3rd Quarter (2005)

Murali Jagannathana and Srinivasan Krishnamurthy Equity research analysts of investment banks have been subjected to significant regulatory scrutiny and enforcement action in recent years. Specifically, two major issues have attracted legal attention: (1) whether analysts favorably bias their forecasts to secure investment-banking business, and (2) whether selective disclosure to analysts worsens the firm’s information environment… Read more

Susana Yu, Joel Rentzler and Avner Wolf This paper explores the intraday behavior of the NASDAQ-100 futures index for momentum and reversals. A multiple regression model simultaneously (1) relates today’s intraday returns to yesterday’s and last night’s returns, and (2) estimates how the relationship changes with the signs of yesterday’s and last night’s return, whether… Read more

Robert B. Mendelson, Rajneesh Sharma and Daniel G. Weaver Regulation Fair Disclosure (Reg FD) prohibits selective disclosure policies by companies. This study uses a sample of earning announcements before and after Reg FD to examine the impact on trade size, share volume, number of transactions per day, intraday return volatility, and bid-ask spread. Our methodology… Read more

Timo P. Korkeamaki and William T. Moore This article is drawn largely from “Convertible Bond Design and Capital Investment: The Role of Call Provisions,” published by the authors in the Journal of Finance, Volume 59, 2004, pp. 391-405. The authors are indebted to colleagues at the University of South Carolina for helpful comments and guidance… Read more