Quarterly Journal of Business and Economics articles from June 2005

Quarterly Journal of Business and Economics archives from June 2005

Daily and intraday patterns in spread and depth for limit orders and specialists.
June 22, 2005... Introduction Much research in market microstructure focuses on trading costs--particularly the bid-ask spread, (1) while less attention is paid to the depth of a quote (the number of shares offered at the bid and ask prices). The purpose...

Managing portfolio turnover: an empirical study.
June 22, 2005... Introduction The purpose of this study is to see if the turnover of stocks in actively managed portfolios enhances portfolio performance. There is some evidence that the portfolio turnover for many investors is too high. In 2000, total...

An extension of security price reactions around product recall announcements.
June 22, 2005... Introduction Product recalls have increased dramatically in the United States in recent years. Smith, Thomas, and Quelch (1996) point out that the United States Consumer Product Safety Commission (CPSC) was involved in 221 recall cases...

Hedging with floor-traded and E-mini stock index futures.
June 22, 2005... Introduction Over the last few years, more and more stock and futures transactions have shifted from an open outcry system to an electronic trading system. There are many studies that focus on the issue of the relative price discovery role...

The persistence of runs--the directional movement of index returns.
June 22, 2005... Introduction Many academic studies in the past twenty years have demonstrated that certain trading strategies, such as the momentum and/or contrarian strategies, generate excess profits over various portfolio holding windows; see DeBondt...

The relationship of audit committee characteristics with endogenously determined audit and non-audit fees.
June 22, 2005... Introduction In recent years, Congress and the Securities and Exchange Commission (SEC) have taken proactive steps imposing new responsibilities on audit committees with a view toward protecting the investing public's interests. Some of...

The stock price overreaction effect: evidence on Nasdaq stocks.
June 22, 2005... Introduction The stock market overreaction hypothesis states that a stock price usually reverses itself after the stock experiences a sharp increase or decrease in price. If this hypothesis holds, then profitable investment strategies can...

A simple model to predict loss ratios in the domestic stock property--liability insurance industry.
June 22, 2005... Introduction and Literature Review The relationships among various industry-related variables have been the subject of continuing research interest in property-casualty insurance. The issues at hand are not specific to the property-casualty...