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The model developed in this paper explains both the quantity of CDs and the rate of interest on this instrument. We demonstrate that the behavior of the market for this financial asset is characterized by a dichotomy which has been induced by the Federal Reserve's administration of Regulation Q ceilings on offering rates on CDs. During several time spans since 1961, Regulation Q had no impact on the CD market and we hypothesize that the behavior of the CD market reflected market forces of both demand and supply. However during several periods, the Regulation Q ceiling effectively bound offering rates on CDs which induced a runoff in the quantity of CDs while the secondary CD rate was bid up to the level of market interest rates. In modeling the behavior of the CD market, equations are developed for both the outstanding quantity of CDs and the interest rate on CDs, each of which consists of different sets of variables for normal and runoff periods in order to explain this dichotomy. 相似文献
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Daniel J. Bradley John S. Gonas Michael J. Highfield Kenneth D. Roskelley 《Journal of Corporate Finance》2009,15(3):316-330
IPO stock prices increased approximately 2.3% on the first day of secondary market trading over the period 1993 through 2003. While these aftermarket returns are accentuated during 1999 and 2000, they persist after the bubble burst and even increase as a percentage of total underpricing. We explore several non-mutually exclusive hypotheses to explain our findings including price support, laddering, retail sentiment, and information asymmetry. Our results are most consistent with the view that higher secondary market returns accrue to IPOs with more information asymmetries possibly due to price and aggregate demand uncertainty. 相似文献
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Xiaoyan Cheng David Smith Paul Tanyi 《Review of Quantitative Finance and Accounting》2018,51(4):1071-1106
The Dodd-Frank Act’s qualitative disclosure requirements have prompted a call in the accounting literature for greater qualitative disclosure scrutiny. In this paper, we investigate the informativeness of qualitative leadership justification disclosures required by Section 972 of the Dodd-Frank Act. The disclosures are divided between justifying combining the CEO and Chairman of the Board (CEO Duality) and splitting these two positions (split structure). We use content analysis in our investigation. We discover that the two types of justifications are very different. The split structure disclosures tend to be ‘boiler plate’ and lack informativeness. In contrast, our tests suggest that CEO Duality justifications are informative. Our tests suggest that disclosures’ intensities in CEO Duality firms are positively associated with an increasing volume of information that supports CEO Duality as the more appropriate leadership structure choice. Additionally, our test results show that leadership disclosures change users risk perception, but only for CEO Duality firms. This suggests that investors believe in and are using the disclosures when making their investment decisions. 相似文献
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Puneet Handa 《Review of Quantitative Finance and Accounting》1991,1(2):177-189
Leaseback decisions by firms involve the simultaneous sale of an asset and a lease agreement with the new owner. Examination
of 64 leaseback decisions made by firms during 1979–1987 reveals a significant negative announcement effect. We present a
theoretical framework in which all firms prefer to leaseback when there is symmetric information. When there is asymmetry
of information between the manager and the market, however, firms with favorable prospects prefer to own the asset. Firms
with poor prospects choose to leaseback and capture the associated depreciation tax shield through the sale. Our empirical
results indicate that, besides the significant negative announcement effect, firms proposing a leaseback earn negative returns
in the three months prior to the announcement. We monitor the performance of these firms for five years after the leaseback
decision and compare it to five years before the announcement. There is a significant drop in operating performance as indicated
by several key variables such as operating earnings before depreciation and pretax earnings. This is consistent with the hypothesis
that firms choose to leaseback when faced with unfavorable future prospects.
I would like to thank S.P. Kothari, Cheng-few Lee, Scott Linn, Mike Rozeff, Ramasastry Ambarisha, and an anonymous referee
for their comments and suggestions. The usual disclaimer applies. 相似文献
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关于证券市场有些朋友盼望证券市场早日开放,盼望外国券商早日到来.其心情之迫切,犹如盼望亲人解放军.视股市开放为云开日出,视股市开放为家家都把红旗挂.但开放后到底会出现什么情况,现在无人可以预料. 相似文献
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中国财产保险市场分析 总被引:10,自引:0,他引:10
中国自1980年恢复国内财产保险业务以来,保费收入以年均25.3%的速度增长,分析中国财产保险市场状况,对完善我国财产市场,有着重要意义。目前我国财产保险市场在发育过程中还面临着较多的矛盾,应从财产保险市场主体、市场结构、产品体系、财产保险市场的空间布局、财产保险市场开放模式等多角度、多方面着手,完善我国财产保险市场体系。 相似文献
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This study examines empirically the degree to which the history of daytime and overnight price changes and order flow affects estimates of traders' beliefs about future security price changes. Estimates indicate that forecasts of the permanent component of price changes occurring after the open of trading are significantly related to past price changes and order flow; but the same is not generally true for price changes occurring after the close. These results are consistent with models of technical analysis, and models in which the process of trading facilitates price discovery. The evidence also suggests that private information is an important determinant of price movements. 相似文献
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交易机制与价格发现的关系一直是金融市场微观结构的重要研究方向,其目的是为了发现金融市场如何借由微观行为的不均衡实现市场层面的价格均衡过程。事实上,交易机制、交易习惯和市场均衡过程三者之间是相互影响的关系。分析和研究这三者的内在联系可以加深我们对市场的理解,并找到提高市场资源配置效率的途径。文章以做市报价收益率点差作为研究对象,详细分析了其时间分布、相关性、波动性及时间持续性等微观特征,为深入研究做市商报价和交易行为提供各种可能的切入点。 相似文献
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Arie Harel Giora Harpaz Joseph Yagil 《Review of Quantitative Finance and Accounting》2010,35(1):113-121
Numerous futures markets in the US and many stock markets around the world set a “limit” price before each trading session,
based on the settlement price at the end of the previous trading day. Price limits are boundaries set by market regulators
to restrict large daily fluctuations in the price of securities. Once the return limit is triggered, traders cannot observe
the equilibrium return that would have prevailed in the absence of such regulation. We develop an innovative approach for
forecasting security returns (and prices) in a market regulated by price limits. Our forecasting model allows for multiple
limit-hits. The model is robust, straightforward and easy for practitioners to use. A few numerical predictions are provided
for hypothetical securities, and for seven traded futures contracts. 相似文献
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为拓展业务渠道和盈利增长点,部分小型银行类金融机构会作为搭桥机构参与票据市场业务。这在助推市场流动性的同时,也可能会影响宏观经济调控效果。为此,需要将引导和规范相结合,从规范票据市场发展的相关制度与市场环境、稳妥促进信贷资产证券化及贷款转让市场发展等方面矫正票据市场搭桥行为。 相似文献
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我国融资融券立易模式的制度选择分析 总被引:1,自引:0,他引:1
尽管国内各项法规已经针对融资融券业务制定了诸多细则,但具有决定意义的融资融券交易模式并未明确。本文着重分析了当前国际市场上的几种主流交易模式的操作方法,并进行了详细的对比。结合中国已有的业务细则,认为设立统一证券金融公司,能够最大程度控制风险的"单轨制专业化"模式将是中国证券市场的合理选择。 相似文献
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Stephen M. Schaefer 《Journal of Financial Economics》1982,10(2):121-159
This paper develops a new methods for measuring tax effects in bond markets and presents empirical results for British Government Securities. The basic idea is to construct a least cost portfolio which, for investors in a given tax bracket, dominates a given bond. A portfolio is said to dominate a bond if it provides cash flows which are at least as great in every period, and has a lower price. In effect our method calculates an upper bound on the value of a bond to investors in a given tax bracket. The results demonstrate (i) the existence of clientele effects and (ii) the absence of an ‘effective tax rate’. 相似文献
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Listing shares in liquid secondary markets either to facilitate acquisitions or to diversify owner’s personal wealth are among the most important reasons for firms to go public [Brau, J.C., Fawcett, S.E., 2006. Initial public offerings: An analysis of theory and practice. Journal of Finance 61, 399–436]. We contend that the expected benefits derived from the liquidity provided by secondary markets are relevant for understanding important decisions made in preparation for an IPO. We hypothesize that the potential losses caused by an IPO failure induce firms that benefit more from going public to hire more reputable underwriters and to adopt more conservative pricing policies. We use several proxies for the benefits firms derive from post-IPO liquidity. The results indicate that firms that benefited more from liquidity were taken public by more prestigious underwriters and exhibited substantially larger levels of price revisions and underpricing. Post-IPO liquidity is also important for understanding the decision to retain the lead underwriter in subsequent SEOs. 相似文献
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市场机制和政府干预:证券市场转型的经济学分析 总被引:1,自引:0,他引:1
文章 从 国 有 企 业改 革 的 角 度 分析 了 中 国 政府 频 繁 干 预 股市 的 动 因 。笔者 认 为 ,正 是 由 于转 型 期 中 国 股市特 有 的 功 能 以 及 政 府 对 国 有 企 业 的 “父 爱 主 义 ”的 存 在 ,致 使 政 府 “不 理 性 ”地 频 繁 干 预 股 市 ,并 且 不 考 虑 政 策 的 一 致性 ,这些 导 致 了 证券 市 场 资 源 配置 的 低 效 率 。对 此 ,笔 者 提 出了 自 己 的 政策 建 议 。 相似文献
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This paper examines the role of the federal government in the market for terrorism reinsurance. We investigate the stock price response of affected industries to a sequence of 13 events culminating in the enactment of the Terrorism Risk Insurance Act (TRIA) of 2002. In the industries most likely to be affected by TRIA—banking, construction, insurance, real estate investment trusts, transportation, and public utilities-the stock price effect was primarily negative. The Act was at best value-neutral for property-casualty insurers because it eliminated the option not to offer terrorism insurance. The negative response of the other industries may be attributable to the Act's impeding more efficient private market solutions, failing to address nuclear, chemical, and biological hazards, and reducing market expectations of federal assistance following future terrorist attacks. 相似文献
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对近期IPO市场的实证分析和政策研究 总被引:5,自引:0,他引:5
胡冬梅 《广东金融学院学报》2002,17(6):38-43
通过对近期公开发行股票的IPO公司的统计研究和实证分析,详细描述近一年来我国IPO市场的特点和变化趋势,指出IPO公司在股权结构、基本财务素质及IPO定价方式中尚存的问题,在我国股票市场仍处于弱式效率市场的判断基础上,对新股发行的制度安排提出政策性建议。 相似文献