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47,455
Over-the-Counter Interest Rate Derivatives
"... Over-the-counter (OTC) interest rate derivatives include instruments such as forward rate agreements (FRAs), interest rate swaps, caps, floors, and collars. Broadly defined, a derivative instrument is a formal agreement between two parties specifying the exchange of cash payments based on changes in ..."
Abstract
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Cited by 1 (0 self)
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, and collars are option-like agreements that require one party to make payments to the other when a stipulated interest rate, most often a specified maturity of LIBOR, moves outside of some predetermined range. The over-the-counter market differs from futures markets in a number of important respects. Whereas
Over-the-Counter Markets
, 2005
"... We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers’ bid and ask prices in a dynamic model with strategic agents. ..."
Abstract
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Cited by 132 (5 self)
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We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers’ bid and ask prices in a dynamic model with strategic agents
The relationship between return and market value of common stocks
- Journal of Financial Economics
, 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
Abstract
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Cited by 791 (0 self)
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that the capital asset pricing model is misspecttied. The size elfect is not linear in the market value; the main effect occurs for very small tirms while there is little difference m return between average sized and large firms. It IS not known whether size per se is responsible for the effect or whether size
The Labor Demand Curve is Downward Sloping: Reexamining the Impact of Immigration on the Labor Market
- THE QUARTERLY JOURNAL OF ECONOMICS
, 2003
"... Immigration is not evenly balanced across groups of workers that have the same education but differ in their work experience, and the nature of the supply imbalance changes over time. This paper develops a new approach for estimating the labor market impact of immigration by exploiting this variatio ..."
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Cited by 648 (21 self)
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Immigration is not evenly balanced across groups of workers that have the same education but differ in their work experience, and the nature of the supply imbalance changes over time. This paper develops a new approach for estimating the labor market impact of immigration by exploiting
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
- Journal of Financial Economics
, 1985
"... The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number th ..."
Abstract
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Cited by 1273 (5 self)
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that is independent of insider activity. The serial correlation of transaction price dif-ferences is a function of the proportion of the spread due to adverse selection. A bid-ask spread implies a divergence between observed returns and realizable returns. Observed returns are approximately realizable returns plus
Dynamic Itemset Counting and Implication Rules for Market Basket Data
, 1997
"... We consider the problem of analyzing market-basket data and present several important contributions. First, we present a new algorithm for finding large itemsets which uses fewer passes over the data than classic algorithms, and yet uses fewer candidate itemsets than methods based on sampling. We in ..."
Abstract
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Cited by 615 (6 self)
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We consider the problem of analyzing market-basket data and present several important contributions. First, we present a new algorithm for finding large itemsets which uses fewer passes over the data than classic algorithms, and yet uses fewer candidate itemsets than methods based on sampling. We
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
- REVIEW OF FINANCIAL STUDIES
, 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety of aggrega ..."
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Cited by 517 (17 self)
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In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety
Social capital, intellectual capital, and the organizational advantage
- Academy of Management Review
, 1998
"... Scholars of the theory of the firm have begun to emphasize the sources and conditions of what has been described a s "the organizational advantage, " rather than focus on the causes and consequences of market failure. Typically, researchers see such organizational advantage a s accruing fr ..."
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Cited by 1215 (2 self)
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Scholars of the theory of the firm have begun to emphasize the sources and conditions of what has been described a s "the organizational advantage, " rather than focus on the causes and consequences of market failure. Typically, researchers see such organizational advantage a s accruing
Trading and Information Diffusion in Over-the-Counter Markets
, 2012
"... We model trading and information diffusion in OTC markets, when dealers can engage in many bilateral transactions at the same time. We show that information diffusion is effective, but not effi cient. While each bilateral price partially reveals all dealers ’ private information after a single round ..."
Abstract
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Cited by 6 (0 self)
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round of trading, dealers could learn more even within the constraints imposed by our environment. This is not a result of dealers ’ market power, but arises from the interaction between decentralization and differences in dealers ’ valuation of the asset. We apply our framework to confront several
Investor Protection and Corporate Governance
, 1999
"... Recent research on corporate governance has documented large differences between countries in ownership concentration in publicly traded firms, in the breadth and depth of financial markets, and in the access of firms to external finance. We suggest that there is a common element to the explanations ..."
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Cited by 590 (11 self)
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Recent research on corporate governance has documented large differences between countries in ownership concentration in publicly traded firms, in the breadth and depth of financial markets, and in the access of firms to external finance. We suggest that there is a common element
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