Search results: 50.
The Cross Section of MBS Returns
Published: 6/15/2021, Volume: 76, Issue: 5 | DOI: 10.1111/jofi.13055 | Cited by: 26
PETER DIEP, ANDREA L. EISFELDT, SCOTT RICHARDSON
We present a simple, linear asset pricing model of the cross section of Mortgage‐Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be priced by specialized MBS investors. The price of prepayment risk changes sign over time with the sign of a representative MBS investor's exposure to prepayment shocks.
Does Investor Misvaluation Drive the Takeover Market?
Published: 3/9/2006, Volume: 61, Issue: 2 | DOI: 10.1111/j.1540-6261.2006.00853.x | Cited by: 733
MING DONG, DAVID HIRSHLEIFER, SCOTT RICHARDSON, SIEW HONG TEOH
This paper uses pre‐offer market valuations to evaluate the misvaluation and
Q
theories of takeovers. Bidder and target valuations (price‐to‐book, or price‐to‐residual‐income‐model‐value) are related to means of payment, mode of acquisition, premia, target hostility, offer success, and bidder and target announcement‐period returns. The evidence is broadly consistent with both hypotheses. The evidence for the
Q
hypothesis is stronger in the pre‐1990 period than in the 1990–2000 period, whereas the evidence for the misvaluation hypothesis is stronger in the 1990–2000 period than in the pre‐1990 period.
Discussion
Published: 8/2001, Volume: 56, Issue: 4 | DOI: 10.1111/0022-1082.00372 | Cited by: 0
Matthew Richardson
DIVIDEND ANNOUNCEMENTS, SECURITY PERFORMANCE, AND CAPITAL MARKET EFFICIENCY
Published: 12/1972, Volume: 27, Issue: 5 | DOI: 10.1111/j.1540-6261.1972.tb03018.x | Cited by: 349
R. Richardson Pettit
THE WEIGHTED AVERAGE COST OF CAPITAL: SOME QUESTIONS ON ITS DEFINITION, INTERPRETATION AND USE: COMMENT
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01859.x | Cited by: 2
R. Richardson Pettit
DISCUSSION
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02110.x | Cited by: 0
R. RICHARDSON PETTIT
DotCom Mania: The Rise and Fall of Internet Stock Prices
Published: 5/6/2003, Volume: 58, Issue: 3 | DOI: 10.1111/1540-6261.00560 | Cited by: 626
Eli Ofek, Matthew Richardson
Abstract
This paper explores a model based on agents with heterogenous beliefs facing short sales restrictions, and its explanation for the rise, persistence, and eventual fall of Internet stock prices. First, we document substantial short sale restrictions for Internet stocks. Second, using data on Internet holdings and block trades, we show a link between heterogeneity and price effects for Internet stocks. Third, arguing that lockup expirations are a loosening of the short sale constraint, we document average, long‐run excess returns as low as −33 percent for Internet stocks postlockup. We link the Internet bubble burst to the unprecedented level of lockup expirations and insider selling.
Using Generalized Method of Moments to Test Mean‐Variance Efficiency
Published: 6/1991, Volume: 46, Issue: 2 | DOI: 10.1111/j.1540-6261.1991.tb02672.x | Cited by: 154
A. CRAIG MACKINLAY, MATTHEW P. RICHARDSON
This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can be sensitive to the test considered.
Industry Returns and the Fisher Effect
Published: 12/1994, Volume: 49, Issue: 5 | DOI: 10.1111/j.1540-6261.1994.tb04774.x | Cited by: 156
JACOB BOUDOUKH, MATTHEW RICHARDSON, ROBERT F. WHITELAW
We investigate the cross‐sectional relation between industry‐sorted stock returns and expected inflation, and we find that this relation is linked to cyclical movements in industry output. Stock returns of noncyclical industries tend to covary positively with expected inflation, while the reverse holds for cyclical industries. From a theoretical perspective, we describe a model that captures both (i) the cross‐sectional variation in these relations across industries, and (ii) the negative and positive relation between stock returns and inflation at short and long horizons, respectively. The model is developed in an economic environment in which the spirit of the Fisher model is preserved.
THE CHANGING SIGNIFICANCE OF TREASURY OBLIGATIONS IN COMMERCIAL BANK PORTFOLIOS*
Published: 5/1957, Volume: 12, Issue: 2 | DOI: 10.1111/j.1540-6261.1957.tb04131.x | Cited by: 0
Ira Scott
MARKET VALUE AND FINANCIAL STRUCTURE IN THE RAILROAD INDUSTRY*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04315.x | Cited by: 0
Scott Nielsen
DISCUSSION
Published: 5/1963, Volume: 18, Issue: 2 | DOI: 10.1111/j.1540-6261.1963.tb00731.x | Cited by: 0
Marshall D. Ketchum, John C. Clendenin, Dorsey Richardson
Bankruptcy, Secured Debt, and Optimal Capital Structure: Reply
Published: 3/1979, Volume: 34, Issue: 1 | DOI: 10.1111/j.1540-6261.1979.tb02086.x | Cited by: 11
JAMES H. SCOTT
ON THE THEORY OF CONGLOMERATE MERGERS
Published: 9/1977, Volume: 32, Issue: 4 | DOI: 10.1111/j.1540-6261.1977.tb03323.x | Cited by: 58
James H. Scott
Reputation and Performance Among Security Analysts
Published: 12/1992, Volume: 47, Issue: 5 | DOI: 10.1111/j.1540-6261.1992.tb04684.x | Cited by: 767
SCOTT E. STICKEL
Members of the
Institutional Investor
All‐American Research Team supply more accurate earnings forecasts than other analysts when forecasts are matched by the corporation followed and by the date of brokerage house issuance. This contemporaneous advantage is complemented by a timing advantage; All‐Americans supply forecasts more often than other analysts. Stocks returns immediately following large upward forecast revisions suggest that All‐Americans impact prices more than other analysts. However, there is virtually no difference in returns following large downward revisions. Nevertheless, the collective results suggest a positive relation between reputation and performance, and, assuming that All‐Americans are better paid, pay and performance.
The Tax Effects of Investment in Marketable Securities on Firm Valuation
Published: 5/1979, Volume: 34, Issue: 2 | DOI: 10.1111/j.1540-6261.1979.tb02093.x | Cited by: 4
JAMES H. SCOTT
ESTIMATES OF HICKSIAN IS AND LM CURVES FOR THE UNITED STATES*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00248.x | Cited by: 0
Robert Haney Scott
MEASURING PERIOD PROFITABILITY: BOOK YIELD VERSUS TRUE YIELD*
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00191.x | Cited by: 0
Robert Scott Carlson
AMBIGUITIES IN THE CROSS‐SECTION ANALYSIS OF PER SHARE FINANCIAL DATA: COMMENT
Published: 6/1977, Volume: 32, Issue: 3 | DOI: 10.1111/j.1540-6261.1977.tb02003.x | Cited by: 0
James H. Scott
EVALUATION OF PROSPECTIVE INVESTMENT PERFORMANCE
Published: 5/1968, Volume: 23, Issue: 2 | DOI: 10.1111/j.1540-6261.1968.tb00803.x | Cited by: 2
W. Scott Bauman
BANKRUPTCY, SECURED DEBT, AND OPTIMAL CAPITAL STRUCTURE
Published: 3/1977, Volume: 32, Issue: 1 | DOI: 10.1111/j.1540-6261.1977.tb03237.x | Cited by: 306
James H. Scott
INVESTMENT EXPERIENCE WITH LESS POPULAR COMMON STOCKS*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04314.x | Cited by: 0
W. Scott Bauman
PROBABLE IMPACT OF ATOMIC ENERGY ON ELECTRIC PUBLIC UTILITY SECURITIES*
Published: 5/1954, Volume: 9, Issue: 2 | DOI: 10.1111/j.1540-6261.1954.tb01219.x | Cited by: 0
Eldred H. Scott
Management Buyout Proposals and inside Information
Published: 7/1992, Volume: 47, Issue: 3 | DOI: 10.1111/j.1540-6261.1992.tb04005.x | Cited by: 40
D. SCOTT LEE
This paper explores stock price behavior surrounding withdrawn buyout proposals to determine whether managers' proposal announcements reveal any information which is unrelated to the efficiency gains associated with completed buyouts. On average, firms whose managers withdraw buyout proposals do not sustain significantly positive stock price effects unless they receive subsequent acquisition bids. In addition, managers of firms with completed buyouts are no more likely to have access to inside information than managers who withdrew proposals. I interpret this evidence as inconsistent with the notion that inside information commonly motivates management buyout proposals.
DISCUSSION
Published: 7/1986, Volume: 41, Issue: 3 | DOI: 10.1111/j.1540-6261.1986.tb04517.x | Cited by: 0
SCOTT P. MASON
HIGHER INTEREST RATES ON TIME DEPOSITS: COMMENT
Published: 3/1965, Volume: 20, Issue: 1 | DOI: 10.1111/j.1540-6261.1965.tb00186.x | Cited by: 0
Charlotte H. Scott
DISCUSSION
Published: 5/1980, Volume: 35, Issue: 2 | DOI: 10.1111/j.1540-6261.1980.tb02175.x | Cited by: 0
Scott F. Richard
DEBT MANAGEMENT FOR ECONOMIC STABILITY*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04326.x | Cited by: 0
Robert Haney Scott
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
Published: 3/20/2007, Volume: 62, Issue: 2 | DOI: 10.1111/j.1540-6261.2007.01226.x | Cited by: 501
JACOB BOUDOUKH, RONI MICHAELY, MATTHEW RICHARDSON, MICHAEL R. ROBERTS
We investigate the empirical implications of using various measures of payout yield rather than dividend yield for asset pricing models. We find statistically and economically significant predictability in the time series when payout (dividends plus repurchases) and net payout (dividends plus repurchases minus issuances) yields are used instead of the dividend yield. Similarly, we find that payout (net payout) yields contains information about the cross section of expected stock returns exceeding that of dividend yields, and that the high minus low payout yield portfolio is a priced factor.
The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement
Published: 6/1982, Volume: 37, Issue: 3 | DOI: 10.1111/j.1540-6261.1982.tb02218.x | Cited by: 219
JAMES W. McFARLAND, R. RICHARDSON PETTIT, SAM K. SUNG
This study investigates the nature of price changes in a variety of major and minor foreign exchange markets. The results suggest that the log of price changes over one (trading) day intervals seems to follow a non‐normal stable distribution function. Different measures of location (and to lesser extent scale) are present for different days of the week. Dollar denominated price changes are high on Mondays and Wednesdays and low on Thursdays and Fridays for all currencies. The Wednesday‐Thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar. The Friday‐Monday result is consistent with an increase in demand for the dollar prior to the weekend.
THE ROLE AND VIABILITY OF MUTUAL BANKS (Abstract)
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01840.x | Cited by: 0
Oliver H. Jones, Lawrence D. Jones, R. Richardson Pettit
Ex Ante Bond Returns and the Liquidity Preference Hypothesis
Published: 6/1999, Volume: 54, Issue: 3 | DOI: 10.1111/0022-1082.00140 | Cited by: 33
Jacob Boudoukh, Matthew Richardson, Tom Smith, Robert F. Whitelaw
We provide a formal test of the liquidity preference hypothesis (LPH), that is, the monotonicity of ex ante term premiums, using nonparametric estimates that do not require a structural model for conditional expected returns. Although the point estimates of the term premiums are consistent with previous conclusions in the literature regarding violations of the LPH, the test statistics are generally insignificant, even when powerful conditioning information is used. These results illustrate the importance of correctly accounting for correlations across maturities and of formally testing the inequality restrictions implied by the LPH.
The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement—A Reply
Published: 3/1987, Volume: 42, Issue: 1 | DOI: 10.1111/j.1540-6261.1987.tb02561.x | Cited by: 1
JAMES W. McFARLAND, R. RICHARDSON PETTIT, SAM K. SUNG
Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments
Published: 2/2005, Volume: 60, Issue: 1 | DOI: 10.1111/j.1540-6261.2005.00730.x | Cited by: 1145
ZORAN IVKOVIĆ, SCOTT WEISBENNER
Using data on the investments a large number of individual investors made through a discount broker from 1991 to 1996, we find that households exhibit a strong preference for local investments. We test whether this locality bias stems from information or from simple familiarity. The average household generates an additional annualized return of 3.2% from its local holdings relative to its nonlocal holdings, suggesting that local investors can exploit local knowledge. Excess returns to investing locally are even larger among stocks not in the S&P 500 index (firms for which information asymmetries between local and nonlocal investors may be largest).
The Puzzle of Financial Leverage Clienteles
Published: 12/1985, Volume: 40, Issue: 5 | DOI: 10.1111/j.1540-6261.1985.tb02394.x | Cited by: 1
ODED SARIG, JAMES SCOTT
Empirically, it appears that common stock of publicly traded corporations with high‐debt ratios tends to be held by investors with relatively low marginal taxes while the stock in companies with little debt is held by investors in high‐tax brackets. A number of authors have argued that in an equilibrium similar to the one described by Miller [8], these clienteles should exist. We argue that standard portfolio theory does not imply financial leverage clienteles for publicly traded firms. We explain the empirical relationship between investor tax rates and leverage ratios by the existence of dividend clienteles and a positive relationship between dividend yield and leverage ratios.
Biased Estimators and Unstable Betas
Published: 3/1980, Volume: 35, Issue: 1 | DOI: 10.1111/j.1540-6261.1980.tb03470.x | Cited by: 7
ELTON SCOTT, STEWART BROWN
Liquidity Provision and Noise Trading: Evidence from the “Investment Dartboard” Column
Published: 10/1999, Volume: 54, Issue: 5 | DOI: 10.1111/0022-1082.00171 | Cited by: 68
Jason Greene, Scott Smart
How does increased noise trading affect market liquidity and trading costs? We use The Wall Street Journal's “Investment Dartboard” column, which stimulates noise trading, as a natural experiment to evaluate models of the bid‐ask spread. We find that substantial increases in trading volume and significant but temporary abnormal returns occur when analysts recommend stocks in this column, especially when recommendations come from analysts with successful contest track records. We also find an increase in liquidity and a decrease in the adverse selection component of the bid‐ask spread.
Optimal Risk Management Using Options
Published: 2/1999, Volume: 54, Issue: 1 | DOI: 10.1111/0022-1082.00108 | Cited by: 88
Dong‐Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw
This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value‐at‐Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired by the institution. Moreover, the costs associated with a suboptimal choice of exercise price are economically significant.
RISK, RETURN AND DISEQUILIBRIUM: AN APPLICATION TO CHANGES IN ACCOUNTING TECHNIQUES
Published: 5/1972, Volume: 27, Issue: 2 | DOI: 10.1111/j.1540-6261.1972.tb00964.x | Cited by: 0
W. Scott Bauman, Ray Ball
DISCUSSION
Published: 5/1977, Volume: 32, Issue: 2 | DOI: 10.1111/j.1540-6261.1977.tb03289.x | Cited by: 1
Bernard Dumas, James H. Scott
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
Published: 3/18/2016, Volume: 71, Issue: 2 | DOI: 10.1111/jofi.12383 | Cited by: 110
SCOTT CEDERBURG, MICHAEL S. O'DOHERTY
Prior studies find that a strategy that buys high‐beta stocks and sells low‐beta stocks has a significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it appears to pay to “bet against beta.” We show, however, that the conditional beta for the high‐minus‐low beta portfolio covaries negatively with the equity premium and positively with market volatility. As a result, the unconditional alpha is a downward‐biased estimate of the true alpha. We model the conditional market risk for beta‐sorted portfolios using instrumental variables methods and find that the conditional CAPM resolves the beta anomaly.
The Resolution of Claims in Financial Distress the Case of Massey Ferguson
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02258.x | Cited by: 58
CARLISS Y. BALDWIN, SCOTT P. MASON
Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns
Published: 2/2001, Volume: 56, Issue: 1 | DOI: 10.1111/0022-1082.00328 | Cited by: 149
James M. Poterba, Scott J. Weisbenner
Changes in the capital gains tax rules facing individual investors do not affect the incentives for “window dressing” by institutional investors, but they can affect the incentives for year‐end tax–induced trading by individual investors. Empirical evidence for the 1963 to 1996 period suggests that when the tax law encouraged taxable investors who accrued losses early in the year to realize their losses before year‐end, the correlation between early year losses and turn‐of‐the‐year returns was weaker than when the law did not provide such an early realization incentive. These findings suggest that tax‐loss trading contributes to turn‐of‐the‐year return patterns.
On The Direction of Preference for Moments of Higher Order Than The Variance
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03509.x | Cited by: 549
ROBERT C. SCOTT, PHILIP A. HORVATH
An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989
Published: 6/1990, Volume: 45, Issue: 2 | DOI: 10.1111/j.1540-6261.1990.tb03705.x | Cited by: 116
LARRY J. LOCKWOOD, SCOTT C. LINN
This paper examines the variance of hourly market returns during 1964–1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988.
Local Dividend Clienteles
Published: 3/21/2011, Volume: 66, Issue: 2 | DOI: 10.1111/j.1540-6261.2010.01645.x | Cited by: 232
BO BECKER, ZORAN IVKOVIĆ, SCOTT WEISBENNER
We exploit demographic variation to identify the effect of dividend demand on corporate payout policy. Retail investors tend to hold local stocks and older investors prefer dividend‐paying stocks. Together, these tendencies generate geographically varying demand for dividends. Firms headquartered in areas in which seniors constitute a large fraction of the population are more likely to pay dividends, initiate dividends, and have higher dividend yields. We also provide indirect evidence as to why managers may respond to the demand for dividends from local seniors. Overall, these results are consistent with the notion that the investor base affects corporate policy choices.
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Published: 5/8/2014, Volume: 69, Issue: 3 | DOI: 10.1111/jofi.12131 | Cited by: 396
SCOTT JOSLIN, MARCEL PRIEBSCH, KENNETH J. SINGLETON
This paper quantifies how variation in economic activity and inflation in the United States influences the market prices of level, slope, and curvature risks in Treasury markets. We develop a novel arbitrage‐free dynamic term structure model in which bond investment decisions are influenced by output and inflation risks that are
unspanned
by (imperfectly correlated with) information about the shape of the yield curve. Our model reveals that, between 1985 and 2007, these risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks.
Executive Financial Incentives and Payout Policy: Firm Responses to the 2003 Dividend Tax Cut
Published: 8/2007, Volume: 62, Issue: 4 | DOI: 10.1111/j.1540-6261.2007.01261.x | Cited by: 217
JEFFREY R. BROWN, NELLIE LIANG, SCOTT WEISBENNER
We test whether executive stock ownership affects firm payouts using the 2003 dividend tax cut to identify an exogenous change in the after‐tax value of dividends. We find that executives with higher ownership were more likely to increase dividends after the tax cut in 2003, whereas no relation is found in periods when the dividend tax rate was higher. Relative to previous years, firms that initiated dividends in 2003 were more likely to reduce repurchases. The stock price reaction to the tax cut suggests that the substitution of dividends for repurchases may have been anticipated, consistent with agency conflicts.
Information Inertia
Published: 10/21/2020, Volume: 76, Issue: 1 | DOI: 10.1111/jofi.12979 | Cited by: 41
PHILIPP K. ILLEDITSCH, JAYANT V. GANGULI, SCOTT CONDIE
We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk‐neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after earnings announcements) and is consistent with low household trading activity. An ambiguity premium helps explain the macro and earnings announcement premium.
Collusion in Brokered Markets
Published: 3/18/2025, Volume: 80, Issue: 3 | DOI: 10.1111/jofi.13432 | Cited by: 5
JOHN WILLIAM HATFIELD, SCOTT DUKE KOMINERS, RICHARD LOWERY
High commissions in the U.S. residential real estate agency market pose a puzzle for economic theory because brokerage is not a concentrated industry. We model brokered markets as a game in which agents post prices for customers and then choose which other agents to work with. We show that there exists an equilibrium in which each agent conditions working with other agents on those agents' posted prices. Prices can therefore be meaningfully higher than the competitive level (for a fixed discount factor), regardless of the number of agents. Thus, brokered markets can remain uncompetitive even with low concentration and easy entry.