Search results: 50.
Corporate Bond Trading Costs: A Peek Behind the Curtain
Published: 4/2001, Volume: 56, Issue: 2 | DOI: 10.1111/0022-1082.00341 | Cited by: 272
Paul Schultz
In this paper, I use institutional corporate bond trade data to estimate transactions costs in the over‐the‐counter bond market. I find average round‐trip trading costs to be about $0.27 per $100 of par value. Trading costs are lower for larger trades. Small institutions pay more to trade than large institutions, all else being equal. Small bond dealers charge more than large ones. I find no evidence that trading costs more for lower‐rated bonds.
Calls of Warrants: Timing and Market Reaction
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04733.x | Cited by: 16
PAUL SCHULTZ
This paper examines the timing of, and reaction to, calls of callable warrants. Three main findings emerge. First, unlike convertible bonds or preferred stock, callable warrants are called almost as soon as possible. Second, there is a negative price reaction of about 3 percent when a call is announced. Finally, at the completion of a call, the stock price rebounds by an average of 7 percent. The total reaction from announcement through completion of the call is a positive excess return of about 4 percent.
Downward‐Sloping Demand Curves, the Supply of Shares, and the Collapse of Internet Stock Prices
Published: 1/10/2008, Volume: 63, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01318.x | Cited by: 24
PAUL SCHULTZ
Over March and April 2000, Internet stocks lost 56%, or $700 billion. This sudden collapse has been attributed to an increasing supply of shares from lockup expirations and equity offerings. I show that Internet stocks collapsed in this period regardless of whether their lockups expired. Furthermore, daily Internet stock portfolio returns were almost unaffected by the number or dollar amount of lockup expirations that day, or by the amount of stock offered in IPOs or SEOs. Most of the Internet stock decline is explained by poor marketwide returns, particularly for growth stocks.
Stock Splits, Tick Size, and Sponsorship
Published: 2/2000, Volume: 55, Issue: 1 | DOI: 10.1111/0022-1082.00211 | Cited by: 191
Paul Schultz
A traditional explanation for stock splits is that they increase the number of small shareholders who own the stock. A possible reason for the increase is that the minimum bid‐ask spread is wider after a split and brokers have more incentive to promote a stock. I document a large number of small buy orders following Nasdaq and NYSE/AMEX splits during 1993 to 1994. I also find strong evidence that trading costs increase, and weak evidence that costs of market making decline following splits. This is consistent with splits acting as an incentive to brokers to promote stocks.
Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note
Published: 3/1985, Volume: 40, Issue: 1 | DOI: 10.1111/j.1540-6261.1985.tb04954.x | Cited by: 45
PAUL SCHULTZ
This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn‐of‐the‐year effect is found. This paper also extends previous authors' work on the subject to 1918–29. A January effect is found during that period.
Pseudo Market Timing and the Long‐Run Underperformance of IPOs
Published: 3/21/2003, Volume: 58, Issue: 2 | DOI: 10.1111/1540-6261.00535 | Cited by: 322
Paul Schultz
Numerous studies document long‐run underperformance by firms following equity offerings. This paper shows that underperformance is very likely to be observed ex‐post in an efficient market. The premise is that more firms issue equity at higher stock prices even though they cannot predict future returns. Ex‐post, issuers seem to time the market because offerings cluster at market peaks. Simulations based on 1973 through 1997 data reveal that when ex‐ante expected abnormal returns are zero, median ex‐post underperformance for equity issuers will be significantly negative in event‐time. Using calendar‐time returns solves the problem.
Pricing Warrants: An Empirical Study of the Black‐Scholes Model and Its Alternatives
Published: 9/1990, Volume: 45, Issue: 4 | DOI: 10.1111/j.1540-6261.1990.tb02432.x | Cited by: 59
BENI LAUTERBACH, PAUL SCHULTZ
This paper uses a sample of over 25,000 daily warrant prices to empirically investigate potential problems with the commonly used warrant pricing model proposed by Black and Scholes as an extension of their call option model. One problem seems to be especially important: the constant variance assumption of the dilution adjusted Black‐Scholes model appears to cause biases in model prices for almost all warrants and over the entire sample period. We show that more accurate price forecasts are obtained with a specific form of the constant elasticity of variance model.
Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets
Published: 11/14/2011, Volume: 66, Issue: 6 | DOI: 10.1111/j.1540-6261.2011.01700.x | Cited by: 266
ROBERT BATTALIO, PAUL SCHULTZ
We examine how the September 2008 short sale restrictions and the accompanying confusion and regulatory uncertainty impacted equity option markets. We find that the short sale ban is associated with dramatically increased bid‐ask spreads for options on banned stocks. In addition, synthetic share prices for banned stocks become significantly lower than actual share prices during the ban. We find similar results for synthetic share prices of hard‐to‐borrow stocks, suggesting that the dislocation in actual and synthetic share prices is attributable to the increased hedging costs for options on banned stocks during the short sale ban.
Trading Costs and Exchange Delisting: The Case of Firms that Voluntarily Move from the American Stock Exchange to the Nasdaq
Published: 12/1997, Volume: 52, Issue: 5 | DOI: 10.1111/j.1540-6261.1997.tb02753.x | Cited by: 26
PAUL CLYDE, PAUL SCHULTZ, MIR ZAMAN
We examine 47 stocks that voluntarily left the American Stock Exchange from 1992 through 1995 and listed on the Nasdaq. We find that both effective and quoted spreads increase by about 100 percent after listing on the Nasdaq. These spread changes are consistent across stocks. In contrast, excess returns are positive when firms announce a switch from The American Stock Exchange to the Nasdaq. We are unable to explain this apparent contradiction.
Options and the Bubble
Published: 9/19/2006, Volume: 61, Issue: 5 | DOI: 10.1111/j.1540-6261.2006.01051.x | Cited by: 205
ROBERT BATTALIO, PAUL SCHULTZ
Many believe that a bubble existed in Internet stocks in the 1999 to 2000 period, and that short‐sale restrictions prevented rational investors from driving Internet stock prices to reasonable levels. In the presence of such short‐sale constraints, option and stock prices could decouple during a bubble. Using intraday options data from the peak of the Internet bubble, we find almost no evidence that synthetic stock prices diverged from actual stock prices. We also show that the general public could cheaply short synthetically using options. In summary, we find no evidence that short‐sale restrictions affected Internet stock prices.
The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition
Published: 2/2005, Volume: 60, Issue: 1 | DOI: 10.1111/j.1540-6261.2005.00735.x | Cited by: 282
SHANE A. CORWIN, PAUL SCHULTZ
We examine syndicates for 1,638 IPOs from January 1997 through June 2002. We find strong evidence of information production by syndicate members. Offer prices are more likely to be revised in response to information when the syndicate has more underwriters and especially more co‐managers. More co‐managers also result in more analyst coverage and additional market makers following the IPO. Relationships between underwriters are critical in determining the composition of syndicates, perhaps because they mitigate free‐riding and moral hazard problems. While there appear to be benefits to larger syndicates, we discuss several factors that may limit syndicate size.
A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
Published: 3/27/2012, Volume: 67, Issue: 2 | DOI: 10.1111/j.1540-6261.2012.01729.x | Cited by: 1005
SHANE A. CORWIN, PAUL SCHULTZ
We develop a bid‐ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high–low ratio reflects both the stock's variance and its bid‐ask spread. Although the variance component of the high–low ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of high–low ratios over 1‐day and 2‐day intervals. The estimator is easy to calculate, can be applied in a variety of research areas, and generally outperforms other low‐frequency estimators.
Liquidity in a Market for Unique Assets: Specified Pool and To‐Be‐Announced Trading in the Mortgage‐Backed Securities Market
Published: 4/13/2017, Volume: 72, Issue: 3 | DOI: 10.1111/jofi.12496 | Cited by: 48
PENGJIE GAO, PAUL SCHULTZ, ZHAOGANG SONG
Agency mortgage‐backed securities (MBS) trade simultaneously in a market for specified pools (SPs) and in the to‐be‐announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as TBAs have significantly lower trading costs than other SPs. We present evidence that TBA eligibility, in addition to characteristics of TBA‐eligible SPs, lowers trading costs. We show that dealers hedge SP inventory with TBA trades, and they are more likely to prearrange trades in SPs that are difficult to hedge.
Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?
Published: 12/1994, Volume: 49, Issue: 5 | DOI: 10.1111/j.1540-6261.1994.tb04782.x | Cited by: 389
WILLIAM G. CHRISTIE, PAUL H. SCHULTZ
The NASDAQ multiple dealer market is designed to produce narrow bid‐ask spreads through the competition for order flow among individual dealers. However, we find that odd‐eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd‐eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991), trading activity, or other variables thought to impact spreads. This result implies that the inside spread for a large number of NASDAQ stocks is at least $0.25 and raises the question of whether NASDAQ dealers implicitly collude to maintain wide spreads.
Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?
Published: 12/1994, Volume: 49, Issue: 5 | DOI: 10.1111/j.1540-6261.1994.tb04783.x | Cited by: 151
WILLIAM G. CHRISTIE, JEFFREY H. HARRIS, PAUL H. SCHULTZ
On May 26 and 27, 1994 several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $0.25 by avoiding odd‐eighth quotes. On May 27, dealers in Amgen, Cisco Systems, and Microsoft sharply increased their use of odd‐eighth quotes, and mean inside and effective spreads fell nearly 50 percent. This pattern was repeated for Apple Computer the following trading day. Using individual dealer quotes for Apple and Microsoft, we find that virtually all dealers moved in unison to adopt odd‐eighth quotes.
Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
Published: 2/1999, Volume: 54, Issue: 1 | DOI: 10.1111/0022-1082.00097 | Cited by: 233
Michael J. Barclay, William G. Christie, Jeffrey H. Harris, Eugene Kandel, Paul H. Schultz
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
Does the Stock Market Overreact to Corporate Earnings Information?
Published: 12/1989, Volume: 44, Issue: 5 | DOI: 10.1111/j.1540-6261.1989.tb02660.x | Cited by: 30
PAUL ZAROWIN
This paper tests whether the stock market overreacts to extreme earnings, by examining firms' stock returns over the 36 months subsequent to extreme earnings years. While the poorest earners do outperform the best earners, the poorest earners are also significantly smaller than the best earners. When poor earners are matched with good earners of equal size, there is little evidence of differential performance. This suggests that size, and not investor overreaction to earnings, is responsible for the “overreaction” phenomenon, the tendency for prior period losers to outperform prior period winners in the subsequent period.
Equity Rights Issues and the Efficiency of the UK Stock Market
Published: 9/1979, Volume: 34, Issue: 4 | DOI: 10.1111/j.1540-6261.1979.tb03439.x | Cited by: 116
PAUL MARSH
A SUGGESTION FOR THE REVALUATION OF GOLD*
Published: 3/1963, Volume: 18, Issue: 1 | DOI: 10.1111/j.1540-6261.1963.tb01621.x | Cited by: 1
Paul Wonnacott
Discussion
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02249.x | Cited by: 0
PAUL HALPERN
SOME RECENT CHANGES IN THE EURO‐DOLLAR SYST
Published: 9/1964, Volume: 19, Issue: 3 | DOI: 10.1111/j.1540-6261.1964.tb02866.x | Cited by: 0
Paul Einzig
THE CANADIAN DOLLAR, 1948–57*
Published: 3/1960, Volume: 15, Issue: 1 | DOI: 10.1111/j.1540-6261.1960.tb04851.x | Cited by: 0
Paul Wonnacott
The Choice Between Equity and Debt: An Empirical Study
Published: 3/1982, Volume: 37, Issue: 1 | DOI: 10.1111/j.1540-6261.1982.tb01099.x | Cited by: 519
PAUL MARSH
This empirical study of security issues by UK companies between 1959 and 1974 focuses on how companies select between financing instruments at a given point in time. It throws light on a number of interesting questions. First, it demonstrates that companies are heavily influenced by market conditions and the past history of security prices in choosing between debt and equity. Second, it provides evidence that companies appear to make their choice of financing instrument as if they have target levels of debt in mind. Finally, the results are consistent with the notion that these target debt levels are themselves a function of company size, bankruptcy risk, and asset composition.
The Making of an Investment Banker: Stock Market Shocks, Career Choice, and Lifetime Income
Published: 11/11/2008, Volume: 63, Issue: 6 | DOI: 10.1111/j.1540-6261.2008.01409.x | Cited by: 221
PAUL OYER
I show that stock market shocks have important and lasting effects on the careers of MBAs. Stock market conditions while MBA students are in school have a large effect on whether they go directly to Wall Street upon graduation. Further, starting on Wall Street immediately upon graduation causes a person to be more likely to work there later and to earn, on average, substantially more money. The empirical results suggest that investment bankers are largely “made” by circumstance rather than “born” to work on Wall Street.
Convertible Bonds Are Not Called Late
Published: 9/1995, Volume: 50, Issue: 4 | DOI: 10.1111/j.1540-6261.1995.tb04058.x | Cited by: 59
PAUL ASQUITH
Starting with Ingersoll (1977b), the academic literature has repeatedly sought to explain why convertible bonds are called late. The findings here demonstrate there is no call delay to explain. This paper finds that most convertible bonds, given their call protection, are called as soon as possible. For those that are not, there are significant cash flow advantages to delaying. The median call delay for all convertible bonds is less than four months. If a safety premium is desired to assure the conversion value will exceed the call price at the end of call notice period, the median call period is less than a month.
INTERRELATED MODELS OF HOUSEHOLD BEHAVIOR: A SUMMARY AND AN EXTENSION
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00977.x | Cited by: 0
Paul Wachtel
PSYCHOLOGICAL STUDY OF HUMAN JUDGMENT: IMPLICATIONS FOR INVESTMENT DECISION MAKING
Published: 9/1972, Volume: 27, Issue: 4 | DOI: 10.1111/j.1540-6261.1972.tb01311.x | Cited by: 292
Paul Slovic
COST OF PROVIDING CONSUMER CREDIT: A STUDY OF FOUR MAJOR TYPES OF FINANCIAL INSTITUTIONS*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04301.x | Cited by: 0
Paul Smith
Why Do Firms Use Incentives That Have No Incentive Effects?
Published: 8/2004, Volume: 59, Issue: 4 | DOI: 10.1111/j.1540-6261.2004.00674.x | Cited by: 507
Paul Oyer
This paper illustrates why firms might choose to implement stock option plans or other pay instruments that reward “luck.” I consider a model where adjusting compensation contracts is costly and where employees' outside opportunities are correlated with their firms' performance. The model may help to explain the use and recent rise of broad‐based stock option plans, as well as other financial instruments, even when these pay plans have no effect on employees' on‐the‐job behavior. The model suggests that agency theory's often‐overlooked participation constraint may be an important determinant of some common compensation schemes, particularly for employees below the highest executive ranks.
Valuation of Underwriting Agreements for UK Rights Issues
Published: 6/1980, Volume: 35, Issue: 3 | DOI: 10.1111/j.1540-6261.1980.tb03493.x | Cited by: 16
PAUL MARSH
MONEY, GROWTH, AND THE BALANCE OF PAYMENTS*
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00833.x | Cited by: 0
Paul Graeser
THE UPWARD SLOPING IS CURVE AND THE CONTROL OF INCOME AND THE BALANCE OF PAYMENTS
Published: 6/1974, Volume: 29, Issue: 3 | DOI: 10.1111/j.1540-6261.1974.tb01493.x | Cited by: 5
Paul Burrows
A SURROGATIVE MEASURE OF BUSINESS CONFIDENCE AND ITS RELATION TO STOCK PRICES
Published: 12/1955, Volume: 10, Issue: 4 | DOI: 10.1111/j.1540-6261.1955.tb01297.x | Cited by: 11
Paul G. Darling
COMMERCIAL BANKING IN THE SIXTIES
Published: 5/1961, Volume: 16, Issue: 2 | DOI: 10.1111/j.1540-6261.1961.tb02819.x | Cited by: 0
Paul S. Nadler
STIMULATING BANK COMPETITION THROUGH REGULATORY ACTION
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00180.x | Cited by: 4
Paul M. Horvitz
Crowding Out and the Informativeness of Security Prices
Published: 9/1993, Volume: 48, Issue: 4 | DOI: 10.1111/j.1540-6261.1993.tb04763.x | Cited by: 22
JONATHAN M. PAUL
Individual investors trade less agressively on any particular piece of information as more investors observe it. The trades of the new investors observing a piece of information “crowd out” some of the trades of the old investors who observe that same piece of information. This paper shows that when traders are risk averse, these crowding out effects lead the proportions of traders who choose to observe one signal versus another to differ from the proportions that maximize the informativeness of prices.
THE AVAILABILITY OF CAPITAL TO SMALL BUSINESS IN CALIFORNIA IN 1945–1946
Published: 10/1947, Volume: 2, Issue: 2 | DOI: 10.1111/j.1540-6261.1947.tb00796.x | Cited by: 3
Paul F. Wendt
A GENERAL GRANT FOR THE STATES: A CONSIDERATION OF ITS OBJECTIVES, JUSTIFICATION, AND EFFECTS*
Published: 9/1971, Volume: 26, Issue: 4 | DOI: 10.1111/j.1540-6261.1971.tb00946.x | Cited by: 0
George Paul Roniger
Structural Disequilibrium and the Banking Act of 1980
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03560.x | Cited by: 0
PAUL F. SMITH
THE THEORY AND PRACTICE OF NONPAR BANKING*
Published: 12/1968, Volume: 23, Issue: 5 | DOI: 10.1111/j.1540-6261.1968.tb00333.x | Cited by: 0
Paul F. Jessup
MONETARY POLICY AND FLUCTUATIONS IN THE EXTENSION OF TRADE CREDIT*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04349.x | Cited by: 0
Paul Edwin Junk
Optimal Contracting and Insider Trading Restrictions
Published: 6/1992, Volume: 47, Issue: 2 | DOI: 10.1111/j.1540-6261.1992.tb04405.x | Cited by: 21
PAUL E. FISCHER
Restrictions on trading by insider agents are analyzed using an optimal contracting framework. Prohibition of insider trading is shown to be Pareto preferred if, and only if, a revelation or moral hazard problem exists. If prohibition of insider trading is valuable, then trade registration with a delay is shown to be as valuable as complete prohibition. Short selling restrictions, however, are generally of less value than complete prohibition. Finally, regulation of insider agent trading by governmental institutions and/or professional associations is discussed.
DOMESTIC EXPANSION AND EXTERNAT., RESPONSIBILITIES
Published: 5/1971, Volume: 26, Issue: 2 | DOI: 10.1111/j.1540-6261.1971.tb00894.x | Cited by: 0
Paul A. Volcker
VALUATION, LEVERAGE AND THE COST OF CAPITAL IN THE CASE OF DEPRECIABLE ASSETS: COMMENT
Published: 3/1975, Volume: 30, Issue: 1 | DOI: 10.1111/j.1540-6261.1975.tb03173.x | Cited by: 0
Ronda S. Paul
PREMIUMS ON CONVERTIBLE BONDS: COMMENT
Published: 9/1970, Volume: 25, Issue: 4 | DOI: 10.1111/j.1540-6261.1970.tb00566.x | Cited by: 3
Paul D. Cretien
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
Published: 5/8/2007, Volume: 62, Issue: 3 | DOI: 10.1111/j.1540-6261.2007.01232.x | Cited by: 4014
PAUL C. TETLOCK
I quantitatively measure the interactions between the media and the stock market using daily content from a popular
Wall Street Journal
column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.
THE EFFECTS OF FEDERAL INCOME TAXATION ON THE FORM OF EXTERNAL FINANCING BY BUSINESS
Published: 9/1949, Volume: 4, Issue: 3 | DOI: 10.1111/j.1540-6261.1949.tb02351.x | Cited by: 1
Paul L. Howell
INFLATION: AN EQUILIBRATING PROCESS*
Published: 12/1956, Volume: 11, Issue: 4 | DOI: 10.1111/j.1540-6261.1956.tb04095.x | Cited by: 0
Elmer Paul Lotshaw
WHAT SHOULD WE TEACH IN AN INVESTMENTS COURSE?
Published: 5/1966, Volume: 21, Issue: 2 | DOI: 10.1111/j.1540-6261.1966.tb00242.x | Cited by: 3
Paul F. Wendt