We propose a "Fundamental" approach to estimate the economies of scale and scope for financial institutions offering multi-product lines. We first estimate pure economies of scale from its fundamental definition, which is the marginal cost reduction that is to be achieved by single product firms...

In recent years, both institutional and individual investors have come to rely heavily upon techniques for analyzing (defining and measuring) risk. In this respect, the issue that continues to require the attention of academic researchers and practitioners alike is how to concisely define...

In this paper, we extend Booth and Tse's (BT) 1995 analysis of fractional cointegration between the expected Eurodollar and Treasury bill interest rates implied by their respective futures contracts. The definition of fractional cointegration suggested by Cheung and Lai (1993) and used by BT is...

This study examines bank managers' three major motivations for discretionary behavior with respect to loan loss provisions: signaling, income smoothing, and capital management. To do so, it utilizes a bank-specific time-series regression approach that captures heterogeneity in the banks'...

This paper empirically identifies non-informational and informational trades using stock returns and trading volume data of the U.S., Japanese, and U.K. stock markets and five individual firms. We achieve the identification by imposing a restriction from theoretical considerations. Our results...

Foreign acquisitions have been growing dramatically since the 1980s despite academic studies showing that shareholders of acquirers generally do not realize any significant gain. In this paper, we investigate whether foreign acquisitions are motivated by managerial self-interest. Logistic...

In this paper, the diversification benefits of using stock index futures are examined. Empirical evidence shows that traditional diversification in international equity markets does not produce a risk adjusted performance superior to the US market. An explanation for this result is that...

This paper applies portfolio change and conditional performance measures to assess the performance of the dynamic investment model in various industry-rotation settings spanning the 1934-95 period. The dynamic investment model employs the empirical probability assessment approach in raw form. In...

We show income smoothing results as a rational equilibrium behavior in a setting where the manager has superior foresight about the firm's prospects but faces inferior capital access relative to the owner. Under a legal structure that makes forecast-based compensation impractical and an...