Dennis J. Lasser

The effect of contemporaneous reserve accounting on the market for federal funds

Abstract This paper evaluates the effect of the transition from lagged to contemporaneous reserve accounting for the determination of bank reserve requirements through its impact on the market for Federal funds. The results indicate that increased target reserve uncertainty resulting from the implementation of the contemporaneous reserve accounting system (CRA) caused an initial increase in intraday Federal funds rate variance and daily interest rate differences. However, subsequent to a ‘learning’ period, intraday variance appears to be less pronounced and daily differentials appear to be narrower than under the previously used lagged reserve accounting system (LRA). These results are attributed to the lengthening of the accounting period from one to two weeks. Therefore, while not costless, the new system does not appear to have seriously disrupted the Federal funds market.

Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets

Abstract This study empirically examines volatility in US and Japanese commodity futures markets. The US futures market, COMEX, is double auction with continuous trading, whereas the Japanese futures market, TOCOM, was Walrasian with discrete trading until April 1991. We find intraday volatility for gold futures contracts to be significantly higher on COMEX than TOCOM throughout the sample period and is attributable to differences in information flows and market micro-structures. Evidence is also provided that exchange volume conveys information both within and across markets, which is consistent with the French and Roll, 1986 (French, K.R., Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5–26) private-information based rational trading model. Finally, daily variance and autocorrelation estimates within COMEX are consistent with the extant literature on equity markets.

Research Needs in Corporate Finance: Perspectives from Financial Managers

A profile of needed research in corporate finance is developed based on a survey of financial managers. Research needs are perceived to be the greatest in the areas of regulation and ownership. The area of long-term financing represents the third most important category. Alternatively, financial managers consider operational financing to be the least important area in terms of research needs. Write-in comments, in general, indicate a particularly strong need for research in two distinctive areas: the effects of globalization and the use of hedging tools to reduce financial risk.

Dividend reinvestment plans: An empirical analysis

This study examines the effect of initiating discount and no discount dividend reinvestment plans on shareholder wealth. The results show a negative response to DRP announcements, which is significantly smaller than that found in studies of new equity offerings. These results are consistent with the Scholes and Wolfson (1989) hypothesis that managers in need of equity capital use DRPs to mitigate the adverse stock price effects of new equity issue announcements. Furthermore, there is a significant difference in the price response of discount and no discount DRPs for industrial firms. This result is supportive of the signaling potential of discount DRPs. Supportive evidence is also found in the analysis of firm characteristics for industrial firms.

L’incidence de la vente à découvert sur les réactions du marchéà la publication des résultats

Les auteurs examinent l’incidence de la demande inherente que supposent les positions courtes en etudiant dans quelle mesure les reactions des cours boursiers a la publication des resultats dependent du niveau des positions courtes. Selon leurs constatations, si les nouvelles publiees sont extremement positives ou extremement negatives, la demande inherente entraine a la hausse le cours des actions a proximite de la date de la publication des resultats, la hausse etant plus prononcee dans le cas des nouvelles positives que des nouvelles negatives. Plus precisement, la reaction initiale du marchea des resultats imprevus extremement positifs est plus importante dans le cas d’entreprises ayant des niveaux eleves de positions a decouvert. En revanche, lorsque les resultats imprevus sont extremement negatifs, la reaction initiale du marche est moins negative dans le cas d’entreprises dont le niveau des positions a decouvert est eleve. Les auteurs constatent au surplus que l’ampleur du mouvement reactif suivant la publication des resultats est plus modeste (plus marquee) dans le cas de resultats imprevus extremement positifs (negatifs) pour les entreprises dont les positions a decouvert sont importantes.