Institutional investors are important both because of the magnitude of their holdings and trading activity and because their decisions to buy or sell can signal a good takeover candidate as well as in some instances facilitate the takeover. However, little is known as to why institutions prefer one stock to another. Through discriminant analysis seven variables (six accounting ratios and size) are identified that reveal the differences in financial characteristics between neglected and strongly held firms. Regression analysis is then used to show that four variables from the set of seven discriminant variables are consistent predictors of the actual fraction of outstanding shares held by financial institutions. The analysis provides some support for the claims of corporate chief financial officers that institutions focus only on short-term performance. However long-term performance is also shown to be important.

Investments in default‐free bonds can be insulated from financial loss due to interest rate changes (via additive shock) by a process known as immunization. The literature on this process ignores taxes. This manuscript focuses on three issues. The first is the development of the tax‐adjusted immunization process with a comparison to the existing literature. The second issue is the microeconomic effect of a shift in only the individual's tax rates on immunization and investment behavior. The third issue is the macroeconomic effect of an across‐the‐board shift in tax rates on immunization and investment behavior.

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This paper investigates the changes in credit spread volatility during 1993-2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-related securities became popular. In contrast, investment-grade bonds exhibited no significant change in volatility. The junk bonds variance ratios changed from being less than one to greater than one. Using the GJR-Garch model, the conditional volatilities of junk bonds increased in the second half of the period and the mean reversion speeds slowed, suggesting a longer time for mean reversion to occur. Our analysis rules out treasury volatility, credit spread level, equity market return, T-bill rate, curvature of the Treasury curve, financial crisis, quantity of defaults and standard deviation of defaults as explanations for the increase in junk bond volatility. In contrast, volatility of equity returns provides a partial explanation of junk bond spread volatility in the later period.Portfolio analysis, Portfolio theory, Optimization, Advanced econometrics,