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The Relation between Stock Market Movements and NYSE Seat Prices

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Author Info

  • Donald B. Keim

    (Wharton School, University of Pennsylvania,)

  • Ananth Madhavan

    (Marshall School of Business, University of Southern California)

Abstract

Exchange seat prices are widely reported and followed as measures of market sentiment. This paper analyzes the information content of NYSE seat prices using: (1) annual seat prices from 1869 to 1998, and (2) the complete record of trades, bids and offers for the seat market from 1973 to 1994. Seat market volumes have predictive power regarding future stock market returns, consistent with a model where seat market activity is a proxy for unobserved factors affecting expected returns. We find abnormally large price movements in seats prior to October 1987, consistent with the hypothesis that seat prices capture market sentiment. Copyright The American Finance Association 2000.

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Bibliographic Info

Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 55 (2000)
Issue (Month): 6 (December)
Pages: 2817-2840

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Handle: RePEc:bla:jfinan:v:55:y:2000:i:6:p:2817-2840

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Cited by:
  1. Battalio, Robert & Hatch, Brian & Loughran, Tim, 2011. "Who benefited from the disclosure mandates of the 1964 Securities Acts Amendments?," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 1047-1063, September.
  2. Lance E. Davis & Larry Neal & Eugene N. White, 2005. "The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints," NBER Working Papers 11556, National Bureau of Economic Research, Inc.
  3. Moser, Petra, 2012. "Taste-based discrimination evidence from a shift in ethnic preferences after WWI," Explorations in Economic History, Elsevier, vol. 49(2), pages 167-188.
  4. Eugene N. White, 2006. "Anticipating the Stock Market Crash of 1929: The View from the Floor of the Stock Exchange," NBER Working Papers 12661, National Bureau of Economic Research, Inc.

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