The Journal of Finance

What's Not There: Odd Lots and Market Data

Published: 9/12/2014,  Volume: 69,  Issue: 5  |  DOI: 10.1111/jofi.12185  |  Cited by: 228

MAUREEN O'HARA, CHEN YAO, MAO YE

We investigate odd‐lot trades in equity markets. Odd lots are increasingly used in algorithmic and high‐frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd‐lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd‐lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd‐lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable. Excluding odd lots from the consolidated tape raises important regulatory issues.

Sparse Signals in the Cross‐Section of Returns

Published: 11/14/2018,  Volume: 74,  Issue: 1  |  DOI: 10.1111/jofi.12733  |  Cited by: 271

ALEX CHINCO, ADAM D. CLARK‐JOSEPH, MAO YE

This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling one‐minute‐ahead return forecasts using the entire cross‐section of lagged returns as candidate predictors. The LASSO increases both out‐of‐sample fit and forecast‐implied Sharpe ratios. This out‐of‐sample success comes from identifying predictors that are unexpected, short‐lived, and sparse. Although the LASSO uses a statistical rule rather than economic intuition to identify predictors, the predictors it identifies are nevertheless associated with economically meaningful events: the LASSO tends to identify as predictors stocks with news about fundamentals.

The Interaction between Nonexpected Utility and Asymmetric Market Fundamentals

Published: 3/1994,  Volume: 49,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1994.tb04433.x  |  Cited by: 20

MAO‐WEI HUNG

This paper studies a nonexpected utility, general equilibrium asset pricing model in which market fundamentals follow a bivariate Markov switching process. The results show that nonexpected utility is capable of exactly matching the means of the risk‐free rate and the risk premium. Asymmetric market fundamentals are capable of generating a negative sample correlation between the risk‐free rate and the risk premium. Moreover, an equilibrium asset pricing model endowed with asymmetric market fundamentals is consistent with all five first and second moments of the risk‐free rate and the risk premium in the U.S. data.

TAXATION AND ACCELERATED INDUSTRIALIZATION*

Published: 9/1958,  Volume: 13,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1958.tb04208.x  |  Cited by: 0

James C. T. Mao

THE IMPACT OF FEDERAL MORTGAGE INSURANCE PROGRAMS ON ANN ARBOR'S HOME MORTGAGE MARKET, 1956

Published: 9/1958,  Volume: 13,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1958.tb04204.x  |  Cited by: 0

James C. T. Mao

QUANTITATIVE ANALYSIS OF URBAN RENEWAL INVESTMENT DECISIONS

Published: 5/1967,  Volume: 22,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1967.tb00006.x  |  Cited by: 4

James C. T. Mao

ESSENTIALS OF PORTFOLIO DIVERSIFICATION STRATEGY

Published: 12/1970,  Volume: 25,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1970.tb00871.x  |  Cited by: 43

James C. T. Mao

SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE

Published: 5/1970,  Volume: 25,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1970.tb00513.x  |  Cited by: 242

James C. T. Mao

THE VALUATION OF GROWTH STOCKS: THE INVESTMENT OPPORTUNITIES APPROACH

Published: 3/1966,  Volume: 21,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1966.tb02957.x  |  Cited by: 11

James C. T. Mao

INVESTMENT DECISION UNDER UNCERTAINTY: THEORY AND PRACTICE

Published: 5/1969,  Volume: 24,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1969.tb01685.x  |  Cited by: 5

James C. T. Mao, John F. Helliwell

Can the Gains from International Diversification Be Achieved without Trading Abroad?

Published: 12/1999,  Volume: 54,  Issue: 6  |  DOI: 10.1111/0022-1082.00182  |  Cited by: 244

Vihang Errunza, Ked Hogan, Mao‐Wei Hung

We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean‐variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home‐made diversification have become statistically and economically insignificant. Finally, we show that the incremental gains from international diversification beyond home‐made diversification portfolios have diminished over time in a way consistent with changes in investment barriers.

Mergers, Product Prices, and Innovation: Evidence from the Pharmaceutical Industry

Published: 3/2024,  Volume: 79,  Issue: 3  |  DOI: 10.1111/jofi.13321  |  Cited by: 16

ALICE BONAIMÉ, YE (EMMA) WANG

Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within‐deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer‐target product similarity and are more pronounced within less competitive product markets with fewer players and no generic competition. Examination of trade‐offs reveals these deals generate significant shareholder value. They also spur labeling and other manufacturing‐related innovation, but not the development of new drugs.

Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses

Published: 11/7/2003,  Volume: 58,  Issue: 6  |  DOI: 10.1046/j.1540-6261.2003.00613.x  |  Cited by: 389

Warren Bailey, Haitao Li, Connie X. Mao, Rui Zhong

Abstract With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst forecast dispersion increases, and increases in other measures of disagreement and difference of opinion suggest greater difficulty in forming forecasts beyond the current quarter. Corporations increase the quantity of voluntary disclosures, but only for current quarter earnings. Thus, Reg FD seems to increase the quantity of information available to the public while imposing greater demands on investment professionals.

Securitization and Capital Structure in Nonfinancial Firms: An Empirical Investigation

Published: 7/18/2014,  Volume: 69,  Issue: 4  |  DOI: 10.1111/jofi.12128  |  Cited by: 59

MICHAEL LEMMON, LAURA XIAOLEI LIU, MIKE QINGHAO MAO, GREG NINI

Contrary to recent accounts of off‐balance‐sheet securitization by financial firms, we show that asset securitization by nonfinancial firms provides a valuable form of financing for shareholders without harming debtholders. Using data from firms’ SEC filings, we find that securitization is attractive to firms in the middle of the credit quality distribution, which are the firms with the most to gain. Upon initiation, firms experience positive abnormal stock returns and zero abnormal bond returns, and largely use the securitization proceeds to repay existing debt. Securitization minimizes financing costs by reducing expected bankruptcy costs and providing access to segmented credit markets.

Dynamic Banking and the Value of Deposits

Published: 4/23/2025,  Volume: 80,  Issue: 4  |  DOI: 10.1111/jofi.13454  |  Cited by: 18

PATRICK BOLTON, YE LI, NENG WANG, JINQIANG YANG

We propose a theory of banking in which banks cannot perfectly control deposit flows. Facing uninsurable loan and deposit shocks, banks dynamically manage lending, wholesale funding, deposits, and equity. Deposits create value by lowering funding costs. However, when the bank is undercapitalized and at risk of breaching leverage requirements, the marginal value of deposits can turn negative as deposit inflows, by raising leverage, increase the likelihood of costly equity issuance. Banks' inability to fully control leverage distinguishes them from nondepository intermediaries. Our model suggests a reevaluation of leverage regulations and offers new perspectives on banking in a low‐interest‐rate environment.