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The Irrelevance of Margin: Evidence from the Crash of '87
15 references·2 citing·45 second hop
The Irrelevance of Margin: Evidence from the Crash of '87 (1993)The Irrelevance of Margin: Evidence from …A Bayesian model of intraday specialist pricing (1991)A Bayesian model of intraday …Stock volatility and margin trading (1990)Stock volatility and margin t…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…The relation between the return interval and betas (1989)The relation between the retu…The behavior of daily stock market trading volume (1989)The behavior of daily stock m…Initial margin requirements and stock returns volatility: Another look (1989)Initial margin requirements a…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Estimating the components of the bid/ask spread (1988)Estimating the components of …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research (1987)Cross-Sectional Dependence an…The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance (1986)The Effects of Changing Margi…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Crises in the economic and financial structure (1983)Crises in the economic and fi…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Margin lending and stock market volatility (2001)Margin lending and stock mark…Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Margin Requirements, Volatili…The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)The Behavior of Stock-Market Prices (1965)Using daily stock returns (1985)The theory and practice of econometrics (1986)Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation (2001)An empirical evaluation of the overconfidence hypothesis (2006)Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research* (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Special Information and Insider Trading (1974)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Abnormal returns to a fundamental analysis strategy. (1998)Managerial Decisions and Long-Term Stock Price Performance (1998)Inferring Trade Direction from Intraday Data (1991)The Informational Role of Stock and Option Volume (2002)Should securities markets be transparent? (2005)Analyst Disagreement, Mispricing, and Liquidity* (2007)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Theory of Intraday Patterns: Volume and Price Variability (1988)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1987Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research548 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1991A Bayesian model of intraday specialist pricing336 cited
  • 1989The behavior of daily stock market trading volume272 cited
  • 1983Crises in the economic and financial structure262 cited
  • 1989The relation between the return interval and betas234 cited
  • 1986The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance92 cited
  • 1990Stock volatility and margin trading79 cited
  • 1989Initial margin requirements and stock returns volatility: Another look67 cited

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Cited by

  • 2001Margin lending and stock market volatility38 cited
  • 1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?37 cited