Steve Swidler

The Value of a Finance Journal Publication

The empirical analysis examines the salary and publication records of 311 finance professors at public research universities to calculate the worth of a top finance journal article. Within rank, salary regressions provide measures of the direct returns of a journal publication, while probit models consider the indirect returns that result from promotion. Ultimately, the analysis uses a reduced form salary equation to measure both the direct and indirect effects of publishing a journal article. Depending on professorial rank, the present value of the first top finance journal article is between

Implied Volatilities and Transaction Costs

19,493 and

Simultaneous option prices and an implied risk-free rate of interest: A test of the Black-Scholes models☆

33,754, with the additional result of large returns to subsequent publications. Copyright The American Finance Association 1998.

State Government Hedging Using Financial Derivatives

Using data that contain bid and ask quotes for both options and stocks, the analysis investigates the constant volatility assumption of the Black-Scholes model. The analysis adjusts for bid-ask spreads and finds evidence that is inconsistent with the constant volatility assumption. Instead, the results reveal a strong negative correlation between volatility and stock price, and they suggest that using a nonconstant volatility model such as the CEV model would be more appropriate to price long-term options. Finally, transaction costs associated with the dynamic hedge tend to increase with an options maturity, but decrease as a percentage of the options price.

The effect of an asset's market weight on its beta: implications for international markets

Abstract Two parameters in the Black-Scholes model, the risk-free rate of interest and standard deviation of stock returns, cannot be directly observed. Nevertheless, it is possible to simultaneously solve for the two parameters by using the prices of two different options written on the same security. If the Black-Scholes model is valid, then the implied interest rate from one repair of options should equal the implied interest rate from another pair of options for a given trading day. The analysis reexamines simultaneous option price data from a previous study using the implied interest rate test, and the results support the validity of the Black-Scholes model if we consider the bid/ask spread of option prices and that options are traded over discrete intervals.

Trading behaviour of stocks added to New Zealand's NZSE40 index

IN examining the use of financial de? rivative contracts to manage risk, the typical analysis involves the hedging strategies of firms or individuals. In contrast, this article considers the potential use of de? rivatives to hedge macroeconomic risk in the public sector. Specifically, the analysis focuses on one of the largest risks faced by the public sector: volatility in tax revenue. Two issues of current interest are addressed: the potential evolution toward futures contracts based on macroeconomic indicators and the recent revenue shortfalls of individual states.

The Publishing of Real Estate Articles Within a Finance Department

Abstract This paper derives the relationship between a stocks beta and its weighting in the portfolio against which its beta is calculated. Contrary to intuition the effect of this market weight is in general very substantial. We then suggest an alternative to the conventional measure of abnormal return, which requires an estimate of a firms beta when its market weight is zero. We argue that the alternative measure is superior, and show that it can differ substantially from the conventional measure when a firm has non-trivial market weight. The difference in abnormal returns may be disaggregated into a “market return effect” and a “beta effect”.

Homeownership: yesterday, today and tomorrow

This paper looks at the addition of stocks to New Zealands NZSE40 index and investigates whether price and volume effects support the price pressure hypothesis or the informational efficiencies described by Mertons attention hypothesis. Unlike the US experience, a description of trading on the New Zealand Stock Exchange includes: (1) mechanical index listing rules; (2) few index arbitrage opportunities; and (3) less liquid markets. The empirical results support the attention hypothesis and suggest informational efficiencies that lower a firms cost of capital.

The relation between the informational content of implied volatility and arbitrage costs: Evidence from the Oslo Stock Exchange

A unique data set of 311 professors is employed to examine the relative research productivity between real estate and finance faculty. The results suggest that, on average, real estate faculty within a finance department publish more real estate and finance publications than do their finance colleagues. The results also indicate that publications in top real estate journals increase annual salary by approximately

Examining statistical differences between using returns and yields to maturity in bond market event studies

800. Collected over a twenty-year period, this increment in salary would increase the professors wealth by more than