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ABSTRACT The orthodox assumption in the banking literature is that capital requirements are a binding constraint on banking behavior. This is in conflict with the empirical observation that banks hold a buffer of capital well in excess of the minimum requirements. This paper develops a model...
ABSTRACT We investigate the gains and losses from equity trades of individual investors, various institutional investors, and foreign investors in the Tokyo Stock Exchange. We develop a trade‐weighted performance measure and examine the impact of trading intervals, price spreads, and market...
ABSTRACT Using futures traded on the Chicago Board of Trade, Chicago Mercantile Exchange and New York Board of Trade, we test six alternative models of the return‐generating process (RGP) in futures exchanges that adopt a price‐limit regime. We rank the six models according to their...
ABSTRACT US banks making prime rate revisions are known to suffer stock price declines, which is consistent with the Stiglitz–Weiss adverse selection theory, given the relative stickiness of interest rates. If banks suffer price declines, then why are some banks consistent leaders when revising...
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