Search results: 50.
Endogenous Borrowing Constraints With Incomplete Markets
Published: 12/1997, Volume: 52, Issue: 5 | DOI: 10.1111/j.1540-6261.1997.tb02758.x | Cited by: 62
HAROLD H. ZHANG
This article develops ways to endogenize the borrowing constraints used in a class of computable incomplete markets models. We allow the constraints to depend on an investor's characteristics such as time preference, risk aversion, and income streams. The proposed constraint can be interpreted as a borrowing limit within which an investor has no incentive to default. Using a numerical algorithm, we find that for an array of structural parameters, the endogenous borrowing constraints can be much less stringent than the ad hoc borrowing constraints adopted by the existing studies.
Neglected Risks in the Communication of Residential Mortgage‐Backed Securities Offerings
Published: 9/23/2023, Volume: 79, Issue: 1 | DOI: 10.1111/jofi.13278 | Cited by: 11
HAROLD H. ZHANG, FENG ZHAO, XIAOFEI ZHAO
Examining the contractual disclosures during the sale of private‐label residential mortgage‐backed securities before the 2008 financial crisis, we find that textual contents in the risk‐factor section predict subsequent losses and yet were not reflected in pricing. Insurance companies, especially life insurers and insurers with low regulatory capital ratios, are more exposed to textual risks. Consistent with issuers hedging litigation risks with disclosure, we find that textual contents are associated with second‐lien underreporting and preissuance written communications. Overall, we find that investors neglected risks in the purportedly safe assets before the crisis.
Operating Hedge and Gross Profitability Premium
Published: 9/27/2023, Volume: 78, Issue: 6 | DOI: 10.1111/jofi.13275 | Cited by: 30
LEONID KOGAN, JUN LI, HAROLD H. ZHANG
We show theoretically that variable production costs reduce systematic risk of firms' cash flows if capital and variable inputs are complementary in firms' production and input prices are procyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the capital asset pricing model (CAPM). We estimate the model by simulated method of moments, and find that its main implications for stock returns and cash flow dynamics are quantitatively consistent with the data.
Optimal Asset Location and Allocation with Taxable and Tax‐Deferred Investing
Published: 6/2004, Volume: 59, Issue: 3 | DOI: 10.1111/j.1540-6261.2004.00655.x | Cited by: 199
Robert M. Dammon, Chester S. Spatt, Harold H. Zhang
We investigate optimal intertemporal asset allocation and location decisions for investors making taxable and tax‐deferred investments. We show a strong preference for holding taxable bonds in the tax‐deferred account and equity in the taxable account, reflecting the higher tax burden on taxable bonds relative to equity. For most investors, the optimal asset location policy is robust to the introduction of tax‐exempt bonds and liquidity shocks. Numerical results illustrate optimal portfolio decisions as a function of age and tax‐deferred wealth. Interestingly, the proportion of total wealth allocated to equity is inversely related to the fraction of total wealth in tax‐deferred accounts.
RISK AND THE CAPITAL STRUCTURE OF THE FIRM*
Published: 3/1964, Volume: 19, Issue: 1 | DOI: 10.1111/j.1540-6261.1964.tb00756.x | Cited by: 0
Harold Petersen
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02272.x | Cited by: 0
HAROLD BIERMAN
ANALYSIS OF THE LEASE‐OR‐BUY DECISION: COMMENT
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01426.x | Cited by: 2
Harold Bierman
THE PROSPECTS FOR FEDERAL RESERVE POLICY*
Published: 5/1960, Volume: 15, Issue: 2 | DOI: 10.1111/j.1540-6261.1960.tb00169.x | Cited by: 0
Harold Barger
A PROPOSAL FOR PRECISE DEFINITIONS OF “TRADING ON THE EQUITY” AND “LEVERAGE”: COMMENT
Published: 3/1962, Volume: 17, Issue: 1 | DOI: 10.1111/j.1540-6261.1962.tb04253.x | Cited by: 0
Harold Dilbeck
Capital Gains Taxes and Asset Prices: Capitalization or Lock‐in?
Published: 4/2008, Volume: 63, Issue: 2 | DOI: 10.1111/j.1540-6261.2008.01329.x | Cited by: 131
ZHONGLAN DAI, EDWARD MAYDEW, DOUGLAS A. SHACKELFORD, HAROLD H. ZHANG
This paper demonstrates that the equilibrium impact of capital gains taxes reflects both the capitalization effect (i.e., capital gains taxes decrease demand) and the lock‐in effect (i.e., capital gains taxes decrease supply). Depending on time periods and stock characteristics, either effect may dominate. Using the Taxpayer Relief Act of 1997 as our event, we find evidence supporting a dominant capitalization effect in the week following news that sharply increased the probability of a reduction in the capital gains tax rate and a dominant lock‐in effect in the week after the rate reduction became effective.
ON THE DEMISE OF THE SOCIAL DISCOUNT RATE
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00915.x | Cited by: 11
Harold M. Somers
DEVELOPMENTS IN SAVINGS AND LOAN ASSOCIATIONS, 1945–53
Published: 9/1954, Volume: 9, Issue: 3 | DOI: 10.1111/j.1540-6261.1954.tb01231.x | Cited by: 0
Harold W. Torgerson
THE IMPACT OF FEDERAL INCOME DISBURSEMENTS ON THE SOUTHEASTERN STATES, 1929, 1939, 1949, AND 1957*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04345.x | Cited by: 0
Harold M. Goldstein
STUDENT CHAPTERS OF THE AMERICAN FINANCE ASSOCIATION
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02950.x | Cited by: 0
HAROLD W. STEVENSON
COMPETITION FROM TAX‐EXEMPT BUSINESS (Discussion)
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04456.x | Cited by: 0
Harold M. Somers
POSTWAR TAX POLICY: PERSONAL VERSUS CORPORATE INCOME TAXES*
Published: 8/1946, Volume: 1, Issue: 1 | DOI: 10.1111/j.1540-6261.1946.tb01549.x | Cited by: 0
Harold M. Groves
CONTROL OF CAPITAL ISSUES IN THE UNITED KINGDOM
Published: 9/1958, Volume: 13, Issue: 3 | DOI: 10.1111/j.1540-6261.1958.tb04201.x | Cited by: 1
Harold J. Plous
COMMON‐STOCK FINANCING IN 1955*
Published: 9/1959, Volume: 14, Issue: 3 | DOI: 10.1111/j.1540-6261.1959.tb00134.x | Cited by: 0
Harold W. Stevenson
TAX ASPECTS OF THE VARIABLE ANNUITY*
Published: 12/1960, Volume: 15, Issue: 4 | DOI: 10.1111/j.1540-6261.1960.tb02777.x | Cited by: 0
Harold F. McClelland
IMPACT OF BUSINESS CONDITIONS ON INVESTMENT POLICIES
Published: 5/1952, Volume: 7, Issue: 2 | DOI: 10.1111/j.1540-6261.1952.tb01529.x | Cited by: 0
Harold X. Schreder
THE STOCK MARKET
Published: 5/1962, Volume: 17, Issue: 2 | DOI: 10.1111/j.1540-6261.1962.tb04277.x | Cited by: 0
Harold X. Schreder
Subprime Mortgage Defaults and Credit Default Swaps
Published: 3/12/2015, Volume: 70, Issue: 2 | DOI: 10.1111/jofi.12221 | Cited by: 37
ERIC ARENTSEN, DAVID C. MAUER, BRIAN ROSENLUND, HAROLD H. ZHANG, FENG ZHAO
We offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before the start of CDS coverage have an even higher delinquency rate. The results are robust across zip code and origination quarter cohorts. Overall, we show that CDS coverage helped drive higher mortgage defaults during the financial crisis.
THE ACQUISITION OF COMMON STOCK BY THE CORPORATE ISSUER†
Published: 12/1966, Volume: 21, Issue: 4 | DOI: 10.1111/j.1540-6261.1966.tb00274.x | Cited by: 8
Harold Bierman, Richard West
THE ECONOMICS OF THE ASSET DEPRECIATION RANGE SYSTEM: THE CASE AGAINST ADR
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00979.x | Cited by: 0
Harold Somers, Paul Taubman
THE EFFECT OF SHARE REPURCHASE ON THE VALUE OF THE FIRM: SOME FURTHER COMMENTS
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00326.x | Cited by: 2
Harold Bierman, Richard West
The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity Market
Published: 3/1983, Volume: 38, Issue: 1 | DOI: 10.1111/j.1540-6261.1983.tb03637.x | Cited by: 36
ECKART MILDENSTEIN, HAROLD SCHLEEF
This paper presents a stochastic optimization model for marketmaking in security markets with a single dealer. Buy and sell orders are assumed to arrive at rates that are functions of the ask and bid prices. The dealer incurs both proportional and fixed transaction costs as well as portfolio costs. Methods of dynamic programming and semi‐Markov Decision Processes are used to characterize optimal pricing policies and to perform sensitivity analysis. Both bid and ask prices are nonincreasing functions of the dealer's inventory. Spread is unrelated to inventory position but positively related to order size. Computational examples demonstrate various results.
Corporate Debt and Corporate Taxes
Published: 9/1979, Volume: 34, Issue: 4 | DOI: 10.1111/j.1540-6261.1979.tb03447.x | Cited by: 16
HAROLD BIERMAN, GEORGE S. OLDFIELD
CAPITAL BUDGETING UNDER UNCERTAINTY: A REFORMULATION
Published: 3/1973, Volume: 28, Issue: 1 | DOI: 10.1111/j.1540-6261.1973.tb01350.x | Cited by: 42
Harold Bierman, Jerome E. Hass
Credit Union Structure, Growth and Regulatory Problems
Published: 5/1981, Volume: 36, Issue: 2 | DOI: 10.1111/j.1540-6261.1981.tb00471.x | Cited by: 52
HAROLD BLACK, ROBERT H. DUGGER
REPLY
Published: 12/1974, Volume: 29, Issue: 5 | DOI: 10.1111/j.1540-6261.1974.tb03142.x | Cited by: 2
Harold Bierman, Jerome E. Hass
Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close
Published: 12/1992, Volume: 47, Issue: 5 | DOI: 10.1111/j.1540-6261.1992.tb04682.x | Cited by: 115
MASON S. GERETY, J. HAROLD MULHERIN
This paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight return volatility. NYSE data from 1933–88 indicate that closing volume is positively related to expected overnight volatility, while volume at the open is positively related to both expected and unexpected volatility from the previous night. We interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed. This desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers.
EFFECT OF DEFAULTS AND CREDIT DETERIORATION ON YIELDS OF CORPORATE BONDS
Published: 9/1961, Volume: 16, Issue: 3 | DOI: 10.1111/j.1540-6261.1961.tb02839.x | Cited by: 11
Harold G. Fraine, Robert H. Mills
How Are Firms Sold?
Published: 3/20/2007, Volume: 62, Issue: 2 | DOI: 10.1111/j.1540-6261.2007.01225.x | Cited by: 470
AUDRA L. BOONE, J. HAROLD MULHERIN
As measured by the number of bidders that publicly attempt to acquire a target, the takeover arena in the 1990s appears noncompetitive. However, we provide novel data on the pre‐public, private takeover process that indicates that public takeover activity is only the tip of the iceberg of actual takeover competition during the 1990s. We show a highly competitive market where half of the targets are auctioned among multiple bidders, while the remainder negotiate with a single bidder. In event study analysis, we find that the wealth effects for target shareholders are comparable in auctions and negotiations.
COMPENSATING‐BALANCE REQUIREMENTS: THE RESULTS OF A SURVEY*
Published: 9/1964, Volume: 19, Issue: 3 | DOI: 10.1111/j.1540-6261.1964.tb02869.x | Cited by: 2
Nevins D. Baxter, Harold T. Shapiro
DISCUSSION
Published: 5/1961, Volume: 16, Issue: 2 | DOI: 10.1111/j.1540-6261.1961.tb02829.x | Cited by: 0
Harold W. Stevenson, Robert M. Soldofsky
POLYNOMIAL DISTRIBUTED LAG STRUCTURES IN THE DEMAND FUNCTION FOR MONEY
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03021.x | Cited by: 3
Harold D. Dickson, Dennis R. Starleaf
The Impact of Public Information on the Stock Market
Published: 7/1994, Volume: 49, Issue: 3 | DOI: 10.1111/j.1540-6261.1994.tb00083.x | Cited by: 305
MARK L. MITCHELL, J. HAROLD MULHERIN
AbstractWe study the relation between the number of news announcements reported daily by Dow Jones & Company and aggregate measures of securities market activity including trading volume and market returns. We find that the number of Dow Jones announcements and market activity are directly related and that the results are robust to the addition of factors previously found to influence financial markets such as day‐of‐the‐week dummy variables, news importance as proxied by large New York Times headlines and major macroeconomic announcements, and noninformation sources of market activity as measured by dividend capture and triple witching trading. However, the observed relation between news and market activity is not particularly strong and the patterns in news announcements do not explain the day‐of‐the‐week seasonalities in market activity. Our analysis of the Dow Jones database confirms the difficulty of linking volume and volatility to observed measures of information.
THE ANALYSIS OF REAL ESTATE INVESTMENTS UNDER UNCERTAINTY
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00973.x | Cited by: 6
Harold W. Stevenson, Peter G. K. Pellatt
DISCUSSION
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03296.x | Cited by: 0
Lewis Mandell, Harold Black, Richard C. Aspinwall
Merging Markets
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00137 | Cited by: 87
Tom Arnold, Philip Hersch, J. Harold Mulherin, Jeffry Netter
AbstractWe study the causes and effects of the competition for order flow by U.S. regional stock exchanges. We trace the origins of competition for order flow to a change in the role of regional exchanges from being venues for listing local securities to being more direct competitors for the order flow of NYSE listings. We study the way regionals competed for order flow, concentrating on a series of stock‐exchange mergers that occurred in the midst of this transition of the regional exchanges. The merging exchanges attracted market share and experienced narrower bid‐ask spreads.
Changes in Interstate Banking Laws: The Impact on Shareholder Wealth
Published: 12/1990, Volume: 45, Issue: 5 | DOI: 10.1111/j.1540-6261.1990.tb03735.x | Cited by: 12
HAROLD A. BLACK, M. ANDREW FIELDS, ROBERT L. SCHWEITZER
This study examines the impact on shareholder wealth of changes in interstate banking laws. The research demonstrates that changes in state statutes which allow interstate banking have a positive impact on the stock prices of regional banking organizations and a negative impact on the stock prices of money center banks. Interstate banking statutes initially exclude those states in which the money center banks are headquartered. The findings provide evidence that, by excluding money center banks from expansion across state lines, the competition from the regional banks may have an adverse competitive effect on the money center banks.
Carbon Returns across the Globe
Published: 10/21/2024, Volume: 80, Issue: 1 | DOI: 10.1111/jofi.13402 | Cited by: 188
SHAOJUN ZHANG
The pricing of carbon transition risk is central to the debate on climate‐aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown‐minus‐green return differential, documented in previous studies arises from forward‐looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.
Monetary Policy Spillovers through Invoicing Currencies
Published: 8/17/2021, Volume: 77, Issue: 1 | DOI: 10.1111/jofi.13071 | Cited by: 34
TONY ZHANG
This paper explores the role of trade invoicing currencies in the international spillover of monetary policy. Using high‐frequency measures of Federal Reserve monetary policy shocks, I show that exchange rates, interest rates, and equity returns in countries with a larger share of dollar‐invoiced imports systematically respond more to U.S. monetary policy. I document similar transmission effects from European Central Bank (ECB) monetary policy shocks to countries with euro‐invoiced imports. I rationalize these findings within a New Keynesian framework. As a result of these spillovers, domestic monetary policy should be less effective in countries with traded goods invoiced in foreign currencies.
Limited Risk Sharing and International Equity Returns
Published: 12/16/2020, Volume: 76, Issue: 2 | DOI: 10.1111/jofi.12994 | Cited by: 6
SHAOJUN ZHANG
Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints, reducing the aggregate consumption correlation and the correlation between aggregate consumption differentials and exchange rates. Financial integration widens the disconnect by benefiting stockholders but hurting nonstockholders. Survey data indicate that international risk sharing for stockholders is better than that for nonstockholders, consistent with the predictions.
The Value Premium
Published: 2/2005, Volume: 60, Issue: 1 | DOI: 10.1111/j.1540-6261.2005.00725.x | Cited by: 1120
LU ZHANG
The value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high. By linking risk and expected returns to economic primitives, such as tastes and technology, my model generates many empirical regularities in the cross‐section of returns; it also yields an array of new refutable hypotheses providing fresh directions for future empirical research.
Tracking Retail Investor Activity
Published: 5/14/2021, Volume: 76, Issue: 5 | DOI: 10.1111/jofi.13033 | Cited by: 579
EKKEHART BOEHMER, CHARLES M. JONES, XIAOYAN ZHANG, XINRAN ZHANG
We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm‐level information that is not yet incorporated into prices.
Labor‐Technology Substitution: Implications for Asset Pricing
Published: 3/27/2019, Volume: 74, Issue: 4 | DOI: 10.1111/jofi.12766 | Cited by: 107
MIAO BEN ZHANG
This paper studies the asset pricing implications of a firm's opportunities to replace routine‐task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine‐task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment‐level occupational data, I construct a measure of firms' share of routine‐task labor. Compared to their industry peers, firms with a higher share of routine‐task labor (i) invest more in machines and reduce more routine‐task labor during economic downturns, and (ii) have lower expected stock returns.
Information Uncertainty and Stock Returns
Published: 1/20/2006, Volume: 61, Issue: 1 | DOI: 10.1111/j.1540-6261.2006.00831.x | Cited by: 1565
X. FRANK ZHANG
There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.
Alternative Information Sources and the Information Content of Bank Loans
Published: 9/1993, Volume: 48, Issue: 4 | DOI: 10.1111/j.1540-6261.1993.tb04765.x | Cited by: 151
RONALD BEST, HANG ZHANG
This paper examines the information content of bank loan agreements. We differentiate borrowers according to financial analysts' percentage earnings forecast errors and most recent forecast revisions. The empirical results suggest that banks rely on other indicators as initial screening devices to determine where to best deploy their evaluation and monitoring efforts. If these other indicators are reliable and signal‐improving prospects, banks do little further investigation. However, if the indicators are noisy and signal‐declining prospects, banks have incentives to expend resources to investigate the borrowers, resulting in the production of valuable information.