THE INFORMATION CONTENT OF SIGN AND SIZE OF EARNINGS ANNOUNCEMENTS: NEW ZEALAND EVIDENCE

This paper examines the effect of 1196 earnings announcements on share prices, using the familiar cumulative abnormal return method of analysis. Earnings are partitioned into unexpected earnings increases and decreases using a martingale model. As well, six portfolios are established, based on the size of unexpected earnings, using two different measures of size.     

THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET

Using order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative. Private information is more important for infrequently traded stocks. Compared with previous findings, our findings imply the presence of much asymmetric information on the SSM. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably.     

A VARIANCE DECOMPOSITION ANALYSIS OF THE INFORMATION IN THE TERM STRUCTURE

Based on a market efficiency assumption, we use variance decomposition analysis to separate information in the term structure on expected future spot rates from information on time-varying term premia and to examine the market's ability to forecast both future rate changes and excess returns on long versus short securities. We find that fluctuations in the slope of the yield curve are due more to changing term premia than to fluctuations in expected future spot rates and that the market correctly predicts about 40 percent of the month-to-month changes in spot rates, a considerably higher percentage than that found by previous studies.     

MARKET POWER,BANK MEGAMERGERS,AND THE WELFARE OF BANK BORROWERS

We assess the effects on the welfare of corporate borrowers of the recent wave of bank consolidations in the United States that has produced a small number of very large banks. Our evidence from a sample of more than 3,000 commercial borrowers from banks involved in large mergers indicates that the wealth effects on these borrowers are highly negative, statistically significant, and economically important. These negative investor perceptions seem to be driven largely by the expectation of changes in banks’ market power resulting from the mergers.     

SEASONED EQUITY OFFERINGS FOR NEW INVESTMENT AND THE INFORMATION CONTENT OF INSIDER TRADES

Significant negative valuation effects are widely acknowledged for firms announcing seasoned equity offerings. This result is consistent with theoretical models linking new equity issues to increased adverse-selection costs, lower management ownership in the firm, misuse of free cash flow, or expectations for earnings declines. Also increasingly evident, insiders trade around corporate announcements. We test the hypothesis that insider trading and announcements of new equity issues serve as joint signals in the market's evaluation of prospective capital investment projects. Our findings are consistent with the hypothesis that insider trading is related to market reaction to announcements of new equity issues.     

利率期限结构理论在我国证券市场的实证分析

本文利用利率期限结构理论,通过对中国证券市场的实证研究,分析我国的利率传导机制和其运行效率。利率期限结构事实上承担着整个社会资源配置的参照系,其可以引导存贷款利率以及中央银行存款准备金利率的变动,形成一条科学合理的收益率曲线。目前中央银行主要通过公开市场操作来影响货币市场利率。作者使用当前金融市场的资料验证不同期限利率水平之间存在一种长期均衡关系,我国收益率曲线的变动基本上是服从流动性偏好理论;同时,随着市场的发展,各类证券收益率之间的传导机制也在不断的完善。因此,中央银行对利率的市场化引导和调控机制已经初步具备,但该机制还有待于进一步的完善。     

TIME-TO-BUILD EFFECTS AND THE TERM STRUCTURE

This paper shows that real macroeconomic variables have power to predict movements in the term structure of interest rates. This complements recent evidence that links the term structure to expected stock returns. We find that up to 86 percent of the variation in the term premia are due to the changes in macroeconomic variables. The predictive power can be attributed to the time-to-build effect of investments.     

STRONG FORM EFFICIENCY OF THE FOREIGN EXCHANGE MARKET AND BANK POSITIONS

This paper explores the strong form efficiency of the pound sterling-U.S. dollar market by analyzing the ability of U.S. commercial banks to formulate superior expectations vis-a-vis the market in two ways. First, Stein's theory is employed to distinguish between shifts and disturbances in the exchange market equilibrium. Second, the swap transaction framework extracts U.S. commercial banks' expectations from their observed behavior. Results obtained from both approaches suggest that the observed group has better than random forecasting accuracy.     

AN EMPIRICAL STUDY OF A NEW CLASS OF NO-ARBITRAGE-BASED DISCRETE MODELS OF THE TERM STRUCTURE

We present empirical tests of the new no-arbitrage-based term structure paradigm in discrete time. We derive and test empirical specifications for deterministic one-factor forward rate volatility models and examine the compatibility of these forward rate volatility functions using term structure dynamics. Our estimation technique uses the generalized method of moments and is based on forward bond price deviations. We do not impose restrictions on the market price of risk, and we incorporate all available term structure information. Our data consist of four sets of pure discount bonds derived from the CRSP bond files and U.S. Treasury bill quotes.