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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Hamao, Yasushi - Jegadeesh, Narasimhan - |
| Título: | An Analysis of Bidding in the Japanese Government Bond Auctions |
| Fuente: | Journal of Finance. v.53, n.2. American Finance Association |
| Páginas: | pp. 755-72 |
| Año: | Apr. 1998 |
| Resumen: | The authors examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. They find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a negative association. The authors also find that the share of winnings of Japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for U.S. dealers. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Grinblatt, Mark - Jegadeesh, Narasimhan - |
| Título: | Relative Pricing of Eurodollar Features and Forward Contracts |
| Fuente: | Journal of Finance. v.51, n.4. American Finance Association |
| Páginas: | pp. 1499-1522 |
| Año: | Sept. 1996 |
| Resumen: | Past research explains observed spreads between futures and forward Eurodollar yields as being due to the futures contract’s mark-to-market feature. The authors derive closed-form solutions for this yield spread and show that, theoretically, it should be small. Also, differences in liquidity, taxation, and default risk cannot account for the large spreads observed. The authors also present evidence that the spreads, which are nonneglible primarily in the first half of the sample period, are likely to be attributable to the mispricing of futures contracts relative to the forward rates and that the mispricing was gradually eliminated over time. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Chan, Louis-K-C - Jegadeesh, Narasimhan - Lakonishok, Josef - |
| Título: | Evaluating the Performance of Value versus Glamour Stocks: The Impact of Selection Bias |
| Fuente: | Journal of Financial Economics. v.38, n.3. Elsevier Science |
| Páginas: | pp. 269-96 |
| Año: | July 1995 |
| Resumen: | The authors examine whether sample selection bias explains the difference in returns between ’value’ stocks (high book-to-market ratios) and ’glamour’ stocks (low book-to-market ratios). Selection bias on Compustat is not a severe problem: for CRSP primary domestic firms, the proportion missing from Compustat is not large and the average return is not very different from the Compustat sample. Mechanical problems with matching Cusip identifiers account for much of the discrepancy between CRSP and Compustat. The superior performance of value stocks is confirmed for the top quintile of NYSE-Amex stocks using a sample free from selection bias. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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