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作者：Broadie, Mark; Chernov, Mikhail; Johannes, Michael
作者单位：Columbia University; University of London; London Business School
摘要：This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically sig...
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作者：MacKay, Peter; Moeller, Sara B.
作者单位：Hong Kong University of Science & Technology; Wake Forest University
摘要：We model and estimate the value of corporate risk management. We show how risk management can add value when revenues and costs are nonlinearly related to prices and estimate the model by regressing quarterly firm sales and costs on the second and higher moments of output and input prices. For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. We validate our approach by regressing Tobin's q on th...
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作者：Christoffersen, Susan E. K.; Geczy, Christopher C.; Musto, David K.; Reed, Adam V.
作者单位：McGill University; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：The standard analysis of corporate governance assumes that shareholders vote in ratios that firms choose, such as one share-one vote. However, if the cost of unbundling and trading votes is sufficiently low, then shareholders choose the ratios. We document an active market for votes within the U.S. equity loan market, where the average vote sells for zero. We hypothesize that asymmetric information motivates the vote trade and find support in the cross section. More trading occurs for higher-s...
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作者：Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
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作者：Chang, Eric C.; Cheng, Joseph W.; Yu, Yinghui
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作者：Gabaix, Xavier; Krishnamurthy, Arvind; Vigneron, Olivier
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University; BNP Paribas
摘要：Limits of Arbitrage theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner prepayment, which is a wash in the aggregate, is priced in the MBS market. The covariance of prepayment risk with aggregate wealth implies the wrong sign to match the observed prices of prepayment risk. The price of ...
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作者：Mian, Atif
作者单位：University of Chicago
摘要：How far does mobility of multinational banks solve problems of financial development? Using a panel of 80,000 loans over 7 years, I show that greater cultural and geographical distance between a foreign bank's headquarters and local branches leads it to further avoid lending to informationally difficult yet fundamentally sound firms requiring relational contracting. Greater distance also makes them less likely to bilaterally renegotiate, and less successful at recovering defaults. Differences ...
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作者：Brau, JC; Fawcett, SE
作者单位：Brigham Young University; Brigham Young University
摘要：We survey 336 chief financial officers (CFOs) to compare practice to theory in the areas of initial public offering (IPO) motivation, timing, underwriter selection, underpricing, signaling, and the decision to remain private. We find the primary motivation for going public is to facilitate acquisitions. CFOs base IPO timing on overall market conditions, are well informed regarding expected underpricing, and feel underpricing compensates investors for taking risk. The most important positive si...
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作者：Guo, Hui; Whitelaw, Robert F.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; New York University; National Bureau of Economic Research
摘要：There is ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is posi...
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作者：Lewellen, K
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Immediately following an initial public offering, underwriters often repurchase shares of poorly performing offerings in an apparent attempt to stabilize the price. Using proprietary Nasdaq data, I study the price effects and determinants of price support. Some of the key findings are (1) Stabilization is substantial, inducing price rigidity at and below the offer price; (2) I find no evidence that stocks with larger information asymmetries are stabilized more strongly; (3) Larger underwriters...
