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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On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions
Published: 04/18/2012 | DOI: 10.1111/j.1540-6261.1997.tb01113.x
PETER J. KNEZ, MARK J. READY
We use a robust regression estimator to analyze the risk premia on size and book‐to‐market. We find that the risk premium on size that was estimated by Fama and French (1992) completely disappears when the 1 percent most extreme observations are trimmed each month. We also show that the negative average of the monthly size coefficients reported by Fama and French can be entirely explained by the 16 months with the most extreme coefficients. We argue that further investigation of these results could lead to an understanding of the economic forces underlying the size effect, and may also yield important insights into how firms grow.
Inferring Trade Direction from Intraday Data
Published: 06/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb02683.x
CHARLES M. C. LEE, MARK J. READY
This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.
Volume, Volatility, and New York Stock Exchange Trading Halts
Published: 03/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb04425.x
CHARLES M. C. LEE, MARK J. READY, PAUL J. SEGUIN
Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following “pseudohalts”: nonhalt control periods matched on time of day, duration, and absolute net‐of‐market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts, but a separate halt effect remains after controlling for the media effect.