An analysis of bidding in the Japanese government bond actions

Article Abstract:

We examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. We find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a negative association. We also find that the share of winnings of Japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for U.S. dealers. (Reprinted by permission of the publisher.)

Japan, Government securities, Auctions

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Seasonality in stock price mean reversion: evidence from the U.S. and the U.K

Article Abstract:

The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stock exhibits mean-reversion is significant in the period 1926-1988, this phenomenon is entirely concentrated in January. In the post-war period both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange. (Reprinted by permission of the publisher.)

Security and commodity exchanges, United Kingdom, United States, History, Stock-exchange, Stock exchanges, Statistics, Stock price indexes, London Stock Exchange PLC, Great Britain

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Evidence of predictable behavior of security returns

Article Abstract:

This paper presents new empirical evidence of predicability of individual stock returns. The negative first-order serial correlation in monthly returns is highly significant. Furthermore, significant positive serial correlation is found at longer lags, and the twelve-month serial correlation is particularly strong. Using the observed systematic behavior of stock returns, one-step-ahead return forecasts are made and ten portfolios are formed from the forecasts. The difference between the abnormal returns on the extreme decile portfolios over the period 1934-1987 is 2.49 percent per month. (Reprinted by permission of te publisher.)

Evaluation, Stock price forecasting

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