Copyright (c) 2009 All rights reserved. http://works.bepress.com/thomas_berry Recent documents in Thomas D Berry en-us Mon, 10 Aug 2009 10:29:23 PDT 3600 http://works.bepress.com/thomas_berry/22 http://works.bepress.com/thomas_berry/22 Mon, 10 Aug 2009 10:15:22 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/21 http://works.bepress.com/thomas_berry/21 Mon, 10 Aug 2009 10:13:03 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/20 http://works.bepress.com/thomas_berry/20 Mon, 10 Aug 2009 10:07:47 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/19 http://works.bepress.com/thomas_berry/19 Mon, 10 Aug 2009 09:56:04 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/18 http://works.bepress.com/thomas_berry/18 Mon, 10 Aug 2009 09:52:35 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/17 http://works.bepress.com/thomas_berry/17 Mon, 10 Aug 2009 09:48:12 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/16 http://works.bepress.com/thomas_berry/16 Mon, 10 Aug 2009 09:41:10 PDT The Federal National Mortgage Association (FNMA) auctions commitments to purchase mortgages. An examination of the terms of the commitment contract shows that these commitments are actually put options on mortgages. The contract is unusual, however, in that the price of the commitment is a fixed percentage of the value of the mortgages. In the auction, the dealers effectively bid the exercise price at which they would be willing to pay the fixed commitment price. In this paper, we study the economics of the FNMA auction. We use a two-state approximation to the American put pricing model for interest-dependent securities to examine the behavior of the auction results. We find that the model performs reasonably well for several years -- giving results which are, on the average, correct -- and then, quite abruptly, the performance of the model deteriorates. Some possible reasons for this result are then examined. Thomas D. Berry Finance http://works.bepress.com/thomas_berry/15 http://works.bepress.com/thomas_berry/15 Wed, 05 Aug 2009 13:53:03 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/14 http://works.bepress.com/thomas_berry/14 Wed, 05 Aug 2009 13:40:05 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/13 http://works.bepress.com/thomas_berry/13 Wed, 05 Aug 2009 12:46:30 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/12 http://works.bepress.com/thomas_berry/12 Wed, 05 Aug 2009 11:56:33 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/11 http://works.bepress.com/thomas_berry/11 Wed, 05 Aug 2009 11:50:11 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/10 http://works.bepress.com/thomas_berry/10 Wed, 05 Aug 2009 11:46:55 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/9 http://works.bepress.com/thomas_berry/9 Wed, 05 Aug 2009 10:54:38 PDT The authors develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. The authors find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next they relate their measure of public information to aggregate measures of intraday market activity. The authors' results suggest a positive, moderate relationship between public information and trading volume but an insignificant relationship with price volatility. Copyright 1994 by American Finance Association Thomas D. Berry Finance http://works.bepress.com/thomas_berry/8 http://works.bepress.com/thomas_berry/8 Wed, 05 Aug 2009 10:51:59 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/7 http://works.bepress.com/thomas_berry/7 Wed, 05 Aug 2009 10:42:02 PDT In February 2000, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Concepts No. 7, Using Cash Flow Information and Present Value in Accounting Measurements. In this document the FASB asserts without proof that a present value computation along its lines will provide a good estimate of the fair value of an asset or liability. Using numerical examples provided by the FASB, we attempt to construct arguments in support of the FASB's claim. We find that such arguments require strong and not at all obvious assumptions about players in hypothetical markets. Thomas D. Berry Finance Finance http://works.bepress.com/thomas_berry/6 http://works.bepress.com/thomas_berry/6 Wed, 05 Aug 2009 10:38:24 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/5 http://works.bepress.com/thomas_berry/5 Wed, 05 Aug 2009 10:34:21 PDT Recent studies have documented a strong tendency for individual investors to delay realizing capital losses, while realizing gains prematurely (Odean [1996], Shefrin and Statman [1985], Weber and Camerer [1996]). This tendency has been termed the "disposition effect." The disposition effect is inconsistent with normative approaches to stock sales, such as those based on tax losses (see, for example, Constantinides [1983]). We surveyed individual investors, and found that more respondents reported regret about holding on to a losing stock too long than about selling a winning stock too soon. This finding suggests that individual investors are consistently engaging in behavior that they have been warned can cost them money and that they regret later. Two additional experiments confirm the disposition effect and the role of regret, and offer evidence about the role of an agent (broker) in the assignment of blame and regret. We show that investor satisfaction and regret are not simply functions of outcome, but are influenced by counterfactual alternatives and the type of action taken (holding versus selling). We suggest that the disposition effect may be highly related to reduction of anticipated regret. Thomas D. Berry Finance http://works.bepress.com/thomas_berry/4 http://works.bepress.com/thomas_berry/4 Wed, 05 Aug 2009 10:28:40 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/3 http://works.bepress.com/thomas_berry/3 Wed, 05 Aug 2009 10:22:21 PDT This study uses survey data to examine notions of trust relative to investments and perceived risk. Rather than using nation cross-sectional household survey data we target a specific group across four distinct cultures. We survey graduate business students in four countries (Turkey, Bahrain, Czech Republic, and the USA). We attempt to gauge investor perceptions about trust and the potential impact of trust on equity investing. The groups are fairly homogeneous in terms of education and relative social and economic status leaving cultural differences as the main source of observed response differences. Thomas D. Berry Finance Finance http://works.bepress.com/thomas_berry/2 http://works.bepress.com/thomas_berry/2 Wed, 05 Aug 2009 10:19:56 PDT Thomas D. Berry Finance http://works.bepress.com/thomas_berry/1 http://works.bepress.com/thomas_berry/1 Wed, 05 Aug 2009 10:08:31 PDT Thomas D. Berry Finance