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A Commentary on Fama and French: Expected Returns and Business Conditions
Using quarterly and monthly expected return data on four stock and one bond portfolio the paper's results indicate that default and term premia constructed as the relative difference in returns possess a forecasting ability that is not dependent...
www.abdn.ac.uk

Are Stock Prices Too Volatile and Returns Too High?
Using long-run data and a VAR approach, the study shows that when a time-varying risk premium is incorporated into analysis, the view that historical prices have been consistently too volatile and their returns too high cannot be supported. Acco...
www.abdn.ac.uk

Are US Stock Markets Long-Termist Rather than Short-Termist?
Evidence suggests that US stock prices reflect overly optimistic expectations about cash flows for one to four years and overly pessimistic expectations for cash flows after five years.
www.abdn.ac.uk

Basis Variation and a Common Source of Risk
The paper's results indicate that common variation in money market futures' bases exists and that relative conditional covariances are constant over all horizons. The evidence reported here also suggests that, at short horizons, common basis var...
www.abdn.ac.uk

Forecasting Beta: How Well Does the ‘Five-Year Rule of Thumb’ Do?
The study finds that beta forecasting equations have good explanatory power but that their forecasts are dominated, on average, by the five-year rule of thumb.
www.abdn.ac.uk

How Do US and Japanese Investors Process Information and How Do they Form Their Expectations of the Future?
The paper uses expectation data of US and Japanes investors to compute direct tests of rationality and efficiency, and to provide evidence on the type of expectations mechanism which best characterises the evolution of expectations.
www.abdn.ac.uk

Long Run Trends, Business Cycle Components and Volatility Spillovers in Daily Exchange Rates
The study provides evidence of long-run permanent volatility trends and short-run transitory movements in G7 exchange rates.
www.abdn.ac.uk

Risk and Returns Sensitivity in UK Electricity Utilities, 1990-1999
The paper demonstrates that UK utilities' risk is time-variant; that there have been significant political and regulatory influences in the systematic risk faced by electricity utility shareholders; finds beta to be mean reverting; and, confir...
www.abdn.ac.uk

The Sensitivity of Tests of Asset Pricing Models to the IID-Normal Assumption
Analysing unconditional and conditional asset pricing models, the study finds that the use of tests that consider departures from the iid-normal assumption affect probability values, sometimes by a considerable amount but that test outcomes are ...
www.abdn.ac.uk

Time-varying betas and the cross-sectional return-risk relation: evidence from the UK
The paper's results suggest that the CAPM holds better in downward moving markets than in upward moving markets hence beta is a more appropriate measure of risk in bear markets.
www.abdn.ac.uk

Perceived Central Bank Intervention and Market Expectations
A study by the Bank for International Settlement that finds that perceived market intervention in the US/JPY exchange rate had no statistically significant effect on the exchange rate level, but did tend to raise trader uncertainty regarding the...
www.bis.org

Do Central Banks Systematically Lose Money in Currency Markets?
Bridewater Associates' study shows that central bank intervention tends to be ineffective, i.e. they lose money.
www.bridgewaterassociates.com

Robert Mundell: Optimum Currency Areas
1997 transcipt of a presentation to the International Monetary Fund by the 1999 winner of the Nobel Prize in Economics.
www.columbia.edu

Robert Mundell: The Euro and the Stability of the International Monetary System
1998 dissertation by the 1999 winner of the Nobel Prize in Economics.
www.columbia.edu

Robert Mundell: The European Monetary System 50 Years after Bretton Woods
1997 paper by the 1999 Nobel Prize winner in Economics.
www.columbia.edu

Robert Mundell: The International Monetary System in the 21st Century
A look at the possibility of the gold standard making a comeback in the future, by the 1999 Nobel Prize winner in Economics.
www.columbia.edu

All About Value-at-Risk
A definitive resource on value-at-risk from beginning introductions to financial engineering applications.
www.gloriamundi.org

Order Flow and Exchange Rate Dynamics
Paper presenting a model that includes a determinant from the field of microstructure- order flow. By Martin D. Evans and Richard K. Lyons. Requires Acrobat Reader.
www.haas.berkeley.edu

Predicting Excess Returns with Public and Insider Information
Paper hypothesizing that mutual thrifts often converted to stock ownership when the returns to conversion were predicted to be high. By James A. Wilcox and Zane D. Williams, UC Berkeley. Requires Acrobat Reader.
www.haas.berkeley.edu

Profits and Position Control: A Week of FX Dealing
Study of foreign exchange dealing and the rents to be gained from it.
www.haas.berkeley.edu

Rational Markets: Yes or No? The Affirmative Case
Report examining whether prices set in developed financial markets are determined as if all investors are rational. By Mark Rubenstein, UC Berkeley. Requires Acrobat Reader.
www.haas.berkeley.edu

Return-Volume Dependence and Extremes in International Equity Markets
Empirical study of the price-volume dependence in seven international equity markets. By Terry A. Marsh, Haas School of Business, UC Berkeley. Requires Acrobat Reader.
www.haas.berkeley.edu

New York Federal Reserve: Estimating the Adverse Selection Cost in Markets with Multiple Informed Traders
April 1997 paper by Sugato Chakravarty, Asani Sarkar and Lifan Wu.
www.ny.frb.org

New York Federal Reserve: Interest Rate Options Dealers' Hedging in the U.S. Dollar Fixed Income Market
May 1997 paper by John Kambhu.
www.ny.frb.org

New York Federal Reserve: Market Liquidity and Trader Welfare in Multiple Dealer Markets
Finding that a restriction on dual trading by futures brokers is welfare-reducing for customers of dual traders with above-average skill levels.
www.ny.frb.org

Common Factors in Prices, Order Flows and Liquidity
Empirical study of the relationship between order flow and liquidity and stock prices.
jfe.rochester.edu

Forecasting Crashes
Empirical study of the effect of trading volume and past returns on conditional skewness in stock prices.
jfe.rochester.edu

Herding Among Security Analysts
Empirical analysis of the tendancy of analysts to follow the path of previous analysts' recommendations.
jfe.rochester.edu

Market reaction to Public Information
Asymmetric reactions to news as presented by the case of the Boston Celtics Limited Partnership shares.
jfe.rochester.edu

Short-Sellers, Fundamental Analysis and Stock Returns
Report prepared by Patricia M. Dechow, Amy P. Hutton, Lisa Meulbroek and Richard G. Sloan. Requires Acrobat Reader.
jfe.rochester.edu

Sixteenths: Direct Evidence on Institutional Execution Costs
Report prepared by Charles M. Jones and Marc L. Lipson. Requires Acrobat Reader.
jfe.rochester.edu

Stealth Trading: Which Traders' Trades Move Prices?
Report prepared by Sugato Chakravarty of Purdue University. Requires Acrobat Reader.
jfe.rochester.edu

Trading Activity and Expected Stock Returns
Analysis of the relationship between expected stock returns and liquidity of the traded stock.
jfe.rochester.edu

Owen Lamont: Financial Constraints and Stock Returns (pdf version)
A study of the effect financial constraints place on stock returns, and factors that determine the magnitude of the effect. Requires Adobe Acrobat.
papers.ssrn.com

Knowledge Assets and Shareholder Value
An argument that the appreciation of both the potential and challenges associated with knowledge assets is crucial for understanding its role in capital markets.
www.stern.nyu.edu

Research and Development and Insider Gains
The paper finds from comprehensive data on corporate officers' share trading during 1985-1997, that insider gains in firms conducting R&D are substantially larger than insider gains in firms with no R&D activities.
www.stern.nyu.edu

Science and Technology as Predictors of Stock Performance
The study's empirical results indicate that patent measures reflecting the volume of firms’ research activity, the impact of firms’ research on subsequent innovations, and the closeness of R&D to basic research are reliably associated with the f...
www.stern.nyu.edu

The Boundaries of Financial Reporting and How to Extend Them
The paper reveals evidence indicaticating that the usefulness of reported earnings, cash flows and book (equity) values has been deteriorating over the last 20 years.
www.stern.nyu.edu

The Calculation of Earnings Per Share and Market Value of Equity: Should Common Stock Equivalents Be Included?
An argument for the inclusion of common stock equivalents in calculating the market value of equity.
www.stern.nyu.edu

The Market Valuation of Research and Development Expenditures
Presentation fo empirical evidence that the market's valuation of R&D varies cross-sectionally and, more importantly, that the valuation differences are meaningfully related to measures of the investments' fundamental benefits and risks.
www.stern.nyu.edu

The Value Relevance of Dividends, Book Value, and Earnings
The paper evaluates the value of dividends, book value, and earnings in determining equity pricing.
www.stern.nyu.edu

The Value Relevance of Intangibles: The Case of Software Capitalization
Examination of the relevance to investors of public information on software capitalization using analysis of the associations of financial data with capital market observables and earnings forecast accuracy.
www.stern.nyu.edu

What Value Analysts?
The study's results suggests that stock analysts mostly react to changes in market values of the stocks they cover rather than cause them.
www.stern.nyu.edu