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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: |
Brennan, Michael-J - Chordia, Tarun - Subrahmanyam, Avanidhar - |
| Título: |
Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns |
| Fuente: |
Journal of Financial Economics. v.49, n.3. Elsevier Science |
| Páginas: |
pp. 345-73 |
| Año: |
Sept. 1998 |
| Resumen: |
The authors examine the relation between stock returns, measures of risk, and several nonrisk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Their primary objective is to determine whether nonrisk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, with factors determined using, in turn, the Connor and Korajczyk (1988) and the Fama and French (1993) approaches. Fama-MacBeth-type regressions using risk adjusted returns provide evidence of return momentum, size, and book-to-market effects, together with a significant and negative relation between returns and trading volume, even after accounting for the CK factors. When the analysis is repeated using the FF factors, the authors find that the size and book-to-market effects are attenuated, while the momentum and trading volume effects persist. In addition, Nasdaq stocks show significant underperformance after adjusting for risk using either method. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 2 de 6 |
| Autor: |
Subrahmanyam, Avanidhar (Reviewer) |
| Título: |
Review of: The microstructure of foreign exchange markets |
| Fuente: |
Journal of Economic Literature. v.35, n.2. American Economic Association |
| Páginas: |
pp. 1383-1384 |
| Año: |
Sept. 1997 |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 3 de 6 |
| Autor: |
Brennan, Michael-J - Subrahmanyam, Avanidhar - |
| Título: |
Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns |
| Fuente: |
Journal of Financial Economics. v.41, n.3. Elsevier Science |
| Páginas: |
pp. 441-64 |
| Año: |
July 1996 |
| Resumen: |
Models of price formation in securities markets suggest that privately informed investors create significant illiquidity costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. The authors investigate the empirical relation between monthly stock returns and measures of illiquidity obtained from intraday data. They find a significant relation between required rates of return and these measures after adjusting for the Fama and French risk factors and also after accounting for the effects of the stock price level. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 4 de 6 |
| Autor: |
Brennan, Michael-J - Subrahmanyam, Avanidhar - |
| Título: |
Investment Analysis and Price Formation in Securities Markets |
| Fuente: |
Journal of Financial Economics. v.38, n.3. Elsevier Science |
| Páginas: |
pp. 361-81 |
| Año: |
July 1995 |
| Resumen: |
This paper investigates the relation between the number of analysts following a security and the estimated adverse selection cost of transacting in the security, controlling for the effects of previously identified determinants of liquidity. Using intraday data for the year 1988, the authors find that greater analyst following tends to reduce adverse selection costs based on the Kyle (1985) notion of market depth. This result is consistent with the analysis of Anat R. Admati and Paul Pfleiderer (1988). Estimates of structural parameters of a version of the Admati and Pfleiderer model of endogenous information acquisition provide qualified support for the model. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 5 de 6 |
| Autor: |
Hirshleifer, David - Subrahmanyam, Avanidhar - Titman, Sheridan - |
| Título: |
Security Analysis and Trading Patterns When Some Investors Receive Information before Others |
| Fuente: |
Journal of Finance. v.49, n.5. American Finance Association |
| Páginas: |
pp. 1665-98 |
| Año: |
Dec. 1994 |
| Resumen: |
In existing models of information acquisition, all informed investors receive their information at the same time. This article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others. The model implies that, under some conditions, investors will focus only on a subset of securities (’herding’), while neglecting other securities with identical exogenous characteristics. In addition, the model is consistent with empirical correlations that are suggestive of oft-cited trading strategies such as profit taking (short-term position reversal) and following the leader (mimicking earlier trades). |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
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