This study develops a model for the valuation of Collateralized Mortgage Obligations (CMOs). The model is based on a two-factor model of the term structure of interest rates and embeds an empirically estimated mortgage prepayment function. The model is used to analyze various CMO tranches,...

Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-87, the authors 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...

In the past 30 years, major changes have occurred not only in the kinds of securities issued, but also in the "way" securities are issued and in the national markets "where" they are issued. Traditional registered offerings have been partly displaced by shelf registered offerings and Rule 144A...