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IS THE U.S. SECONDARY MORTGAGE MARKET SEGMENTED FROM OTHER FINANCIAL MARKETS?
O Felix Ayadi,Amitava Chatterjee,Lloyd P Blenman People&Global Business Association 2000 Global Business and Finance Review Vol.5 No.1
This paper models the relationship between a variety of costs of fonds variables and three key secondary mortgage market rates in the U.S. from 1980 through 1996. The attempt is to investigate the extent to which the mortgage market is linked to other financial markets and also find out if the gyrations in mortgage rates that followed deregulation can be explained by changes in costs of fonds. The cointegration of these variables is explored within the vector autoregressive (VAR) system. The results of Johansen cointegration test indicate an existence of four cointegrating equations in the partially nonstationary system. Therefore, there are some long-run equilibrium relationships in the time series. These results have implications on the efficiency of these markets and consequently on portfolio diversification opportunities for investors.
Dar Hsin Chen,Chun Da Chen,Lloyd P Blenman,Feng Shun Bin People&Global Business Association 2005 Global Business and Finance Review Vol.10 No.1
We examine the performance of Taiwanese IPOs surrounding lockup expiration. We find some evidence that investors in IT-IPOs could suffer significant wealth losses, in the days just prior to the lockup expiration. Non-IT IPO investors are not similarly affected. However, contrary to previous research, we find significant return reversals for both IT and non-IT stocks. After the lockup expiration dates trading volumes are also abnormally high. The returns to IT firms and firms with larger market capitalizations, exhibit greater sensitivity to lockup expiration dates than those of non-IT firms and small-cap firms.