The Journal of Finance

Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap

Published: 10/1999,  Volume: 54,  Issue: 5  |  DOI: 10.1111/0022-1082.00163  |  Cited by: 726

Ryan Sullivan, Allan Timmermann, Halbert White

In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data‐snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data‐snooping.

INSTITUTIONAL ASPECTS OF INTERREGIONAL MORTGAGE INVESTMENT

Published: 5/1968,  Volume: 23,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1968.tb00811.x  |  Cited by: 3

Halbert C. Smith

Estimating the Divisional Cost of Capital: An Analysis of the Pure‐Play Technique

Published: 12/1981,  Volume: 36,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1981.tb01071.x  |  Cited by: 37

RUSSELL J. FULLER, HALBERT S. KERR

This paper suggests that the pure‐play technique can be used in conjunction with the capital asset pricing model to determine the cost of equity capital for the divisions of a multidivision firm. Since the beta for a division is unobservable in the marketplace, a proxy beta derived from a publicly traded firm whose operations are as similar as possible to the division in question is used as the measure of the division's systematic risk. To provide empirical support for using the pure‐play technique, a sample of multidivision firms and pure‐play associated with each division is examined. It is shown that an appropriately weighted average of the betas of the pure‐play firms closely approximates the beta of the multidivision firm.

The Pricing of Options on Assets with Stochastic Volatilities

Published: 6/1987,  Volume: 42,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1987.tb02568.x  |  Cited by: 2871

JOHN HULL, ALAN WHITE

One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.

Anticompetitive Financial Contracting: The Design of Financial Claims

Published: 9/11/2003,  Volume: 58,  Issue: 5  |  DOI: 10.1111/1540-6261.00599  |  Cited by: 86

Giacinta Cestone, Lucy White

AbstractThis paper presents the first model where entry deterrence takes place through financial rather than product‐market channels. In existing models, a firm's choice of financial instruments deters entry by affecting product market behavior; here entry deterrence occurs by affecting the credit market behavior of investors towards entrant firms. We find that to deter entry, the claims held on incumbent firms should be sufficiently risky, that is, equity. This contrasts with the standard Brander and Lewis (1986) result that debt deters entry. This effect is more marked the less competitive the credit market is—so more credit market competition spurs more product market competition.

PATTERNS OF BUSINESS FINANCING: SOME COMMENTS

Published: 12/1965,  Volume: 20,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1965.tb02939.x  |  Cited by: 0

Eli Shapiro, William L. White

Level Playing Fields in International Financial Regulation

Published: 5/20/2009,  Volume: 64,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2009.01460.x  |  Cited by: 75

ALAN D. MORRISON, LUCY WHITE

We analyze the desirability of level playing fields in international financial regulation. In general, level playing fields impose the standards of the weakest regulator upon the best‐regulated economies. However, they may be desirable when capital is mobile because they counter a cherry‐picking effect that lowers the size and efficiency of banks in weaker economies. Hence, while a laissez faire policy favors the better‐regulated economy, level playing fields are good for weaker regulators. We show that multinational banking mitigates the cherry‐picking effect, and reduces the damage that a level playing field causes in the better‐regulated economy.

DISCUSSION

Published: 5/1965,  Volume: 20,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1965.tb00210.x  |  Cited by: 0

MELVIN I. WHITE, E. GORDON KEITH

Session Topic: Corporate Finance and Capital Budgeting

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03071.x  |  Cited by: 1

James Van Horn, William L. White

Tax‐Induced Trading and the Turn‐of‐the‐Year Anomaly: An Intraday Study

Published: 6/1993,  Volume: 48,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1993.tb04728.x  |  Cited by: 40

MARK D. GRIFFITHS, ROBERT W. WHITE

This study tests the tax‐induced trading hypothesis as an explanation of the turn‐of‐the‐year anomaly using Canadian and U.S. intraday data. Since the Canadian tax year‐end precedes the calendar year‐end by five business days, tax effects may be isolated. We find the anomaly is related to the degree of seller‐and buyer‐initiated trading and depends upon the incidence of the taxation year‐end. Seller‐initiated transactions (at bid prices) dominate until the tax year‐end after which buyer‐initiated trades (at ask prices) dominate. The anomaly is a function of bid‐ask prices.

Economies of Scale and Economies of Scope in Multiproduct Financial Institutions: A Study of British Columbia Credit Unions

Published: 6/1983,  Volume: 38,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1983.tb02508.x  |  Cited by: 166

JOHN D. MURRAY, ROBERT W. WHITE

This paper investigates the production technology facing computerized credit unions in Canada. A full system of translog cost equations is estimated in order to test for economies of scale, economies of scope, and other production characteristics in a multiproduct context. The regression results indicate that most of the credit unions in our sample experience significant increasing returns to scale as they expand their level of output. There is also evidence of cost complementarity or economies of scope in their mortgage and other lending activities. As a result, legislation which limits the ability of credit unions to grow and diversify will likely raise the operating costs of this important group of financial institutions. Additional structural tests of the most general translog specification suggest that none of the restrictive production conditions commonly imposed by other researchers using Cobb‐Douglas and CES specifications provide a valid representation of credit union technology. The results of many earlier studies are therefore open to question.

Bankruptcy Costs and the New Bankruptcy Code

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02256.x  |  Cited by: 8

JEROLD B. WARNER, MICHELLE J. WHITE

Privacy and Team Incentives

Published: 10/15/2025,  Volume: 80,  Issue: 6  |  DOI: 10.1111/jofi.13496  |  Cited by: 0

ANDREA M. BUFFA, QING LIU, LUCY WHITE

Real‐world contracts are typically private, observed only by their direct signatories, so agents working together are vulnerable to the principal opportunistically reducing other agents' incentives. The principal can mitigate this commitment problem by giving the most skilled agent a budget and delegating authority to write other agents' contracts. This endogenous hierarchy, never optimal with public contracts, raises effort, output, and compensation but allows rent extraction. The principal prefers it when contracts are opaque enough, skill is sufficiently heterogeneous across agents, and joint output is sensitive enough to effort. Our model provides novel predictions for the structure of banking syndicates.

Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis

Published: 12/2006,  Volume: 61,  Issue: 6  |  DOI: 10.1111/j.1540-6261.2006.01015.x  |  Cited by: 769

ROBERT KOSOWSKI, ALLAN TIMMERMANN, RUSS WERMERS, HAL WHITE

We apply a new bootstrap statistical technique to examine the performance of the U.S. open‐end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk‐taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a sizable minority of managers pick stocks well enough to more than cover their costs. Moreover, the superior alphas of these managers persist.

Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects

Published: 10/2001,  Volume: 56,  Issue: 5  |  DOI: 10.1111/0022-1082.00387  |  Cited by: 70

Brian F. Smith, D. Alasdair S. Turnbull, Robert W. White

This paper directly tests the hypothesis that upstairs intermediation lowers adverse selection cost. We find upstairs market makers effectively screen out information‐motivated orders and execute large liquidity‐motivated orders at a lower cost than the downstairs market. Upstairs markets do not cannibalize or free ride off the downstairs market. In one‐quarter of the trades, the upstairs market offers price improvement over the limit orders available in the consolidated limit order book. Trades are more likely to be executed upstairs at times when liquidity is lower in the downstairs market.