Encyclopedia of Finance Part 20 potx

... 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 University of New York, USA Abstract The ... (1996).‘‘Limit order trading.’’ Journal of Finance, 51: 1835–1861. Ho, T. and Stoll, H. (1983). ‘‘The dynamics of dealer markets under competition.’’ Journal of Fin...

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... swap CREDIT DERIVATIVES 341 Counterparty A 100 Counterparty B Counterparty A Counterparty B Reference asset worth P Dirty C LIBOR + S C Counterparty A Counterparty B 100 100 Maturity Par floater LIBOR At ... Strauss (200 0), and Baum et al. (200 1) are able to find evidence of mean reversion in deviations from PPP. The failure of PPP in the short run is perceiv- able, since in the very na...

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... elimination of cumu- lative voting in the election of directors. The proposed changes do not result from any present knowledge on the part of the Board of Directors of any proposed tender offer or ... invention. Millions of individ- uals voluntarily entrust billions of dollars, francs, pesos, etc., of personal wealth to the care of managers on the basis of a complex set...

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... the size of serial correlation in returns offers no precise implications on the extent of speculative profits available in the market. They propose that examining the profitability of various trading ... K.M.E. (200 3). ‘‘Book Review: Richard K. Lyons , The microstructure approach to exchange rates, 200 1, MIT Press’’ Journal of International Eco- nomics, 61: 467–471. 594 ENCYCLOPED...

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... 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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... 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 parts. Part I includes finance terminology ... Distinguished Professor of Finance at Rutgers Busi- ness School, Rutgers University and was chairperson of the Department of Finance from 1988–1995. He has also se...

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... 1, 200 0 (Banerji et al., 200 2; Broome and Markham, 200 0; Carow, 200 1; Wilmarth, 200 2). 2.4. Potential Benefits to Banks and their Customers Banks potentially benefit from the expanded range of ... R.A. (200 2). ‘‘Capital market reactions to the passage of the Financial Services Modernization Act of 1999.’’ Quarterly Review of Economics and Finance, 42(3): 465–485. Wilmarth,...

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... Maturity ¼ n years. Empty cell 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. (1997). ... theory of capital asset pricing.’’ Journal of Economic Theory, 13: 341–360. Sharpe, W. (1964). ‘‘Capital asset prices: a theory of market equilibrium under conditions of r...

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... (1988). ‘‘Joint esti- mation of factor sensitivities and risk premia for the Arbitrage Pricing Theory.’’ Journal of Finance, 43(3): 721–733. 372 ENCYCLOPEDIA OF FINANCE Chapter 7 TREASURY INFLATION-INDEXED SECURITIES QUENTIN ... Cri- tique.’’ Journal of Financial Economics, 18: 91–110. Sharpe, W. F. (1964). ‘‘Capital asset prices: a theory of market equilibrium under conditions...

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... Publishers. Jiang, W. (200 3). ‘‘A nonparametric test of market timing.’ Journal of Empirical Finance, 10: 399–425. Kazemi, H. (200 3). ‘‘Conditional Performance of Hedge Funds.’’ Working Paper, University of Mas- sachusetts ... Jour- nal of Finance, 58: 1393–1414. Foster, D., Smith, T., and Whaley, R. (1997). ‘‘Asse ss- ing goodness -of- fit of asset pricing models: the dis- tr...

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