Chris Lamoureux's Research Page

• Published Papers



• Unpublished working papers:
  • ``An Empirical Assessment of Characteristics and Optimal Portfolios,'' (with Huacheng Zhang). New revision posted February 1, 2024. This pdf file includes the Internet Appendix. This paper is forthcoming in the Review of Asset Pricing Studies
  
  
• ``Dimensions of Limits to Arbitrage: Evidence from Coupon Spreads and Repo Specials in the 10-Year US Treasury Market'' (with George Theocharides). New revision posted July 29, 2013. First posted November 30, 2012.
  • Slides.
  
  
• ``Public Information and Stale Limit Orders: The Evidence'' (with Qin Wang). New draft posted August 11, 2015. First posted October 2, 2012.
  
  
• ``There and Back Again: A Stock's Tale.'' New revision posted March 27, 2017. (First posted June 28, 2012.)
  
  
  • I have never been a huge fan of case studies, since there is a lack of statistical power--the analysis cannot integrate over noise and possibly other confounding factors. However, in teaching and developing intuition I find that I am drawn to case studies because they allow a focused theoretical analysis. An example of this is the storied 3Com-Palm spin-off, which focuses attention on the cost of borrowing shares for the purpose of establishing and maintaining a short position. Another example is the strange case of Entremed, that Huberman and Regev (2001 JF) analyze. In this case the stock reacted to a New York Times story that contained old information (it had been published in Nature six months beforehand). My sense of this case is that the original Nature article may have been like the proverbial tree falling in the forest.
    
    My case study looks at the delisting of Maxim Integrated Products in 2007. Maxim was a $9 billion S&P 500 company, delisted for options backdating, and failure to restate its financials. This was a punitive regulatory delisting unrelated to the company's business. The stock trading moves from Nasdaq NMS to the lowest tier of the Pink Sheets (OTC PINK), its options are delisted, it is removed from the S&P 500 Index, the Nasdaq 100, the Russell 1000, and the Philadelphia Semiconductor Index. Despite all of this, its trading dynamics on the Pink Sheets and its ownership structure are virtually unchanged. I think this is interesting because it shows that the institution of where (and how) a company's shares are traded is not important per se. Whether a stock has listed options is not important per se as concerns the quality of the market. By quality of market, I mean the speed with which information is incorporated into the stock's price as well as price pressure and the bid-ask spread.
    
    The delisting was largely a non-event because market participants, especially institutions who use risk capital to make a market in the stock, expected that the company would soon relist. Three and a half months after delisting Maxim's management announced that their relisting would be delayed. Although this event was not associated with any institutional changes (i.e., the shares continue to trade on the Pink Sheets for another nine months), trading dynamics are adversely affected. Information assimilation slows down, trading volume, analyst following, and media attention all drop. Furthermore there is now significantly higher price pressure. Almost a year after delisting the company comes into compliance with SEC regulations and its shares and options are re-listed. Trading metrics return to pre-delisting levels.
    
    I think this separation of ``bad news'' from a regulatorily-induced delisting shows that investor attention is more important than institutions in affecting market quality. We need a case study to disentangle these two because they are naturally closely integrated. For example when options are listed on a company it is because there is a lot of trading and volatility in the stock. The listing of the options is not exogenous. When a company's shares are delisted it is almost always an absorbing barrier--the end game for those shares. But this paper shows that it's not the delisting that matters, rather it is the belief that this is a permanent state.
  
  
  
• ``Measuring Private Information in a Specialist Market,'' (with Qin Wang). New revision posted October 13, 2014. First posted July 3, 2012.
  
  
• ``Forecasting the Yield Curve Prior to the Global Financial Crisis: An Assessment of the Cox, Ingersoll, and Ross Model,'' (with Ken Roskelley). New revision posted June 8, 2017. (First posted August 8, 2005. This paper's earlier title was: ``Estimating and Testing Arbitrage Models without Adding an Error Model: An Application to Cox, Ingersoll, and Ross.'' )
  
  
• ``Costs of Capital and Public Issuance Choice,'' (with Ali Nejadmalayeri). New revision posted September 13, 2011. (This paper replaces an earlier paper entitled, ``Capital Market Conditions and Public Issuance Choice.'')
  
  
• ``Information in Option Prices and the Underlying Asset Dynamics,'' (with Alex Paseka). New revision posted October 30, 2009. (First posted on June 24, 2004.)
  
  
• ``Microstructure with Multiple Assets: An Experimental Investigation into Direct and Indirect Dealer Competition'' with Chuck Schnitzlein. (updated March 18, 2003).
  
  
• ``To Err is Human - But Dealers' Abilities to find non-Dominated Strategies Depends on Market Transparency'' with Chuck Schnitzlein. (updated June 7, 2001).
  
  
• ``Variations in Stock Returns: Asymmetries and Other Patterns'' with Sunil Panikkath. (May 1994).

Discussions and Other materials.

• Slides for my discussion of ``Tax-Timing Options and the Demand for Idiosyncratic Volatility,'' by Oliver Boguth and Luke C.D. Stein. (Tucson, April 29, 2017).
• Slides for my discussion of ``Flow and Stock Effects of Large-Scale Treasury Purchases,'' by Stefania D'Amico and Thomas King. (St. Louis, June 30, 2011).

Data, Programs and Other Resources.

• The original data used in my JF paper with Doug Witte (on Bayesian estimation of affine models).
• F0rtran code used to draw parameters and state variables for that paper.