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Journal Article
Another view of the underpricing of initial public offerings
Ruud, Judith S.
(1991-04)
How should high average initial returns on new public offerings of common stocks be interpreted? The usual view is that such offerings are intentionally underpriced. This study draws on previously neglected information about return distributions and market practice to advance a different explanation for the high average returns.
Quarterly Review
, Volume 16
, Issue Spr
, Pages 83-85
Report
The role of stock index derivative products in equity market volatility
Bhatt, Swati
(1987)
Research Paper
, Paper 8709
Journal Article
Equity shares and the financial markets
Runyon, Herbert
(1976-07)
Economic Review
, Issue Sum
, Pages 25-33
Working Paper
Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?
Abel, Andrew B.
(2001)
Jim Poterba finds that consumers do not spend all of their assets during retirement, and he projects that the demand for assets will remain high when the baby boomers retire. Based on his forecast of continued high demand for capital, Poterba rejects the asset market meltdown hypothesis, which predicts a fall in stock prices when the baby boomers retire. ; The author develops a rational expectations general equilibrium model with a bequest motive and an aggregate supply curve for capital. In this model, a baby boom generates an increase in stock prices, and stock prices are rationally ...
Working Papers
, Paper 01-2
Discussion Paper
Deviations from random-walk behavior: tests based on the variance-time function
Diebold, Francis X.
(1987)
Special Studies Papers
, Paper 224
Working Paper
Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.; Tian, Yisong S.
(1999)
Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are ...
FRB Atlanta Working Paper
, Paper 99-5
Journal Article
Comovements among national stock markets
Kasa, Kenneth
(1995)
This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market ...
Economic Review
Report
Price-adjustment delays in the secondary market for developing country debt and the estimation of asset pricing models
Johnson, Ronald; Demirors, Umran
(1992)
Research Paper
, Paper 9204
Journal Article
Economic factors, monetary policy and expected returns on stocks and bonds
Booth, Lena Chua; Booth, James R.
(1997)
This paper examines the impact of the stance of monetary policy on security returns. The two measures of the stance of monetary policy used, the federal funds rate and an index based on the changes in the discount rate, contain significant information that can be used to forecast expected stock and bond portfolio returns. Specifically, we find that a restrictive (expansive) monetary policy stance decreases (increases) returns of large and small stock portfolios and in some cases, corporate bond portfolios. The monetary policy stance measures have explanatory power in forecasting stock and ...
Economic Review
Working Paper
A new test for mean reversion in stock prices
Duffee, Gregory R.
(1991)
Finance and Economics Discussion Series
, Paper 152
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