The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Stock Price Volatility, Ordinary Dividends, and Other Cash Flows to Shareholders
Published: 09/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04749.x
LUCY F. ACKERT, BRIAN F. SMITH
This paper shows that the results of variance‐bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends.
Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00387
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.