Search results: 50.
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00664.x | Cited by: 1
Robert A. Schwartz
Market Sidedness: Insights into Motives for Trade Initiation
Published: 1/23/2009, Volume: 64, Issue: 1 | DOI: 10.1111/j.1540-6261.2008.01437.x | Cited by: 102
ASANI SARKAR, ROBERT A. SCHWARTZ
We infer motives for trade initiation from market sidedness. We define trading as more two‐sided (one‐sided) if the correlation between the number of buyer‐ and seller‐initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one‐sided before merger news. Consistent with belief heterogeneity, trading is more two‐sided before earnings and macro announcements with greater dispersion in analyst forecasts, and after news with larger announcement surprises. We examine the codeterminacy of sidedness, bid‐ask spread, volatility, number of trades, and order imbalance.
Rights versus Underwritten Offerings: An Asymmetric Information Approach
Published: 3/1986, Volume: 41, Issue: 1 | DOI: 10.1111/j.1540-6261.1986.tb04488.x | Cited by: 66
ROBERT HEINKEL, EDUARDO S. SCHWARTZ
By assuming asymmetric information between investors and firms seeking new equity, we derive a rational expectations, partially revealing information equilibrium in which three forms of equity financing are observed. The highest quality firms employ a standby rights offers, intermediate quality firms signal their true value in the choice of a subscription price in an uninsured rights offer, while low‐quality firms remain indistinguishable to investors by making fully underwritten issues. The model offers justification for many firms using apparently more costly underwritten offers, provides a reason why firms using uninsured rights offers do not set arbitrarily low subscription prices to ensure the success of the issue, and explains the simultaneous existence of the three financing vehicles.
Limit Order Trading
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05228.x | Cited by: 230
PUNEET HANDA, ROBERT A. SCHWARTZ
We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short‐term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.
VOLATILITY BEHAVIOR OF INDUSTRIAL STOCK PRICE INDICES
Published: 9/1973, Volume: 28, Issue: 4 | DOI: 10.1111/j.1540-6261.1973.tb01418.x | Cited by: 20
Robert A. Schwartz, Edward I. Altman
On Time‐Variance Analysis: Reply
Published: 12/1979, Volume: 34, Issue: 5 | DOI: 10.1111/j.1540-6261.1979.tb00074.x | Cited by: 1
ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03240.x | Cited by: 26
Robert A. Schwartz, David K. Whitcomb
THE VALUATION OF AMERICAN PUT OPTIONS
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03284.x | Cited by: 49
Robert C. Merton, Michael J. Brennan, Eduardo S. Schwartz
The Trading Decision and Market Clearing under Transaction Price Uncertainty
Published: 3/1985, Volume: 40, Issue: 1 | DOI: 10.1111/j.1540-6261.1985.tb04935.x | Cited by: 51
THOMAS S. Y. HO, ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.
THE COST OF CAPITAL AND INVESTMENT CRITERIA IN THE PUBLIC SECTOR
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00419.x | Cited by: 2
Eli Schwartz
A CONTRIBUTION TO THE THEORY OF CAPITAL BUDGETING—THE MULTI‐INVESTMENT CASE: A COMMENT
Published: 12/1964, Volume: 19, Issue: 4 | DOI: 10.1111/j.1540-6261.1964.tb02893.x | Cited by: 0
Eli Schwartz
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00516.x | Cited by: 14
Eli Schwartz
THEORY OF THE CAPITAL STRUCTURE OF THE FIRM*
Published: 3/1959, Volume: 14, Issue: 1 | DOI: 10.1111/j.1540-6261.1959.tb00483.x | Cited by: 17
Eli Schwartz
STUDIES IN THE DISTRIBUTION OF TAX BURDENS BY INCOME GROUPS: A CRITIQUE*
Published: 9/1956, Volume: 11, Issue: 3 | DOI: 10.1111/j.1540-6261.1956.tb00115.x | Cited by: 0
Eli Schwartz
LIMIT ORDERS, MARKET STRUCTURE, AND THE RETURNS GENERATION PROCESS
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02014.x | Cited by: 10
Kalman J. Cohen, Steven F. Maier, Robert A. Schwartz, David K. Whitcomb
THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS
Published: 3/1978, Volume: 33, Issue: 1 | DOI: 10.1111/j.1540-6261.1978.tb03395.x | Cited by: 38
Kalman J. Cohen, Steven F. Maier, Robert A. Schwartz, David K. Whitcomb
REPLY
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00422.x | Cited by: 0
R. A. Schwartz
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02191.x | Cited by: 1
Eduardo S. Schwartz
The Pricing of Commodity‐Linked Bonds
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03573.x | Cited by: 26
EDUARDO S. SCHWARTZ
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
Published: 7/1997, Volume: 52, Issue: 3 | DOI: 10.1111/j.1540-6261.1997.tb02721.x | Cited by: 1555
EDUARDO S. SCHWARTZ
In this article we compare three models of the stochastic behavior of commodity prices that take into account mean reversion, in terms of their ability to price existing futures contracts, and their implication with respect to the valuation of other financial and real assets. The first model is a simple one‐factor model in which the logarithm of the spot price of the commodity is assumed to follow a mean reverting process. The second model takes into account a second stochastic factor, the convenience yield of the commodity, which is assumed to follow a mean reverting process. Finally, the third model also includes stochastic interest rates. The Kalman filter methodology is used to estimate the parameters of the three models for two commercial commodities, copper and oil, and one precious metal, gold. The analysis reveals strong mean reversion in the commercial commodity prices. Using the estimated parameters, we analyze the implications of the models for the term structure of futures prices and volatilities beyond the observed contracts, and for hedging contracts for future delivery. Finally, we analyze the implications of the models for capital budgeting decisions.
CORPORATE PHILANTHROPIC CONTRIBUTIONS
Published: 6/1968, Volume: 23, Issue: 3 | DOI: 10.1111/j.1540-6261.1968.tb00821.x | Cited by: 75
R. A. Schwartz
DISCUSSION
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02100.x | Cited by: 0
EDUARDO S. SCHWARTZ
THE DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY: AN INTERNATIONAL COMPARISON
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01917.x | Cited by: 23
Kalman J. Cohen, Walter L. Ness, Hitoshi Okuda, Robert A. Schwartz, David K. Whitcomb
Integration vs. Segmentation in the Canadian Stock Market
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04521.x | Cited by: 282
PHILIPPE JORION, EDUARDO SCHWARTZ
This paper examines the issue of integration versus segmentation of the Canadian equity market relative to a global North American market. We compare the international and domestic versions of the CAPM, and find that integration, or the mean‐variance efficiency of the global market index, is rejected by the data. Segmentation is the preferred model, based on a maximum likelihood procedure correcting for thin trading. We further divide the sample into securities that are interlisted in Canada and the U.S., and those that are not. Integration is rejected for both groups, which indicates that the source of segmentation can be traced to legal barriers based on the nationality of issuing firms.
Implications of Microstructure Theory for Empirical Research on Stock Price Behavior
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02152.x | Cited by: 107
KALMAN J. COHEN, GABRIEL A. HAWAWINI, STEVEN F. MAIER, ROBERT A. SCHWARTZ, DAVID K. WHITCOMB
Sovereign Debt: Optimal Contract, Underinvestment, and Forgiveness
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04002.x | Cited by: 17
EDUARDO S. SCHWARTZ, SALVADOR ZURITA
In this paper we develop a time consistent rational expectations model which analyzes the equilibrium loan contract between a borrowing country and a foreign bank. The loan contract specifies both the amount of the loan and the promised interest payments, and rationally reflects the investment decisions of the country and the possibilities of renegotiation and repudiation of the debt. An important feature of the model is that at the initial negotiation of the loan there is uncertainty about whether the country will renegotiate for partial forgiveness in the future, and whether it will eventually repudiate the debt, even having successfully renegotiated. Moreover, the probabilities of renegotiation and repudiation, and the amount of possible forgiveness are endogenously determined. In the model the repudiation decision is directly related to the underinvestment problem; the objective of the renegotiation is precisely to alleviate this problem. The model is used to analyze the effects of four variables on both the optimal contract and the country's welfare: the degree of penalties that a bank can impose on a defaulting country, the uncertainty of production, the productivity of investments and the riskless interest rate. The analysis has policy implications as well as testable predictions.
HOW TO INTEGRATE CORPORATE AND PERSONAL INCOME TAXATION
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03024.x | Cited by: 1
Eli Schwartz, J. Richard Aronson
SOME SURROGATE EVIDENCE IN SUPPORT OF THE CONCEPT OF OPTIMAL FINANCIAL STRUCTUREY*
Published: 3/1967, Volume: 22, Issue: 1 | DOI: 10.1111/j.1540-6261.1967.tb01650.x | Cited by: 9
Eli Schwartz, J. Richard Aronson
A COMMENT ON INVESTMENT DECISIONS, REPETITIVE GAMES, AND THE UNEQUAL DISTRIBUTION OF WEALTH
Published: 9/1978, Volume: 33, Issue: 4 | DOI: 10.1111/j.1540-6261.1978.tb02059.x | Cited by: 2
Eli Schwartz, James A. Greenleaf
Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
Published: 7/1990, Volume: 45, Issue: 3 | DOI: 10.1111/j.1540-6261.1990.tb05114.x | Cited by: 775
RAJNA GIBSON, EDUARDO S. SCHWARTZ
This paper develops and empirically tests a two‐factor model for pricing financial and real assets contingent on the price of oil. The factors are the spot price of oil and the instantaneous convenience yield. The parameters of the model are estimated using weekly oil futures contract prices from January 1984 to November 1988, and the model's performance is assessed out of sample by valuing futures contracts over the period November 1988 to May 1989. Finally, the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time.
Optimal Financial Policy and Firm Valuation
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03647.x | Cited by: 124
MICHAEL J. BRENNAN, EDUARDO S. SCHWARTZ
Conditional Predictions of Bond Prices and Returns
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02170.x | Cited by: 44
MICHAEL J. BRENNAN, EDUARDO S. SCHWARTZ
Retractable and Extendible Bonds: The Canadian Experience
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03469.x | Cited by: 12
A. L. ANANTHANARAYANAN, EDUARDO S. SCHWARTZ
TEMPORARY TRADING SUSPENSIONS IN INDIVIDUAL NYSE SECURITIES
Published: 12/1978, Volume: 33, Issue: 5 | DOI: 10.1111/j.1540-6261.1978.tb03425.x | Cited by: 26
Michael H. Hopewell, Arthur L. Schwartz
LYON Taming
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04516.x | Cited by: 91
JOHN J. McCONNELL, EDUARDO S. SCHWARTZ
A Liquid Yield Option Note (LYON) is a zero coupon, convertible, callable, puttable bond. This paper presents a simple contingent claims pricing model for valuing LYONS and uses the model to analyze a specific LYON issue.
SOME SUGGESTED CHANGES IN THE CORPORATE TAX STRUCTURE
Published: 12/1950, Volume: 5, Issue: 4 | DOI: 10.1111/j.1540-6261.1950.tb03804.x | Cited by: 4
Eli Schwartz, Roger C. Van Tassel
Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis
Published: 9/4/2007, Volume: 62, Issue: 5 | DOI: 10.1111/j.1540-6261.2007.01273.x | Cited by: 157
RICHARD ROLL, EDUARDO SCHWARTZ, AVANIDHAR SUBRAHMANYAM
Deviations from no‐arbitrage relations should be related to market liquidity, because liquidity facilitates arbitrage. At the same time, a wide futures‐cash basis may trigger arbitrage trades and, in turn, affect liquidity. We test these ideas by studying the dynamic relation between stock market liquidity and the index futures basis. There is evidence of two‐way Granger causality between the short‐term absolute basis and liquidity, and liquidity Granger‐causes longer‐term absolute bases. Shocks to the absolute basis predict future stock market liquidity. The evidence suggests that liquidity enhances the efficiency of the futures‐cash pricing system.
Regulation and Corporate Investment Policy
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03551.x | Cited by: 16
MICHAEL J. BRENNAN, EDUARDO S. SCHWARTZ
Prepayment and the Valuation of Mortgage‐Backed Securities
Published: 6/1989, Volume: 44, Issue: 2 | DOI: 10.1111/j.1540-6261.1989.tb05062.x | Cited by: 239
EDUARDO S. SCHWARTZ, WALTER N. TOROUS
This paper puts forward a valuation framework for mortgage‐backed securities. Rather than imposing an optimal, value‐minimizing call condition, we assume that at each point in time there exists a probability of prepaying; this conditional probability depends upon the prevailing state of the economy. To implement our valuation procedure, we use maximum‐likelihood techniques to estimate a prepayment function in light of recent aggregate GNMA prepayment experience. By integrating this empirical prepayment function into our valuation framework, we provide a complete model to value mortgage‐backed securities.
Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04657.x | Cited by: 384
FRANCIS A. LONGSTAFF, EDUARDO S. SCHWARTZ
We develop a two‐factor general equilibrium model of the term structure. The factors are the short‐term interest rate and the volatility of the short‐term interest rate. We derive closed‐form expressions for discount bonds and study the properties of the term structure implied by the model. The dependence of yields on volatility allows the model to capture many observed properties of the term structure. We also derive closed‐form expressions for discount bond options. We use Hansen's generalized method of moments framework to test the cross‐sectional restrictions imposed by the model. The tests support the two‐factor model.
Time‐Dependent Variance and the Pricing of Bond Options
Published: 12/1987, Volume: 42, Issue: 5 | DOI: 10.1111/j.1540-6261.1987.tb04356.x | Cited by: 41
STEPHEN M. SCHAEFER, EDUARDO S. SCHWARTZ
In this paper, we develop a model for valuing debt options that takes into account the changing characteristics of the underlying bond by assuming that the standard deviation of return is proportional to the bond's duration. The resulting model uses the bond price as the single state variable and thus preserves much of the simplicity and robustness of the Black‐Scholes approach. The paper provides comparisons between option prices computed using this model and those using the Black‐Scholes and Brennan and Schwartz models.
CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION
Published: 12/1977, Volume: 32, Issue: 5 | DOI: 10.1111/j.1540-6261.1977.tb03364.x | Cited by: 339
M. J. Brennan, E. S. Schwartz
Time‐Invariant Portfolio Insurance Strategies
Published: 6/1988, Volume: 43, Issue: 2 | DOI: 10.1111/j.1540-6261.1988.tb03939.x | Cited by: 10
MICHAEL J. BRENNAN, EDUARDO S. SCHWARTZ
This paper characterizes the complete class of time‐invariant portfolio insurance strategies and derives the corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio. Time‐invariant strategies are shown to correspond to the long‐run policies for a broad class of portfolio insurance payoff functions.
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
Published: 7/1995, Volume: 50, Issue: 3 | DOI: 10.1111/j.1540-6261.1995.tb04037.x | Cited by: 1590
FRANCIS A. LONGSTAFF, EDUARDO S. SCHWARTZ
We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple closed‐form valuation expressions for fixed and floating rate debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, we find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on the correlation with interest rates. This empirical evidence is consistent with the implications of the valuation model.
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
Published: 12/2001, Volume: 56, Issue: 6 | DOI: 10.1111/0022-1082.00399 | Cited by: 130
Francis A. Longstaff, Pedro Santa‐Clara, Eduardo S. Schwartz
Although traded as distinct products, caps and swaptions are linked by no‐arbitrage relations through the correlation structure of interest rates. Using a string market model, we solve for the correlation matrix implied by swaptions and examine the relative valuation of caps and swaptions. We find that swaption prices are generated by four factors and that implied correlations are lower than historical correlations. Long‐dated swaptions appear mispriced and there were major pricing distortions during the 1998 hedge‐fund crisis. Cap prices periodically deviate significantly from the no‐arbitrage values implied by the swaptions market.
FACTORS AFFECTING PRICE, VOLUME AND CREDIT RISK IN THE CONSUMER FINANCE INDUSTRY
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00676.x | Cited by: 5
Robert W. Johnson, Robert P. Shay
Reputation Effects in Trading on the New York Stock Exchange
Published: 5/8/2007, Volume: 62, Issue: 3 | DOI: 10.1111/j.1540-6261.2007.01235.x | Cited by: 57
ROBERT BATTALIO, ANDREW ELLUL, ROBERT JENNINGS
Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post‐move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.
Toward a National Market System for U.S. Exchange–listed Equity Options
Published: 3/25/2004, Volume: 59, Issue: 2 | DOI: 10.1111/j.1540-6261.2004.00653.x | Cited by: 102
Robert Battalio, Brian Hatch, Robert Jennings
In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions and facilitating “best execution.” We find marked changes between June 2000, when quotes are often ignored, and January 2002, when the market more closely resembles a national market.
Asset Price Volatility, Bubbles, and Process Switching
Published: 9/1986, Volume: 41, Issue: 4 | DOI: 10.1111/j.1540-6261.1986.tb04551.x | Cited by: 54
ROBERT P. FLOOD, ROBERT J. HODRICK
Evidence of excess volatilities of asset prices compared with those of market fundamentals is often attributed to speculative bubbles. This study demonstrates that bubbles could in theory lead to excess volatility, but it shows that certain variance bounds tests preclude bubbles as an explanation. The evidence ought to be attributed to model misspecification or inappropriate statistical tests. One important misspecification occurs if a researcher incorrectly specifies the time series properties of market fundamentals. A bubble‐free example economy characterized by a potential switch in government policies produces asset prices that would appear, to an unwary researcher, to contain bubbles.
Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality
Published: 9/14/2016, Volume: 71, Issue: 5 | DOI: 10.1111/jofi.12422 | Cited by: 154
ROBERT BATTALIO, SHANE A. CORWIN, ROBERT JENNINGS
We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers’ best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.