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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado:
6 registros
| Registro 1 de 6 |
| Autor: |
Chan, Louis-K-C - Lakonishok, Josef - |
| Título: |
Institutional Equity Trading Costs: NYSE versus Nasdaq |
| Fuente: |
Journal of Finance. v.52, n.2. American Finance Association |
| Páginas: |
pp. 713-35 |
| Año: |
June 1997 |
| Resumen: |
The authors compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market’s area of specialization. Controlling for firm size, trade size, and the money management firm’s identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 2 de 6 |
| Autor: |
Chan, Louis-K-C - Lakonishok, Josef - |
| Título: |
The Behavior of Stock Prices around Institutional Trades |
| Fuente: |
Journal of Finance. v.50, n.4. American Finance Association |
| Páginas: |
pp. 1147-74 |
| Año: |
Sept. 1995 |
| Resumen: |
All trades executed by thirty-seven large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence(’package’) of trades that the authors interpret as an order. The authors find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 3 de 6 |
| Autor: |
Ikenberry, David - Lakonishok, Josef - Vermaelen, Theo - |
| Título: |
Market Underreaction to Open Market Share Repurchases |
| Fuente: |
Journal of Financial Economics. v.39, n.2/3. Elsevier Science |
| Páginas: |
pp. 181-208 |
| Año: |
Oct. 1995 |
| Resumen: |
The authors examine long-run firm performance following open market share repurchase announcements, 1980-1990. They find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1 percent. For ’value’ stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is 45.3 percent. For repurchases announced by ’glamour’ stocks, where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announcements. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 4 de 6 |
| 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 |
| Registro 5 de 6 |
| Autor: |
Lakonishok, Josef - Shleifer, Andrei - Vishny, Robert-W - |
| Título: |
Contrarian Investment, Extrapolation, and Risk |
| Fuente: |
Journal of Finance. v.49, n.5. American Finance Association |
| Páginas: |
pp. 1541-78 |
| Año: |
Dec. 1994 |
| Resumen: |
For many years, scholars and investment professionals have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value strategies produce higher returns, the interpretation of why they do so is more controversial. This article provides evidence that value strategies yield higher returns because these strategies exploit the suboptimal behavior of the typical investor and not because these strategies are fundamentally riskier. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
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