Volume 3, Number 3, Third Quarter 2005 Fischer Black and the Revolutionary Idea of Finance Perry Mehrling Reviewed by Mark Kritzman The Sociology of Financial Markets Karin Knorr Cetina and Alex Preda Reviewed by Elizabeth Gorman View PDF… Read more
Third Quarter (2005)
SURVEY OF THE LITERATURE: Power Laws
Sanjiv R. Das and Jacob Sisk Volume 3, Number 3, Third Quarter 2005 We provide a brief survey of two areas in finance in which power laws may play an important role—one, in better describing the tails of return distributions; and two, in market microstructure modeling. While the existing literature in finance is not extensive… Read more
CASE STUDIES: Cereal Mergers
Jack L. Treynor Volume 3, Number 3, Third Quarter 2005 View PDF… Read more
Investment Banker Directors and Affiliated Analysts’ Forecasts
Murali Jagannathana and Srinivasan Krishnamurthy Volume 3, Number 3, Third Quarter 2005 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… Read more
NASDAQ-100 Index Futures: Intraday Momentum or Reversal?
Susana Yu, Joel Rentzler and Avner Wolf Volume 3, Number 3, Third Quarter 2005 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… Read more
Regulation Fair Disclosure and Volatility: An Intraday Analysis
Robert B. Mendelson, Rajneesh Sharma and Daniel G. Weaver Volume 3, Number 3, Third Quarter 2005 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… Read more
Call Protection in Convertible Bonds: How Much and Why?
Timo P. Korkeamaki and William T. Moore Volume 3, Number 3, Third Quarter 2005 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… Read more