One-to-many matching: An alternative trading cost comparison technique

We compare the relative merits of different matching techniques used in cross-market studies. Using the latest November 2007 data from both NASDAQ and the NYSE, we conduct simulations in which the firm characteristic distributions differ on the two matching sides. We keep the sample size small to create a difficult matching environment and highlight the relative strength of the different matching approaches. We propose a one-to-many matching method that has not been used previously in cross-market studies; each NASDAQ stock in our sample is matched with several comparable stocks from the NYSE. This method yields small matching errors than the widely used one-to-one matching process. Our simulation shows that choosing the best-matching technique actually matters. The one-to-many method consistently produces the correct result while the standard one-to-one without replacement method generates wrong answers under difficult matching environments.Matching samples One-to-many Trading costs

Clarification of the reinvestment assumption in capital analysis

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/22376/1/0000825.pd

Explaining bank market-to-book ratios: Evidence from 2006 to 2009

This paper examines the market-price to book-value ratio for 6604 bank stock observations from December 31, 2006 through June 30, 2009. We relate each bank's market-price to book-value ratio to several fundamental ratios and whether the bank took funds from the US Treasury under the Troubled Asset Relief Program (TARP). The results of this study show that banks who took TARP funds have lower market-price to book-value ratios. In addition, lower relative costs, higher non-interest income, and lower assets in non-accrual or foreclosed status are associated with higher market-price to book-value ratios while controlling for size and other bank attributes.Studies Banks Valuation TARP Market-to-book ratio