Ditapis dengan
Speculation and Hedging in Segmented Markets
We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market—some trade for speculation and others for hedging—and thus they may respond to the same information in opposite directions. This implies that addin…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Expected Returns and Dividend Growth Rates Implied by Derivative Markets
The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted from S&P 500 futures and options to correct the dividend-price ratio for changes in expected dividend growth. Over January 1994 through June 2011, dividend growth implied by derivative markets reliably foreca…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Do Dark Pools Harm Price Discovery?
Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, and…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Expectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Bond Supply and Excess Bond Returns
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Common errors : How to (and Not to) Control for Unobserved Heterogeneity
Controlling for unobserved heterogeneity (or "common errors"), such as industry-specific shocks, is a fundamental challenge in empirical research. This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., "industry-adjusting") and adding the mean of the group's dependent v…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
Asset Prices with Heterogeneity in Preferences and Beliefs
In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have "catching up with the Joneses" utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate…
- Edisi
- Vol. 27 No. 2, Feb 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 661 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2702
The Growth and Limits of Arbitrage: Evidence from Short Interest
We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has result…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Reg…
We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis t…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Liquidity Shocks and Stock Market Reactions
We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after co…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
Social media has become a popular venue for individuals to share the results of their own analysis on financial securities. This paper investigates the extent to which investor opinions transmitted through social media predict future stock returns and earnings surprises. We conduct textual analysis of articles published on one of the most popular social media platforms for investors in the Unit…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Working More to Pay the Mortgage: Household Debt, Interest Rates, and Family …
I show that households work and earn more (less) when their floating-rate mortgage payments quasi-exogenously increase (decrease). The response is sizable and asymmetric: on average, households adjust their income by 35% of the change in their mortgage payment, but the response is significantly stronger following an increase in payments. While men in dual-earner, childless households respond th…
- Edisi
- Vol. 80 Issue 2, Apr 2025
- ISBN/ISSN
- 1540-6261
- Deskripsi Fisik
- 1327 p.
- Judul Seri
- The Journal of Finance
- No. Panggil
- -
Merton Miller on derivatives
Includes index
- Edisi
- -
- ISBN/ISSN
- 471183407
- Deskripsi Fisik
- xiii, 226 p. : ill. ; 24 cm.
- Judul Seri
- -
- No. Panggil
- 332.632042 MIL m
A History of interest rates 4th ed
Includes bibliographical and tables
- Edisi
- 4th ed
- ISBN/ISSN
- 471732834
- Deskripsi Fisik
- xx, 710 p. : ill. ; 24 cm.
- Judul Seri
- Wiley finance series
- No. Panggil
- 332.809 HOM h
Interest in Islamic economics : understanding riba
Includes bibliographies and index
- Edisi
- -
- ISBN/ISSN
- 9780415342421
- Deskripsi Fisik
- xi, 146 p. ; 24 cm.
- Judul Seri
- Routledge Islamic studies
- No. Panggil
- 332.8091767 INT
Interest rate metris system : alternative strategy for banking industry
The financial transaction facilities including Automated Teller Machine (ATM), mobile banking, or internet banking can help customers to make real time transactions across location and time zones. On the basis of these two facts, this research comparatively analyze and prove that the daily interest rate system as commonly practiced by the bank potentially create loss to them. Since the daily in…
- Edisi
- Vol. 18, No. 4, Apr. 2016
- ISBN/ISSN
- 14108046
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
FRAs and interest-rate futures
Includes index
- Edisi
- -
- ISBN/ISSN
- 852974442
- Deskripsi Fisik
- 146 p. : ill. ; 24 cm.
- Judul Seri
- Financial risk management
- No. Panggil
- 332.63232 COY f
Hedging interest-rate exposures
Includes index
- Edisi
- -
- ISBN/ISSN
- 852974450
- Deskripsi Fisik
- 154 p. : ill. ; 24 cm.
- Judul Seri
- Financial risk management. Debt & equity markets
- No. Panggil
- 332.63232 COY h
Introduction to interest-rate risk
Includes index
- Edisi
- -
- ISBN/ISSN
- 852974396
- Deskripsi Fisik
- 138 p. : ill. ; 24 cm.
- Judul Seri
- Financial risk management. Debt & equity markets
- No. Panggil
- 332.63232 COY i
Presidential Address: Debt and Money: Financial Constraints and Sovereign Fin…
Economic analyses of corporate finance, money, and sovereign debt are largely considered separately. I introduce a novel corporate finance framing of sovereign finance based on the analogy between fiat liabilities for sovereigns and equity for corporations. The analysis focuses on financial constraints at the country level, making explicit the trade-offs involved in relying on domestic versus f…
- Edisi
- Vol. 71, Number 4, Aug. 2016
- ISBN/ISSN
- 00221082
- Deskripsi Fisik
- p. 1483-1510
- Judul Seri
- -
- No. Panggil
- The Journal of Finance
Karya Umum 
Filsafat 
Agama 
Ilmu-ilmu Sosial 
Bahasa 
Ilmu-ilmu Murni 
Ilmu-ilmu Terapan 
Kesenian, Hiburan, dan Olahraga 
Kesusastraan 
Geografi dan Sejarah