The Journal of Finance

Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator

Published: 6/1990,  Volume: 45,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1990.tb03704.x  |  Cited by: 119

LAWRENCE HARRIS

Exact small sample population moments of the standard serial covariance and variance estimators are derived under the assumptions of the Roll bid/ask spread model. Noise explains why serial covariance estimates are often positive in annual samples of daily and weekly returns. Small sample estimator bias partially explains why weekly estimates are more negative than daily estimates. Noise causes the Roll spread estimator to be severely biased by Jensen's inequality. The French‐Roll adjusted variance estimator is unbiased but noisy. Empirical tests confirm the major implications.

The October 1987 S&P 500 Stock‐Futures Basis

Published: 3/1989,  Volume: 44,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1989.tb02405.x  |  Cited by: 97

LAWRENCE HARRIS

Five‐minute changes in the S&P 500 index and futures contract are examined over a ten‐day period surrounding the October 1987 stock market crash. Since nonsynchronous trading problems are severe in these data, new index estimators are derived and used. The estimators use the complete transaction history of all 500 stocks. Nonsynchronous trading explains part of the large absolute futures‐cash basis observed during the crash. The remainder may be due to disintegration of the two markets. Even after adjustment for nonsynchronous trading, the index displays more autocorrelation than does the futures and the futures leads the index.

S&P 500 Cash Stock Price Volatilities

Published: 12/1989,  Volume: 44,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1989.tb02648.x  |  Cited by: 154

LAWRENCE HARRIS

S&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross‐sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983—before the start of trade in index futures and index options. Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility.

DISCUSSION

Published: 7/1988,  Volume: 43,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1988.tb04600.x  |  Cited by: 4

LAWRENCE HARRIS

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

Published: 9/1986,  Volume: 41,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1986.tb04550.x  |  Cited by: 572

LAWRENCE HARRIS, EITAN GUREL

Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of prices and volume surrounding changes in the composition of the S&P 500. Since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities, they provide an excellent opportunity to study price pressures. The results are consistent with the price‐pressure hypothesis: immediately after an addition is announced, prices increase by more than 3 percent. This increase is nearly fully reversed after 2 weeks.

Secondary Trading Costs in the Municipal Bond Market

Published: 5/16/2006,  Volume: 61,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2006.00875.x  |  Cited by: 291

LAWRENCE E. HARRIS, MICHAEL S. PIWOWAR

Using new econometric methods, we separately estimate average transaction costs for over 167,000 bonds from a 1‐year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantially more expensive than similar‐sized equity trades. We attribute these results to the lack of bond market price transparency. Additional cross‐sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds.

Corporate Bond Market Transaction Costs and Transparency

Published: 5/8/2007,  Volume: 62,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2007.01240.x  |  Cited by: 795

AMY K. EDWARDS, LAWRENCE E. HARRIS, MICHAEL S. PIWOWAR

Using a complete record of U.S. over‐the‐counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and they drop when the TRACE system starts to publicly disseminate their prices. The results suggest that public traders benefit significantly from price transparency.

THE FLOW OF NET CASH SAVINGS THROUGH LIFE INSURANCE COMPANIES*

Published: 3/1955,  Volume: 10,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1955.tb01570.x  |  Cited by: 0

Harris Loewy

NET CASH MONEYFLOWS THROUGH LIFE INSURANCE COMPANIES

Published: 12/1956,  Volume: 11,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1956.tb04085.x  |  Cited by: 0

Harris Loewy

FELLOW OF THE AMERICAN FINANCE ASSOCIATION FOR 2011

Published: 5/23/2011,  Volume: 66,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2011.01676.x  |  Cited by: 0

Milton Harris

DISCUSSION

Published: 7/1984,  Volume: 39,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1984.tb03650.x  |  Cited by: 1

LAWRENCE FISHER

The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information

Published: 12/1979,  Volume: 34,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1979.tb00064.x  |  Cited by: 31

LAWRENCE KRYZANOWSKI

SOME EVIDENCE ON DIFFERENTIAL LENDING PRACTICES AT COMMERCIAL BANKS

Published: 12/1973,  Volume: 28,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1973.tb01459.x  |  Cited by: 2

Duane G. Harris

COST OF THE MARSHALL PLAN TO THE UNITED STATES*

Published: 2/1948,  Volume: 3,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1948.tb01009.x  |  Cited by: 0

Seymour E. Harris

THE CAPITAL STRUCTURE IN AMERICAN BANKING

Published: 12/1954,  Volume: 9,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1954.tb01253.x  |  Cited by: 3

George Taylor Harris

DISCUSSION

Published: 5/1983,  Volume: 38,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1983.tb02239.x  |  Cited by: 0

ROBERT S. HARRIS

FEDERAL MARGIN REQUIREMENTS: A SELECTIVE INSTRUMENT OF MONETARY POLICY*

Published: 12/1959,  Volume: 14,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1959.tb00150.x  |  Cited by: 0

Robert E. Harris

Session Topic: International Trade and Finance: Balance of Payments And International Investment

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03075.x  |  Cited by: 0

LAWRENCE B. KRAUSE, KEITH JOHNSON, LAWRENCE R. KLEIN

AN ANALYSIS OF THE EFFECTS OF THE REMOVAL OF THE YIELD CEILING ON FEDERALLY INSURED MORTGAGES IN CANADA

Published: 3/1977,  Volume: 32,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1977.tb03254.x  |  Cited by: 0

Lawrence B. Smith

Taxes, Inflation and Corporate Financial Policy

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03863.x  |  Cited by: 13

LAWRENCE D. SCHALL

This paper examines inflation‐induced distortions in personal and corporate income taxes and discusses the implications for corporate dividend and financial structure policies and for shareholder unanimity. The tax effects relating to capital gains and debt interest cause changes in aggregate corporate borrowing and lead to equilibrium tax relationships which differ from the zero‐inflation tax relationships.

REPORT OF THE MANAGING EDITOR OF THE JOURNAL OF FINANCE COVERING THE YEAR 1965

Published: 5/1966,  Volume: 21,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1966.tb00245.x  |  Cited by: 0

Lawrence S. Ritter

PRICE/EARNINGS DIFFERENTIAL AS A PURE CONGLOMERATE MERGER MOTIVE, 1954–1969*

Published: 12/1974,  Volume: 29,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1974.tb03144.x  |  Cited by: 0

Robert Lawrence Conn

THE POSTWAR CANADIAN MORTGAGE MARKET AND THE ROLE OF GOVERNMENT*

Published: 9/1966,  Volume: 21,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1966.tb00266.x  |  Cited by: 0

Lawrence B. Smith

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

Published: 12/1987,  Volume: 42,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1987.tb04367.x  |  Cited by: 170

LAWRENCE R. GLOSTEN

The bid‐ask spread can be decomposed into two parts: one part due to asymmetric information and the other part due to other factors such as monopoly power. The part due to asymmetric information attenuates statistical biases in mean return, variance, and serial covariance. Thus, using spread data to adjust for biases in return moments requires knowing not only the spread but the composition of the spread. Furthermore, any spread‐estimation procedure using transaction prices must estimate two spread components. On the other hand, the appropriateness of some previously suggested statistical corrections is independent of the spread composition.

On Economics and Finance

Published: 7/1985,  Volume: 40,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1985.tb04985.x  |  Cited by: 45

LAWRENCE H. SUMMERS

THE CONTROL OF INFLATION: DIRECT VERSUS MONETARY‐FISCAL MEASURES*

Published: 3/1953,  Volume: 8,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1953.tb01136.x  |  Cited by: 0

Lawrence S. Ritter

THE EFFECTS OF INSTALMENT CREDIT TERM VARIATION*

Published: 9/1959,  Volume: 14,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1959.tb00124.x  |  Cited by: 0

Lawrence L. Werboff

A TEST OF HAMMER'S DEMAND FOR PHYSICAL CAPITAL MODEL USING FIRM DATA

Published: 3/1968,  Volume: 23,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1968.tb03000.x  |  Cited by: 0

J. Lawrence Hexter

Mean‐Variance Versus Direct Utility Maximization: A Comment

Published: 6/1985,  Volume: 40,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1985.tb04978.x  |  Cited by: 3

LAWRENCE B. PULLEY

FEDERAL REGULATION OF BANK HOLDING COMPANIES*

Published: 9/1962,  Volume: 17,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1962.tb04318.x  |  Cited by: 0

Lawrence Lee Crum

THE USE OF SINKING FUNDS IN PREFERRED STOCK ISSUES

Published: 10/1947,  Volume: 2,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1947.tb00795.x  |  Cited by: 2

H. Lawrence Wilsey

THE LEASE‐OR‐BUY AND ASSET ACQUISITION DECISIONS

Published: 9/1974,  Volume: 29,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1974.tb03097.x  |  Cited by: 27

Lawrence D. Schall

DISCUSSION

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00286.x  |  Cited by: 0

Lawrence B. Krause

REPORT OF THE MANAGING EDITOR OF THE JOURNAL OF FINANCE COVERING THE YEAR 1966

Published: 5/1967,  Volume: 22,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1967.tb00020.x  |  Cited by: 0

Lawrence S. Ritter

Is the Electronic Open Limit Order Book Inevitable?

Published: 9/1994,  Volume: 49,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1994.tb02450.x  |  Cited by: 733

LAWRENCE R. GLOSTEN

Under fairly general conditions, the article derives the equilibrium price schedule determined by the bids and offers in an open limit order book. The analysis shows: (1) the order book has a small‐trade positive bid‐ask spread, and limit orders profit from small trades; (2) the electronic exchange provides as much liquidity as possible in extreme situations; (3) the limit order book does not invite competition from third market dealers, while other trading institutions do; (4) If an entering exchange earns nonnegative trading profits, the consolidated price schedule matches the limit order book price schedule.

Does the Stock Market Rationally Reflect Fundamental Values?

Published: 7/1986,  Volume: 41,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1986.tb04519.x  |  Cited by: 761

LAWRENCE H. SUMMERS

This paper examines the power of statistical tests commonly used to evaluate the efficiency of speculative markets. It shows that these tests have very low power. Market valuations can differ substantially and persistently from the rational expectation of the present value of cash flows without leaving statistically discernible traces in the pattern of ex‐post returns. This observation implies that speculation is unlikely to ensure rational valuations, since similar problems of identification plague both financial economists and would be speculators.

WAGE DIFFERENTIALS IN THEORY AND PRACTICE THE EFFECT OF STATUS ON WAGE DIFFERENTIALS*

Published: 3/1962,  Volume: 17,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1962.tb04258.x  |  Cited by: 0

Harry Lawrence Hall

THE INVESTMENT COMPANY—USEFUL MEDIUM FOR AMERICAN PRIVATE INVESTMENT ABROAD

Published: 12/1959,  Volume: 14,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1959.tb00139.x  |  Cited by: 0

Lawrence M. Greene

THE INVESTMENT ADVISERS ACT OF 1940

Published: 12/1949,  Volume: 4,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1949.tb02357.x  |  Cited by: 3

H. Lawrence Wilsey

A NOTE ON THE RETIREMENT OF PUBLIC DEBT DURING INFLATION*

Published: 3/1951,  Volume: 6,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1951.tb04443.x  |  Cited by: 0

Lawrence S. Ritter

AN EXPOSITION OF THE STRUCTURE OF THE FLOW‐OF‐FUNDS ACCOUNTS*

Published: 5/1963,  Volume: 18,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1963.tb00718.x  |  Cited by: 3

Lawrence S. Ritter

DISCUSSION

Published: 5/1971,  Volume: 26,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1971.tb00898.x  |  Cited by: 0

Lawrence B. Krause

THE TAXATION OF PROPERTY IN KANSAS 1855–1955*

Published: 3/1958,  Volume: 13,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1958.tb04178.x  |  Cited by: 0

Lawrence Albert Leonard

The Theory of Capital Structure

Published: 3/1991,  Volume: 46,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1991.tb03753.x  |  Cited by: 2355

MILTON HARRIS, ARTUR RAVIV

This paper surveys capital structure theories based on agency costs, asymmetric information, product/input market interactions, and corporate control considerations (but excluding tax‐based theories). For each type of model, a brief overview of the papers surveyed and their relation to each other is provided. The central papers are described in some detail, and their results are summarized and followed by a discussion of related extensions. Each section concludes with a summary of the main implications of the models surveyed in the section. Finally, these results are collected and compared to the available evidence. Suggestions for future research are provided.

The Capital Budgeting Process: Incentives and Information

Published: 9/1996,  Volume: 51,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1996.tb04065.x  |  Cited by: 278

MILTON HARRIS, ARTUR RAVIV

We study the capital allocation process within firms. Observed budgeting processes are explained as a response to decentralized information and incentive problems. It is shown that these imperfections can result in underinvestment when capital productivity is high and overinvestment when it is low. We also investigate how the budgeting process may be expected to vary with firm or division characteristics such as investment opportunities and the technology for information transfer.

Capital Structure and the Informational Role of Debt

Published: 6/1990,  Volume: 45,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1990.tb03693.x  |  Cited by: 795

MILTON HARRIS, ARTUR RAVIV

This paper provides a theory of capital structure based on the effect of debt on investors' information about the firm and on their ability to oversee management. We postulate that managers are reluctant to relinquish control and unwilling to provide information that could result in such an outcome. Debt is a disciplining device because default allows creditors the option to force the firm into liquidation and generates information useful to investors. We characterize the time path of the debt level and obtain comparative statics results on the debt level, bond yield, probability of default, probability of reorganization, etc.

A Sequential Signalling Model of Convertible Debt Call Policy

Published: 12/1985,  Volume: 40,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1985.tb02382.x  |  Cited by: 87

MILTON HARRIS, ARTUR RAVIV

In this paper we attempt to resolve two puzzles concerning convertible debt calls. The first is that although it has been shown that conversion of these bonds should optimally be forced as soon as this is feasible, actual calls are significantly delayed relative to this prescription. The second is that common stock returns are significantly negative around the announcement of the call of a convertible debt issue. Our purpose is to simultaneously rationalize managers' observed call decisions and the market's reaction to them in a framework in which managers behave optimally given their private information, compensation schemes, and investors' reactions to their call decisions. Moreover, investors' reactions are rational in the sense of Bayes' rule given managers' call policy. In equilibrium, a decision to call is (correctly) perceived by the market as a signal of unfavorable private information. In addition to rationalizing observed call delays and negative stock returns at call announcement, several other testable implications are derived.

The Role of Acquisitions in Foreign Direct Investment: Evidence from the U.S. Stock Market

Published: 7/1991,  Volume: 46,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1991.tb03767.x  |  Cited by: 203

ROBERT S. HARRIS, DAVID RAVENSCRAFT

This paper examines foreign direct investment by studying shareholder wealth gains for 1273 U.S. firms acquired during the period 1970‐1987. Three findings stand out. First, cross‐border takeovers are more frequent in research and development intensive industries than are domestic acquisitions; furthermore, in three‐fourths of cross‐border transactions the buyer and seller are in related industries. These industry patterns suggest that costs and imperfections in product markets play an important role in foreign direct investment. Second, targets of foreign buyers have significantly higher wealth gains than do targets of U.S. firms. This cross‐border effect is comparable in size to the wealth effects of all‐cash and multiple bids, two effects receiving substantial attention in the finance literature, and is robust to inclusion of these two variables. Third, while the cross‐border effect on wealth gains is not well explained by industry and tax variables, it is positively related to the weakness of the U.S. dollar, indicating a significant role for exchange rate movements in foreign direct investment.

Corporate Behavior in Adjusting to Capital Structure and Dividend Targets: An Econometric Study

Published: 3/1984,  Volume: 39,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1984.tb03864.x  |  Cited by: 326

ABOLHASSAN JALILVAND, ROBERT S. HARRIS

This study of financing decisions by U.S. corporations examines the issuance of long term debt, issuance of short term debt, maintenance of corporate liquidity, issuance of new equity, and payment of dividends. Given costs and imperfections inherent in markets, a firm's financial behavior is characterized as partial adjustment to long run financial targets. Individual firm data are used so that speeds of adjustment are allowed to vary by company and over time. The results suggest that financial decisions are interdependent and that firm size, interest rate conditions, and stock price levels affect speeds of adjustment.

DISCUSSION

Published: 5/1974,  Volume: 29,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1974.tb03060.x  |  Cited by: 6

John B. Long, Lawrence Fisher