The Journal of Finance

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: 114

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.

How Are Firms Sold?

Published: 3/20/2007,  Volume: 62,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2007.01225.x  |  Cited by: 466

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.

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: 301

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.

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.

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

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

DISCUSSION

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02272.x  |  Cited by: 0

HAROLD BIERMAN

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

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

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

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

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

ESTATE TAXES AND BUSINESS MERGERS: THE EFFECTS OF ESTATE TAXES ON BUSINESS STRUCTURE AND PRACTICES IN THE UNITED STATES*

Published: 5/1958,  Volume: 13,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1958.tb04190.x  |  Cited by: 1

Harold M. Somers

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

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

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.

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

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

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

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

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

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 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.

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 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 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

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

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

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

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

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

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

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

Operating Hedge and Gross Profitability Premium

Published: 9/27/2023,  Volume: 78,  Issue: 6  |  DOI: 10.1111/jofi.13275  |  Cited by: 29

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.

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: 9

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.

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

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.

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: 200

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.

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: 129

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.

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.