Encyclopedia of Finance Part 19 potx

... problem of handling big block orders. A lot of interaction with the market is needed to trade large orders. That is where some see the advantage of continuous trading. It offers a special kind of ... clear- 624 ENCYCLOPEDIA OF FINANCE of 49 there are only two sell orders. For this rea- son, the clearing price in a call auction is typically identified as the value that maximize...

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... Press. Cornell, B. (198 9). ‘‘The impact of data errors on meas- urement of the foreign exchange risk premium.’’ Jour- nal of International Money and Finance, 8: 147–157. 356 ENCYCLOPEDIA OF FINANCE asset ... (Korajczyk, 198 5; Levine, 198 9; Huang, 199 0; Chiang, 199 1; Korajczyk and Viallet, 199 2) recognize these key elements, their studies merely focus on a single parity...

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... NASDAQ and the impact of recent market reforms.’’ Journal of Finance, 55: 2565–2598. 446 ENCYCLOPEDIA OF FINANCE Heron, R. and Lewellen, W. (199 8). ‘‘An empirical analysis of the reincorporation ... entertain the possibility of 452 ENCYCLOPEDIA OF FINANCE reincorporated in the U.S. between 198 0 and 199 2 did so immediately prior to their IPOs. Clearly, the process of...

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... Journal of Finance, 19: 425–442. Waud, R.N. (197 0). ‘‘Public interpretation of federal discount rate changes: evidence on the ‘Announce- ment Effect’.’’ Econometrica, 38: 231–250. 590 ENCYCLOPEDIA OF ... E.F. (196 5). ‘‘The behavior of stock market price.’’ Journal of Business, 38(1): 34–105. Fama, E.F. (197 0). ‘‘Efficient capital markets: a review of theory and empirical wo...

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... quotes?’’ Journal of Finance, 49: 1841– 1860. Handa, P. and Schwartz, R.A. (199 6).‘‘Limit order trading.’’ Journal of Finance, 51: 1835–1861. Ho, T. and Stoll, H. (198 3). ‘‘The dynamics of dealer markets ... together in call auction 640 ENCYCLOPEDIA OF FINANCE Chapter 38 STRUCTURE OF SECURITIES MARKETS 1 ROBERT A. SCHWARTZ, City University of New York, USA LIN PENG, City U...

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... Distinguished Professor of Finance at Rutgers Busi- ness School, Rutgers University and was chairperson of the Department of Finance from 198 8 199 5. He has also served on the faculty of the University of ... and professionals, in an attempt to meet the demand for a key source of fundamental finance terminology and concepts. This Encyclopedia of Finance contains five...

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... Compulsory France 198 0 =199 5 $65,387 3 No No No Compulsory Gabon 199 9 $5,336 1 No Yes Yes Voluntary Germany 196 6 =196 9 =199 8 $21,918 1 Yes Yes No Compulsory Gibraltar 199 8 N=A Yes No No Compulsory Greece 199 3 =199 5 ... Compulsory Spain 197 7 =199 6 $16,439 1 No Yes No Compulsory Sri Lanka 198 7 $1,470 2 No Yes No Voluntary Sweden 199 6 $31,412 1 No Yes Yes Compulsory Switzerl...

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... represents the improbable case of r pf < r z . 318 ENCYCLOPEDIA OF FINANCE Journal of international Money and Finance, 9: 182 192 . De Santis G. and Gerard, B. (199 7). ‘‘International asset pricing ... risk.’’ Journal of Finance, 52: 1881 191 2. Dumas, B. and Soln ik, B. (199 5). ‘‘The world price of foreign exchange risk.Journal of Finance, 50: 445–479. Epstein, L.G. a...

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... 18: 91–110. Sharpe, W. F. (196 4). ‘‘Capital asset prices: a theory of market equilibrium under conditions of risk.’’ Jour- nal of Finance, 19: 425–442. Sharpe, W. F. (197 7). ‘‘The capital asset ... Handbook of the Economics of Finance. North Holland: Elsevier. Becker, G. and Murphy, K.M. (198 8). ‘‘A theory of rational addiction.’’ Journal of Political Economy, 96: 675–700....

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... Journal of Business, 54: 513–534. Sharpe, W.F. (196 4). ‘‘Capital asset prices: a theory of market equilibrium under conditions of risk.’’ Jour- nal of Finance, 19: 425-442. Starks, L. (198 7). ... Jour- nal of Finance, 58: 1393–1414. Foster, D., Smith, T., and Whaley, R. (199 7). ‘‘Asse ss- ing goodness -of- fit of asset pricing models: the dis- tribution of the maximal R-sq...

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