Research in Finance, Volume 21

INTRODUCTION......Page 5
STOCHASTIC DOMINANCE......Page 6
Independent Returns......Page 9
Autocorrelated Returns......Page 13
CONCLUDING COMMENTS......Page 17
REFERENCES......Page 18
INTRODUCTION......Page 20
Pooling Resources and Lowering Transactions Costs......Page 23
Controlling Opportunistic Behavior Via Minority Equity Ownership......Page 25
Sample Description......Page 27
Outcomes of the Minority-Equity Relationships......Page 33
Gains to Purchasing and Selling Firms in a Minority-Equity Alliance......Page 35
Determinants of Value Effects......Page 38
Operating Performance of Firms that Form Equity Alliances......Page 39
CONCLUSIONS......Page 43
REFERENCES......Page 46
SIZE AND BOOK-TO-MARKET EFFECTS IN THE RETURNS ON INFORMATION TECHNOLOGY STOCKS......Page 48
INTRODUCTION......Page 49
Background......Page 51
Explanations for these Anomalies......Page 52
Risk-Based Explanations......Page 53
Psychology-Based Explanations......Page 54
Characteristics-Based Explanations......Page 55
Data Description......Page 56
Firm Size......Page 58
Market Beta......Page 59
Returns......Page 62
The Model......Page 64
Portfolio Selection Procedure......Page 65
The Model......Page 66
Data for the Three-Factor Model......Page 67
Inputs for the Three-Factor Model......Page 68
The FM Regressions on Individual Stocks......Page 72
The FM Regressions on the Size - Book-to-Market Portfolios......Page 74
Comparison with Fama and French's (1992) results......Page 76
Regressions Using the Three-Factor Model......Page 77
Regressions with One Explanatory Variable: SMB......Page 78
Regressions with Two Explanatory Variables: SMB and HML......Page 82
Does the Use of the 3-Month Treasury Bill Rate Matter?......Page 83
Inputs for the Three-Factor Model in the Periods Before (July 1990-March 2000) and After the Technology Crash (May 2000-June 2001)......Page 88
Regression Results (Using the Three-Factor Model)......Page 89
CONCLUSION......Page 91
REFERENCES......Page 93
INTRODUCTION......Page 95
LITERATURE REVIEW......Page 97
DATA AND METHODOLOGY......Page 99
RESULTS AND DISCUSSION......Page 107
CONCLUSION......Page 111
REFERENCES......Page 112
INTRODUCTION......Page 114
INSTITUTIONAL FEATURES OF AND RATIONALE FOR INSTALLMENT RECEIPTS......Page 116
DATA AND METHODOLOGY......Page 117
Underlying Stocks' Returns......Page 120
Underpricing of IRs......Page 122
Announcement Effects......Page 123
IRS' RETURNS FOLLOWING THE LISTING DATES......Page 126
THE BENEFITS OF USING IRS......Page 129
CONCLUSIONS......Page 130
REFERENCES......Page 133
A NEW APPROACH TO TESTING PPP: EVIDENCE FROM THE YEN......Page 135
INTRODUCTION......Page 136
VECM MODELLING FOR AN I(1) SYSTEM......Page 137
PURCHASING POWER PARITY TESTING......Page 139
INSTANTANEOUS CAUSALITY INVESTIGATION......Page 141
EMPIRICAL RESULTS......Page 142
CONCLUSION......Page 150
REFERENCES......Page 151
ZERO ENTRIES IN A VAR AND ITS EQUIVALENT VECM FOR AN I(1) SYSTEM.......Page 153
DETECTING INSTANTANEOUS CAUSALITY IN A TRIVARIATE SYSTEM......Page 154
INTRODUCTION......Page 155
FOREIGN EXCHANGE RATE SYSTEMS AND ASIAN STOCK MARKETS......Page 156
RELATIONSHIPS OF THE EXCHANGE RATES AND THE STOCK MARKETS......Page 157
RESEARCH DESIGN AND METHODOLOGY......Page 159
THE DATA SOURCES......Page 163
EMPIRICAL RESULTS......Page 164
SUMMARY AND CONCLUSION......Page 170
REFERENCES......Page 172
INTRODUCTION......Page 174
THE MODEL WITH ONE BANK......Page 178
THE MODEL WITH TWO BANKS......Page 179
EQUILIBRIUM STRATEGIES......Page 184
EMPIRICAL IMPLICATIONS......Page 188
CONCLUSIONS......Page 192
REFERENCES......Page 193
Proof of Lemma 2......Page 195
Proof of Proposition 1......Page 197
Proof of Proposition 7......Page 198
OPPORTUNITY COST AND PRUDENTIALITY: AN ANALYSIS OF COLLATERAL DECISIONS IN BILATERAL AND MULTILATERAL SETTINGS......Page 199
Introduction......Page 200
Literature Review......Page 201
DETERMINING COLLATERAL FOR BILATERAL CONTRACTS......Page 202
The Intermediary Role of a Clearinghouse......Page 205
Increasing Opportunity Cost of Funds......Page 207
Description of the Sample Data Set......Page 208
Time-Series Evidence......Page 211
Pooled Cross-Section Time Series Analysis......Page 213
EXTENSIONS: OTHER CLEARINGHOUSE RISK CONTROL MECHANISMS......Page 217
The Threat of Expulsion......Page 218
The Clearinghouse as Monitor......Page 220
SUMMARY......Page 222
REFERENCES......Page 224
INTRODUCTION......Page 226
Number of Lenders......Page 227
Collateralization......Page 229
VARIABLES AND MODEL......Page 230
DATA......Page 232
MODEL ESTIMATION......Page 234
Univariate Analysis......Page 236
Regression Analysis......Page 238
Alternative Specifications and Robustness Checks......Page 240
CONCLUSIONS......Page 241
REFERENCES......Page 243
DETAILED FORMULATION OF VARIABLES......Page 245
CORRELATION MATRIX FOR REGRESSION VARIABLES......Page 247
ROBUSTNESS CHECKS FOR REGRESSION RESULTS......Page 248
INTRODUCTION......Page 250
RELEVANT LITERATURE......Page 252
DATA......Page 253
METHODOLOGY......Page 254
RESULTS......Page 256
CONCLUSIONS......Page 258
REFERENCES......Page 259