Seasonalities in NYSE bid-ask spreads and stock returns in January

Article Abstract:

Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-1987, we document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross-sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid-ask spreads and January returns for NYSE stocks or the data are too "noisy" to reveal any relation. (Reprinted by permission of the publisher.)

Prices and rates, Stocks, Stock prices, Seasonal variations (Economics)

---

Time-dependent variance and the pricing of bond options

Article Abstract:

In this paper, we develop a model for valuing debt options that takes into account the changing characteristics of the underlying bond by assuming that the standard deviation of return is proportional to the bond's duration. The resulting model uses the bond price as the single state variable and thus preserves much of the simplicity and robustness of the Black-Scholes approach. The paper provides comparisons between option prices computed using this model and those using the Black-Scholes and Brennan and Schwartz models. (Reprinted by permission of the publisher.)

Analysis, Options (Finance), Bonds, Bonds (Securities), Financial research

---

Similar abstracts:

• Abstracts: LYON taming. Debt-equity ratio and expected common stock returns: empirical evidence. An unbiased reexamination of stock market volatility
• Abstracts: Return preparer penalties are streamlined and toughened by RRA '89. How to minimize return preparer liability when using microcomputers for preparation
• Abstracts: Long term contract work in progress: Can we resolve the conflict? A 'true and fair' view and the treatment of long-term contract work in progress
• Abstracts: Cost accounting, controlling labour and the rise of conglomerates. Towards a critical understanding of accounting: the case of cost accounting in the U.K., 1914-1925
• Abstracts: Equilibrium exchange rate hedging. Interest rates as options. Presidential address: noise

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.