Most asset pricing models postulate a positive relationship between a stock portfolio's
expected returns and risk, which is often modeled by the variance of the asset price. This paper …

This paper estimates the impact of market activity and news on the volatility of returns in the
exchange market for Japanese Yen and US dollars. We examine the effects of news on …

Mortgage overage pricing is little understood by consumers and has received little academic
scrutiny. We consider the impact of the market power of individual loan officers on overages …

What is a market friction? In the context of the capital asset pricing model, this article defines
a financial market friction as anything that interferes with trade. This interference includes …

Previous research calculates realised internal rates of return on angel investments but does
not estimate expected returns. We present the first estimates of expected returns on angel …

I provide a taxonomy of market imperfections built around the economic forces underlying
them. Market imperfections affect virtually every transaction in some way, generating costs …

This study investigates the relationship among interest rates on the long‐term government
bonds of five industrialized countries. Both standard and new unit root tests are applied, all of …

We generalize traditional event-study techniques to allow for event-induced parameter shifts,
shifting variances, and firm-specific event periods. Our method, which nests traditional …

Angel investors go by many definitions. By all definitions, however, angel investors act as
informal venture capitalists and collectively invest billions of dollars in thousands of …

DeGENNARO article Page 1 27 ECONOMICREVIEW First Quarter 2006 Like most consumers,
you probably take your credit and debit card transactions for granted. You and others like …