Search results: 50.
Economies of Scale and Economies of Scope in Multiproduct Financial Institutions: A Study of British Columbia Credit Unions
Published: 6/1983, Volume: 38, Issue: 3 | DOI: 10.1111/j.1540-6261.1983.tb02508.x | Cited by: 167
JOHN D. MURRAY, ROBERT W. WHITE
This paper investigates the production technology facing computerized credit unions in Canada. A full system of translog cost equations is estimated in order to test for economies of scale, economies of scope, and other production characteristics in a multiproduct context. The regression results indicate that most of the credit unions in our sample experience significant increasing returns to scale as they expand their level of output. There is also evidence of cost complementarity or economies of scope in their mortgage and other lending activities. As a result, legislation which limits the ability of credit unions to grow and diversify will likely raise the operating costs of this important group of financial institutions. Additional structural tests of the most general translog specification suggest that none of the restrictive production conditions commonly imposed by other researchers using Cobb‐Douglas and CES specifications provide a valid representation of credit union technology. The results of many earlier studies are therefore open to question.
Tax‐Induced Trading and the Turn‐of‐the‐Year Anomaly: An Intraday Study
Published: 6/1993, Volume: 48, Issue: 2 | DOI: 10.1111/j.1540-6261.1993.tb04728.x | Cited by: 40
MARK D. GRIFFITHS, ROBERT W. WHITE
This study tests the tax‐induced trading hypothesis as an explanation of the turn‐of‐the‐year anomaly using Canadian and U.S. intraday data. Since the Canadian tax year‐end precedes the calendar year‐end by five business days, tax effects may be isolated. We find the anomaly is related to the degree of seller‐and buyer‐initiated trading and depends upon the incidence of the taxation year‐end. Seller‐initiated transactions (at bid prices) dominate until the tax year‐end after which buyer‐initiated trades (at ask prices) dominate. The anomaly is a function of bid‐ask prices.
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
Published: 12/2006, Volume: 61, Issue: 6 | DOI: 10.1111/j.1540-6261.2006.01015.x | Cited by: 770
ROBERT KOSOWSKI, ALLAN TIMMERMANN, RUSS WERMERS, HAL WHITE
We apply a new bootstrap statistical technique to examine the performance of the U.S. open‐end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk‐taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies. Specifically, we find that a sizable minority of managers pick stocks well enough to more than cover their costs. Moreover, the superior alphas of these managers persist.
Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects
Published: 10/2001, Volume: 56, Issue: 5 | DOI: 10.1111/0022-1082.00387 | Cited by: 70
Brian F. Smith, D. Alasdair S. Turnbull, Robert W. White
This paper directly tests the hypothesis that upstairs intermediation lowers adverse selection cost. We find upstairs market makers effectively screen out information‐motivated orders and execute large liquidity‐motivated orders at a lower cost than the downstairs market. Upstairs markets do not cannibalize or free ride off the downstairs market. In one‐quarter of the trades, the upstairs market offers price improvement over the limit orders available in the consolidated limit order book. Trades are more likely to be executed upstairs at times when liquidity is lower in the downstairs market.
Anticompetitive Financial Contracting: The Design of Financial Claims
Published: 9/11/2003, Volume: 58, Issue: 5 | DOI: 10.1111/1540-6261.00599 | Cited by: 86
Giacinta Cestone, Lucy White
AbstractThis paper presents the first model where entry deterrence takes place through financial rather than product‐market channels. In existing models, a firm's choice of financial instruments deters entry by affecting product market behavior; here entry deterrence occurs by affecting the credit market behavior of investors towards entrant firms. We find that to deter entry, the claims held on incumbent firms should be sufficiently risky, that is, equity. This contrasts with the standard Brander and Lewis (1986) result that debt deters entry. This effect is more marked the less competitive the credit market is—so more credit market competition spurs more product market competition.
The Pricing of Options on Assets with Stochastic Volatilities
Published: 6/1987, Volume: 42, Issue: 2 | DOI: 10.1111/j.1540-6261.1987.tb02568.x | Cited by: 2882
JOHN HULL, ALAN WHITE
One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.
PATTERNS OF BUSINESS FINANCING: SOME COMMENTS
Published: 12/1965, Volume: 20, Issue: 4 | DOI: 10.1111/j.1540-6261.1965.tb02939.x | Cited by: 0
Eli Shapiro, William L. White
Level Playing Fields in International Financial Regulation
Published: 5/20/2009, Volume: 64, Issue: 3 | DOI: 10.1111/j.1540-6261.2009.01460.x | Cited by: 76
ALAN D. MORRISON, LUCY WHITE
We analyze the desirability of level playing fields in international financial regulation. In general, level playing fields impose the standards of the weakest regulator upon the best‐regulated economies. However, they may be desirable when capital is mobile because they counter a cherry‐picking effect that lowers the size and efficiency of banks in weaker economies. Hence, while a laissez faire policy favors the better‐regulated economy, level playing fields are good for weaker regulators. We show that multinational banking mitigates the cherry‐picking effect, and reduces the damage that a level playing field causes in the better‐regulated economy.
Session Topic: Corporate Finance and Capital Budgeting
Published: 5/1974, Volume: 29, Issue: 2 | DOI: 10.1111/j.1540-6261.1974.tb03071.x | Cited by: 1
James Van Horn, William L. White
Bankruptcy Costs and the New Bankruptcy Code
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02256.x | Cited by: 8
JEROLD B. WARNER, MICHELLE J. WHITE
DISCUSSION
Published: 5/1965, Volume: 20, Issue: 2 | DOI: 10.1111/j.1540-6261.1965.tb00210.x | Cited by: 0
MELVIN I. WHITE, E. GORDON KEITH
Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap
Published: 10/1999, Volume: 54, Issue: 5 | DOI: 10.1111/0022-1082.00163 | Cited by: 732
Ryan Sullivan, Allan Timmermann, Halbert White
In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data‐snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data‐snooping.
Privacy and Team Incentives
Published: 10/15/2025, Volume: 80, Issue: 6 | DOI: 10.1111/jofi.13496 | Cited by: 0
ANDREA M. BUFFA, QING LIU, LUCY WHITE
Real‐world contracts are typically private, observed only by their direct signatories, so agents working together are vulnerable to the principal opportunistically reducing other agents' incentives. The principal can mitigate this commitment problem by giving the most skilled agent a budget and delegating authority to write other agents' contracts. This endogenous hierarchy, never optimal with public contracts, raises effort, output, and compensation but allows rent extraction. The principal prefers it when contracts are opaque enough, skill is sufficiently heterogeneous across agents, and joint output is sensitive enough to effort. Our model provides novel predictions for the structure of banking syndicates.
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
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.
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.
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.
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.
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02198.x | Cited by: 215
ROBERT JARROW
Under heterogeneous expectations, the mean–variance model of capital market equilibrium is employed to determine the effect restricting short sales has on equilibrium asset prices. Two equivalent markets differing only with respect to short sale restrictions are compared. It is shown that, in general, risky asset prices can either rise or fall due to short sale constraints. However, under a homogeneity of beliefs for the covariance matrix of future prices, short sale constraints will only increase risky asset prices.
SHORT‐RUN EFFECTS OF STOCK MARKET SERVICES ON STOCK PRICES
Published: 3/1958, Volume: 13, Issue: 1 | DOI: 10.1111/j.1540-6261.1958.tb04173.x | Cited by: 3
Robert Ferber
A Theory of Capital Structure Relevance under Imperfect Information
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03608.x | Cited by: 113
ROBERT HEINKEL
Firms raise debt and equity capital to finance a positive net present value project in perfectly competitive capital markets; firm insiders know the function generating the random firm cash flow but potential capital suppliers do not. Taking into account the incentives of insiders to misrepresent their firm type, capital suppliers attempt to design financing mixes of debt and equity that eliminate the adverse incentives of insiders and correctly price securities. Necessary conditions for a costless separating equilibrium are developed to show that the amount of debt used by a firm is monotonically related to its unobservable true value.
POSTWAR DEVELOPMENTS IN THE MARKET FOR CONSUMER INSTALMENT CREDIT*
Published: 5/1956, Volume: 11, Issue: 2 | DOI: 10.1111/j.1540-6261.1956.tb00705.x | Cited by: 0
Robert Shay
Debt Financing and Tax Status: Tests of the Substitution Effect and the Tax Exhaustion Hypothesis Using Firms' Responses to the Economic Recovery Tax Act of 1981
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04670.x | Cited by: 70
ROBERT TREZEVANT
This study tests the joint prediction of the substitution effect and the tax exhaustion hypothesis that an increase in non‐debt tax shields leads to a decrease in leverage. Controls are introduced for the debt securability effect, the pecking order theory of financing, and the probability of losing tax shields. Using the relationship between changes in investment tax shields and changes in debt tax shields of firms in response to the Economic Recovery Tax Act of 1981, strong empirical support is found for predictions based on the substitution effect and the tax exhaustion hypothesis.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02019.x | Cited by: 1
Robert Willig
Discussion
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00270 | Cited by: 0
Robert Marquez
THE PRICING OF OPTIONS WITH STOCHASTIC DIVIDEND YIELD
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04871.x | Cited by: 40
Robert Geske
A formula is derived in discrete time for pricing options when the underlying stock has a stochastic dividend yield. The result implies that regarding the dividend yield as certain when it is not results in misestimation of the variance of the underlying stock. Comparative statics indicate that this adjustment could diminish a bias of the Black‐Scholes model. This model systematically underprices deep‐out‐of‐the‐money options. A numerical example demonstrates that this stochastic adjustment may be more important for longer‐lived options and warrants.
Error Rates in CRSP and COMPUSTAT: A Second Look
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02210.x | Cited by: 33
ROBERT BENNIN
THE INFLATIONARY IMPACT OF EIGHT FEDERAL AID AGENCIES DURING THE YEARS 1946–1950*
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01252.x | Cited by: 0
Robert Freedman
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05025.x | Cited by: 0
ROBERT HEINKEL
Quotes, Prices, and Estimates in a Laboratory Market
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05226.x | Cited by: 45
ROBERT BLOOMFIELD
This study examines the behavior of laboratory markets in which two uninformed market makers compete to trade with heterogeneously informed investors. The data provide three main results. First, market makers set quotes to protect against adverse selection and to control inventory. Second, when investors are less well‐informed, their trades are less reliable measures of their information, and market makers respond to those trades with greater skepticism. Third, errors in market makers' reactions to trades cause the time‐series behavior of quotes and prices to depend on the information environment in ways beyond those captured in extant theory.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb00768.x | Cited by: 0
Robert Salomon
JUSTIFICATION FOR DIRECT REGULATION OF CONSUMER CREDIT REAPPRAISED
Published: 5/1953, Volume: 8, Issue: 2 | DOI: 10.1111/j.1540-6261.1953.tb01167.x | Cited by: 0
Robert Bartels
Potential Competition And Actual Competition In Equity Options
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04566.x | Cited by: 40
ROBERT NEAL
DISCUSSION
Published: 5/1969, Volume: 24, Issue: 2 | DOI: 10.1111/j.1540-6261.1969.tb01690.x | Cited by: 0
Robert Solomon
THE CONCEPT OF YIELD ON COMMON STOCK
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00762.x | Cited by: 1
Robert Ortner
The Meaning of Internal Rates of Return
Published: 12/1981, Volume: 36, Issue: 5 | DOI: 10.1111/j.1540-6261.1981.tb01072.x | Cited by: 56
ROBERT DORFMAN
Nearly one hundred years after Irving Fisher' persuasive argument that net present value is the fundamental criterion for appraising investment projects, businessmen and bankers continue to consider the internal rate of return. Business practice is justified in some circumstances. It has long been recognized that a firm will grow asymptotically at a rate equal to the largest real positive root of an individual project' rate of return equation if the net cash flows are continually reinvested in projects of the same type. That same root also controls the firm' asymptotic growth rate if any fixed proportion of the cash flows is reinvested. The other roots of the equation are important also, since the stability of the firm' growth path depends on them.
The Relationship between Arbitrage and First Order Stochastic Dominance
Published: 9/1986, Volume: 41, Issue: 4 | DOI: 10.1111/j.1540-6261.1986.tb04556.x | Cited by: 65
ROBERT JARROW
This paper joins together two fields of research in financial economics. The first field studies stochastic dominance, while the second field studies arbitrage pricing. The two fields are linked together through the derivation and the proof of a characterization theorem. The characterization theorem gives necessary and sufficient conditions for the existence of arbitrage opportunities in terms of the existence of two assets, one of which first order stochastically dominates the other and the price of a particular contingent claim. Examples are provided to demonstrate the theorem's content.
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04991.x | Cited by: 1
ROBERT SHILLER
FINANCIAL INTERMEDIARIES, CREDIT AVAILABILITY, AND AGGREGATE DEMAND*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00247.x | Cited by: 0
Robert Shapiro
Benefits of Bank Diversification: The Evidence from Shareholder Returns
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03682.x | Cited by: 26
ROBERT A. EISENBEIS, ROBERT S. HARRIS, JOSEF LAKONISHOK
A Test of the Relative Pricing Effects of Dividends and Earnings: Evidence from Simultaneous Announcements in Japan
Published: 6/2000, Volume: 55, Issue: 3 | DOI: 10.1111/0022-1082.00245 | Cited by: 79
Robert M. Conroy, Kenneth M. Eades, Robert S. Harris
We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends is marginal and is restricted to announcements of next year's dividends. Consistent with Modigliani and Miller's dividend irrelevance proposition, current dividend surprises have no material impact on stock prices in Japan.
PROPERTY TAXATION IN RELATION TO INVESTMENT IN URBAN AREAS (Discussion)
Published: 6/1951, Volume: 6, Issue: 2 | DOI: 10.1111/j.1540-6261.1951.tb04460.x | Cited by: 0
Robert S. Ford
Report of the AFA Representative to the National Bureau of Economic Research*
Published: 7/1995, Volume: 50, Issue: 3 | DOI: 10.1111/j.1540-6261.1995.tb04048.x | Cited by: 0
Robert S. Hamada
DISCUSSION
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00664.x | Cited by: 1
Robert A. Schwartz
Presidential Address: Investment Noise and Trends
Published: 7/18/2014, Volume: 69, Issue: 4 | DOI: 10.1111/jofi.12174 | Cited by: 158
ROBERT F. STAMBAUGH
During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index‐like investing. I develop an equilibrium model linking these investment trends to the decline in individual ownership, interpreting the latter as a reduction in noise trading. Active management corrects most noise trader–induced mispricing, and the fraction left uncorrected shrinks as noise traders' stake in the market declines. Less mispricing then dictates a smaller footprint for active management.
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02239.x | Cited by: 0
ROBERT S. HARRIS
INTEREST RATES AND FOREIGN DOLLAR BALANCES
Published: 9/1961, Volume: 16, Issue: 3 | DOI: 10.1111/j.1540-6261.1961.tb02835.x | Cited by: 2
Robert F. Gemmill
THE STRUCTURE OF FOREIGN INVESTMENT: REPLY
Published: 12/1967, Volume: 22, Issue: 4 | DOI: 10.1111/j.1540-6261.1967.tb00300.x | Cited by: 0
Robert E. Krainer
ATTRITION AMONG STOCK COMPANIES IN THE PROPERTY‐LIABILITY INSURANCE INDUSTRY*
Published: 3/1970, Volume: 25, Issue: 1 | DOI: 10.1111/j.1540-6261.1970.tb00432.x | Cited by: 0
Robert E. Nelson
On the Cross‐Sectional Relation between Expected Returns, Betas, and Size
Published: 4/1999, Volume: 54, Issue: 2 | DOI: 10.1111/0022-1082.00125 | Cited by: 15
Robert R. Grauer
In this paper, I set up scenarios where the mean‐variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients from either ordinary least squares or generalized least squares regressions do not allow us to tell whether the model is true or false.