberg
DEFAULT RISK ON FHA‐INSURED HOME MORTGAGES AS A FUNCTION OF THE TERMS OF FINANCING: A QUANTITATIVE ANALYSIS
Published: 6/1969, Volume: 24, Issue: 3 | DOI: 10.1111/j.1540-6261.1969.tb00366.x | Cited by: 69
George M. von Furstenberg
REPLY
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01358.x | Cited by: 0
Hans R. Stoll
Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
Published: 3/1989, Volume: 44, Issue: 1 | DOI: 10.1111/j.1540-6261.1989.tb02407.x | Cited by: 446
HANS R. STOLL
The relation between the square of the quoted bid‐ask spread and two serial covariances—the serial covariance of transaction returns and the serial covariance of quoted returns—is modeled as a function of the probability of a price reversal, π, and the magnitude of a price change, ∂, where ∂ is stated as a fraction of the quoted spread. Different models of the spread are contrasted in terms of the parameters, π and ∂. Using data on the transaction prices and price quotations for NASDAQ/NMS stocks, π and ∂ are estimated and the relative importance of the components of the quoted spread—adverse information costs, order processing costs, and inventory holding costs—is determined.
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
Published: 9/1978, Volume: 33, Issue: 4 | DOI: 10.1111/j.1540-6261.1978.tb02053.x | Cited by: 1056
Hans R. Stoll
THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES
Published: 12/1969, Volume: 24, Issue: 5 | DOI: 10.1111/j.1540-6261.1969.tb01694.x | Cited by: 194
Hans R. Stoll
Presidential Address: Friction
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00259 | Cited by: 660
Hans R. Stoll
The sources of trading friction are studied, and simple, robust empirical measures of friction are provided. Seven distinct measures of trading friction are computed from transactions data for 1,706 NYSE/AMSE stocks and 2,184 Nasdaq stocks. The measures provide insights into the magnitude of trading costs, the importance of informational versus real frictions, and the role of market structure. The degree to which the various measures are associated with each other and with trading characteristics of stocks is examined.
THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
Published: 9/1978, Volume: 33, Issue: 4 | DOI: 10.1111/j.1540-6261.1978.tb02054.x | Cited by: 465
Hans R. Stoll
Distance, Lending Relationships, and Competition
Published: 2/2005, Volume: 60, Issue: 1 | DOI: 10.1111/j.1540-6261.2005.00729.x | Cited by: 1162
HANS DEGRYSE, STEVEN ONGENA
We study the effect on loan conditions of geographical distance between firms, the lending bank, and all other banks in the vicinity. For our study, we employ detailed contract information from more than 15,000 bank loans to small firms comprising the entire loan portfolio of a large Belgian bank. We report the first comprehensive evidence on the occurrence of spatial price discrimination in bank lending. Loan rates decrease with the distance between the firm and the lending bank and increase with the distance between the firm and competing banks. Transportation costs cause the spatial price discrimination we observe.
Blocks, Liquidity, and Corporate Control
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.15240 | Cited by: 502
Patrick Bolton, Ernst‐Ludwig Von Thadden
The paper develops a simple model of corporate ownership structure in which costs and benefits of ownership concentration are analyzed. The model compares the liquidity benefits obtained through dispersed corporate ownership with the benefits from efficient management control achieved by some degree of ownership concentration. The paper reexamines the free‐rider problem in corporate control in the presence of liquidity trading, derives predictions for the trade and pricing of blocks, and provides criteria for the optimal choice of ownership structure.
CEO Ownership, Stock Market Performance, and Managerial Discretion
Published: 5/8/2014, Volume: 69, Issue: 3 | DOI: 10.1111/jofi.12139 | Cited by: 121
ULF VON LILIENFELD‐TOAL, STEFAN RUENZI
We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak governance. Furthermore, owner‐CEOs are value increasing: they reduce empire building and run their firms more efficiently. Overall, our findings indicate that the market does not correctly price the incentive effects of managerial ownership, suggesting interesting feedback effects between corporate finance and asset pricing.
HOME MORTGAGE DELINQUENCIES: A COHORT ANALYSIS
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03135.x | Cited by: 17
George M. von Furstenberg, R. Jeffery Green
Spot and Futures Prices and the Law of One Price
Published: 12/1983, Volume: 38, Issue: 5 | DOI: 10.1111/j.1540-6261.1983.tb03833.x | Cited by: 46
ARIS PROTOPAPADAKIS, HANS R. STOLL
The law of one price (LOP) is tested for narrowly defined commodities traded in futures markets in different countries during the period 1973–80. Although the LOP holds as an average tendency for most of the commodities, there are instances of large riskless arbitrage returns (before transactions costs). Deviations from the LOP tend to be commodity specific rather than due to a common external factor and they tend to be smaller the longer the maturity of the futures contract.
On Dealer Markets Under Competition
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02153.x | Cited by: 100
THOMAS HO, HANS R. STOLL
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
Published: 6/1972, Volume: 27, Issue: 3 | DOI: 10.1111/j.1540-6261.1972.tb00985.x | Cited by: 496
Alan Kraus, Hans R. Stoll
FINANCIAL ANALYSIS IN AN INFLATIONARY ENVIRONMENT
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03295.x | Cited by: 6
George M. von Furstenberg, Burton G. Malkiel
COMPETITIVE EQUILIBRIUM CONTINGENT COMMODITIES AND INFORMATION*
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03253.x | Cited by: 0
Martin Shubik
Do Individual Investors Have Asymmetric Information Based on Work Experience?
Published: 5/23/2011, Volume: 66, Issue: 3 | DOI: 10.1111/j.1540-6261.2011.01658.x | Cited by: 129
TROND M. DØSKELAND, HANS K. HVIDE
Using a novel data set covering all individual investors' stock market transactions in Norway over 10 years, we analyze whether individual investors have a preference for professionally close stocks, and whether they make excess returns on such investments. After excluding own‐company stock holdings, investors hold 11% of their portfolio in stocks within their two‐digit industry of employment. Given the poor hedging properties of such investments, one would expect abnormally high returns. In contrast, all estimates of abnormal returns are negative, in many cases statistically significant. Overconfidence seems the most likely explanation for the excessive trading in professionally close stocks.
Another Puzzle: The Growth in Actively Managed Mutual Funds
Published: 7/1996, Volume: 51, Issue: 3 | DOI: 10.1111/j.1540-6261.1996.tb02707.x | Cited by: 1459
MARTIN J. GRUBER
Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed.
CAPITAL RATIONING: n AUTHORS IN SEARCH OF A PLOT
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03345.x | Cited by: 41
H. Martin Weingartner
The Method of Payment in Corporate Acquisitions, Investment Opportunities, and Management Ownership
Published: 9/1996, Volume: 51, Issue: 4 | DOI: 10.1111/j.1540-6261.1996.tb04068.x | Cited by: 410
KENNETH J. MARTIN
This article examines the motives underlying the payment method in corporate acquisitions. The findings support the notion that the higher the acquirer's growth opportunities, the more likely the acquirer is to use stock to finance an acquisition. Acquirer managerial ownership is not related to the probability of stock financing over small and large ranges of ownership, but is negatively related over a middle range. In addition, the likelihood of stock financing increases with higher pre‐acquisition market and acquiring firm stock returns. It decreases with an acquirer's higher cash availability, higher institutional shareholdings and blockholdings, and in tender offers.
AN INVESTOR EXPECTATIONS STOCK PRICE PREDICTIVE MODEL USING CLOSED‐END FUND PREMIUMS
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01346.x | Cited by: 102
Martin E. Zweig
A STUDY OF CREDITORS' PRACTICES IN THE FINANCING OF RELIGIOUS INSTITUTIONS*
Published: 12/1959, Volume: 14, Issue: 4 | DOI: 10.1111/j.1540-6261.1959.tb00147.x | Cited by: 0
Mother Martin Byrne
PRICING A BANKING SERVICE—THE SPECIAL CHECKING ACCOUNT
Published: 9/1960, Volume: 15, Issue: 3 | DOI: 10.1111/j.1540-6261.1960.tb01601.x | Cited by: 0
Martin H. Seiden
DETERMINANTS OF COMMON STOCK PRICES*
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00282.x | Cited by: 1
Martin Jay Gruber
DISCUSSION
Published: 5/1967, Volume: 22, Issue: 2 | DOI: 10.1111/j.1540-6261.1967.tb00003.x | Cited by: 1
H. Martin Weingartner
MONETARY POLICY AND INTERNATIONAL PAYMENTS*
Published: 3/1963, Volume: 18, Issue: 1 | DOI: 10.1111/j.1540-6261.1963.tb01617.x | Cited by: 0
William McChesney Martin
The Dynamics of Dealer Markets Under Competition
Published: 9/1983, Volume: 38, Issue: 4 | DOI: 10.1111/j.1540-6261.1983.tb02282.x | Cited by: 567
THOMAS S. Y. HO, HANS R. STOLL
The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.
Expectations, Tobin's q, and Industry Investment
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02121.x | Cited by: 21
BURTON G. MALKIEL, GEORGE M. VON FURSTENBERG, HARRY S. WATSON
THE EFFECT OF SHARE REPURCHASE ON THE VALUE OF THE FIRM*
Published: 3/1968, Volume: 23, Issue: 1 | DOI: 10.1111/j.1540-6261.1968.tb03002.x | Cited by: 13
Edwin Elton, Martin Gruber
The Perception of Dependence, Investment Decisions, and Stock Prices
Published: 12/13/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12993 | Cited by: 44
MICHAEL UNGEHEUER, MARTIN WEBER
How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is lower even if correlation is higher due to dependence in the tails. Building on our experimental findings, we empirically analyze U.S. stock returns. We identify a robust return premium for stocks with high frequencies of comovement with the market return.
Spanning with Short‐Selling Restrictions
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04740.x | Cited by: 9
MARTIN RAAB, ROBERT SCHWAGER
In principle, the set of attainable payoff vectors is reduced if assets cannot be sold short. However, we show that the original space of payoff vectors is spanned despite short sale restrictions if there is one additional asset whose payoff is a positively weighted sum of the payoffs of the original assets. For example, this condition is automatically fulfilled if the original assets are stocks and the additional asset is an index future consisting of these stocks.
REPLY
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00327.x | Cited by: 2
Edwin Elton, Martin Gruber
The Market for Conflicted Advice
Published: 11/8/2019, Volume: 75, Issue: 2 | DOI: 10.1111/jofi.12848 | Cited by: 22
BRIANA CHANG, MARTIN SZYDLOWSKI
We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium features information dispersion and partial disclosure. Although conflicted fees lead to distorted information, they are irrelevant for customers' welfare: banning conflicted fees improves only the information quality, not customers' welfare. Instead, financial literacy education for the least informed customers can improve all customers' welfare because of a spillover effect. Furthermore, customers who trade through advisers realize lower average returns, which rationalizes empirical findings.
Repo over the Financial Crisis
Published: 2/10/2025, Volume: 80, Issue: 2 | DOI: 10.1111/jofi.13406 | Cited by: 3
ADAM COPELAND, ANTOINE MARTIN
This paper uses new data to provide a comprehensive view of repo activity during the 2007 global financial crisis. We show that activity declined much more in the bilateral segment of the market than in the tri‐party segment. Surprisingly, a large share of the decline in activity is driven by repos backed by Treasury securities. Further, a disproportionate share of the decline in repo activity is connected to securities dealer's market‐making activity. In particular, the evidence suggests that at least part of the decline is not driven by clients pulling away from securities dealers because of counterparty credit concerns.
Expected Returns, Time‐varying Risk, and Risk Premia
Published: 6/1994, Volume: 49, Issue: 2 | DOI: 10.1111/j.1540-6261.1994.tb05156.x | Cited by: 49
MARTIN D. D. EVANS
A new empirical model for intertemporal capital asset pricing is presented that allows both time‐varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when the stock market is the single factor. Although changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributed to changes in the risk premia.
Pension Funding, Share Prices, and National Savings
Published: 9/1981, Volume: 36, Issue: 4 | DOI: 10.1111/j.1540-6261.1981.tb04885.x | Cited by: 77
MARTIN FELDSTEIN, STEPHANIE SELIGMAN
This paper examines empirically the effect of unfunded pension obligations on corporate share prices and discusses the implications of these estimates for national saving, the decline of the stock market in recent years, and the rationality of corporate financial behavior. The analysis uses the information on inflation‐adjusted income and assets which large firms were required to provide for 1976 and subsequent years.The evidence for a sample of nearly 200 manufacturing firms is consistent with the conclusion that share prices fully reflect the value of unfunded pension obligations. Since the conventional accounting measure of the unfunded pension liability has a number of problems (which we examine in the paper), it would be more accurate to say that the data are consistent with the conclusion that shareholders accept the conventional measure as the best available information and reduce share prices by a corresponding amount.The most important implication of the share price response is that the existence of unfunded private pension liabilities does not necessarily entail a reduction in total private saving. Because the pension liability reduces the equity value of the firm, shareholders are given notice of its existence and an incentive to save more themselves. For this reason, unfunded private pensions differ fundamentally from the unfunded Social Security pension and the other unfunded federal government civilian and military pensions.
FX Trading and Exchange Rate Dynamics
Published: 12/2002, Volume: 57, Issue: 6 | DOI: 10.1111/1540-6261.00501 | Cited by: 133
Martin D. D. Evans
I examine the sources of exchange rate dynamics by focusing on the information structure of FX trading. This structure permits the existence of an equilibrium distribution of transaction prices at a point in time. I develop and estimate a model of the price distribution using data from the Deutsche mark/dollar market that prroduces two striking results: (1) Much of the short‐term volatility in exchange rates comes from sampling the heterogeneous trading decisions of dealers in a distribution that, under normal market conditions, changes comparatively slowly; (2) public news is rarely the predominant source of exchange rate movements over any horizon.
What Is the Cost of Privatization for Workers?
Published: 5/30/2025, Volume: 80, Issue: 4 | DOI: 10.1111/jofi.13462 | Cited by: 15
MARTIN OLSSON, JOACIM TÅG
Privatization of state‐owned enterprises is on the agenda across the globe. Using Swedish data covering two decades, we show that productivity gains and headcount reductions are associated with economic costs for incumbent workers. Workers experience income losses and higher unemployment, but half of the losses are covered by the social safety net. We also find small positive effects on entrepreneurship and cash holdings but no meaningful effects on other labor market, family, health, or household finance outcomes. Productivity improves when the CEO is replaced, and the gains outweigh workers' income declines by a factor of between two and six.
Consumption, Aggregate Wealth, and Expected Stock Returns
Published: 6/2001, Volume: 56, Issue: 3 | DOI: 10.1111/0022-1082.00347 | Cited by: 1702
Martin Lettau, Sydney Ludvigson
This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption–wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption–wealth ratio forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption–aggregate wealth (human capital plus asset holdings) ratio summarizes expected returns on aggregate wealth, or the market portfolio. Although this ratio is not observable, we provide assumptions under which its important predictive components for future asset returns may be expressed in terms of observable variables, namely in terms of consumption, asset holdings and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio.
Should Derivatives Be Privileged in Bankruptcy?
Published: 11/12/2015, Volume: 70, Issue: 6 | DOI: 10.1111/jofi.12201 | Cited by: 63
PATRICK BOLTON, MARTIN OEHMKE
Derivatives enjoy special status in bankruptcy: they are exempt from the automatic stay and effectively senior to virtually all other claims. We propose a corporate finance model to assess the effect of these exemptions on a firm's cost of borrowing and incentives to engage in derivative transactions. While derivatives are value‐enhancing risk management tools, seniority for derivatives can lead to inefficiencies: it transfers credit risk to debtholders, even though this risk is borne more efficiently in the derivative market. Seniority for derivatives is efficient only if it provides sufficient cross‐netting benefits to derivative counterparties that provide hedging services.
Real Rates, Expected Inflation, and Inflation Risk Premia
Published: 2/1998, Volume: 53, Issue: 1 | DOI: 10.1111/0022-1082.75591 | Cited by: 182
Martin D. D. Evans
This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index‐linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time‐varying inflation risk premia throughout the term structure.
DISCUSSION
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00814.x | Cited by: 0
Richard T. Pratt, Preston Martin
Ambiguity, Information Quality, and Asset Pricing
Published: 1/10/2008, Volume: 63, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01314.x | Cited by: 647
LARRY G. EPSTEIN, MARTIN SCHNEIDER
When ambiguity‐averse investors process news of uncertain quality, they act as if they take a worst‐case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.
Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
Published: 1/11/2007, Volume: 62, Issue: 1 | DOI: 10.1111/j.1540-6261.2007.01201.x | Cited by: 328
MARTIN LETTAU, JESSICA A. WACHTER
We propose a dynamic risk‐based model that captures the value premium. Firms are modeled as long‐lived assets distinguished by the timing of cash flows. The stochastic discount factor is specified so that shocks to aggregate dividends are priced, but shocks to the discount rate are not. The model implies that growth firms covary more with the discount rate than do value firms, which covary more with cash flows. When calibrated to explain aggregate stock market behavior, the model accounts for the observed value premium, the high Sharpe ratios on value firms, and the poor performance of the CAPM.
DISCUSSION
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00981.x | Cited by: 0
Robert M. Coen, Martin David
DISCUSSION
Published: 5/1963, Volume: 18, Issue: 2 | DOI: 10.1111/j.1540-6261.1963.tb00728.x | Cited by: 1
Albert Ando, Martin J. Bailey