The Relation between Stock Market Movements and NYSE Seat Prices
分析纽交所席位价格的信息含量，发现席位交易量能预测未来股市回报，且1987年10月前席位价格出现异常波动，表明席位价格捕捉了市场情绪。
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.