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作者：Pástor, L; Stambaugh, RF
作者单位：University of Chicago; National Bureau of Economic Research; University of Pennsylvania
摘要：This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 through 1999, the average return on stocks with high...
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作者：Conley, TG; Dupor, B
作者单位：University of Chicago; University of Pennsylvania
摘要：This paper presents a spatial econometric method for characterizing productivity comovement across sectors of the U. S. economy. Input-output relations provide an economic distance measure that is used to characterize interactions between sectors, as well as conduct estimation and inference. We construct two different economic distance measures. One metric implies that two sectors are close to one another if they use inputs of other industrial sectors in nearly the same proportion, and the oth...
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作者：Gomes, J; Kogan, L; Zhang, L
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT); University of Rochester
摘要：We construct a dynamic general equilibrium production economy to explicitly link expected stock returns to firm characteristics such as firm size and the book-to-market ratio. Stock returns in the model are completely characterized by a conditional capital asset pricing model (CAPM). Size and book-to-market are correlated with the true conditional market beta and therefore appear to predict stock returns. The cross-sectional relations between firm characteristics and returns can subsist even a...
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作者：Haile, PA; Tamer, E
作者单位：University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research; Princeton University
摘要：While English auctions are the most common in practice, their rules typically lack sufficient structure to yield a tractable theoretical model without significant abstractions. Rather than relying on one stylized model to provide an exact interpretation of the data, we explore an incomplete model based on two simple assumptions: bidders neither bid more than their valuations nor let an opponent win at a price they would be willing to beat. Focusing on the symmetric independent private values p...
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作者：Plug, E; Vijverberg, W
作者单位：University of Amsterdam; Tinbergen Institute; University of Texas System; University of Texas Dallas
摘要：When parents are more educated, their children tend to receive more schooling as well. Does this occur because parental ability is passed on genetically or because more educated parents provide a better environment for children to flourish? Using an intergenerational sample of families, we estimate on the basis of a comparison of biological and adopted children that about 55-60 percent of the parental ability is genetically transmitted.
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作者：Fleurbaey, M; Tungodden, B; Chang, HF
作者单位：Universite de Pau et des Pays de l'Adour; Norwegian School of Economics (NHH); University of Pennsylvania
