-
作者：Barclay, MJ; Hendershott, T
作者单位：University of Rochester; University of California System; University of California Berkeley
摘要：This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to four times larger than during the trading day. The higher spreads reflect greater adverse selection and order persistence, but not higher dealer profits. Because liquidity provision remains competitive af...
-
作者：Maheu, JM; McCurdy, TH
作者单位：University of Toronto; University of Toronto
摘要：This paper models components of the return distribution, which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. A heterogeneous Poisson process with a time-varying conditional intensity parameter governs the likelihood of jumps. Unlike typical jump models with stochastic volatility, previous realizations of both jump and normal innovations can feed back asymmetrically into expected volatility. T...
-
作者：Mitchell, M; Pulvino, T; Stafford, E
作者单位：Northwestern University; Harvard University
摘要：This paper examines the trading behavior of professional investors around 2,130 mergers announced between 1994 and 2000. We find considerable support for the existence of price pressure around mergers caused by uninformed shifts in excess demand, but that these effects are short-lived, consistent with the notion that short-run demand curves for stocks are not perfectly elastic. We estimate that nearly half of the negative announcement period stock price reaction for acquirers in stock-financed...
-
作者：Eraker, B
作者单位：Duke University
摘要：This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and with state-dependent arrival intensity. We discuss how to perform likelihood-based inference based upon joint options/returns data and present estimates of risk premiums for jump and volatility risks. The paper finds that while complex jump specif...
-
作者：Vassalou, M; Xing, YH
作者单位：Columbia University; Rice University
摘要：This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that...
-
作者：Ang, A; Liu, J
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time-varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk-free rates, predictable risk premiums, and conditional betas in the context of a conditional CAPM. Practical valuation is accomplished with an analytic term structure of discount rates, with different discount rates applied to expected cashflows at ...
-
作者：Kaplan, SN; Strömberg, P
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We study the investment analyses of 67 portfolio investments by 11 venture capital (VC) firms. VCs describe the strengths and risks of the investments as well as expected postinvestment actions. We classify the risks into three categories and relate them to the allocation of cash flow rights, contingencies, control rights, and liquidation rights between VCs and entrepreneurs. The risk results suggest that agency and hold-up problems are important to contract design and monitoring, but that ris...
-
作者：Schroder, M
作者单位：Michigan State University; Michigan State University's Broad College of Business
摘要：We obtain a large class of discrete-time risk-neutral valuation relationships, or preference-free derivatives pricing models, by imposing a simple restriction on the state-price density process. The risk-neutral stock-return and forward-rate dynamics are obtained by changing only a location parameter, which can be determined independent of the preference and true location parameters. The Gaussian models of Rubinstein (1976), Brennan (1979), and C (a) over cap mera (2003), and the gamma model o...
-
作者：Diamond, DW
作者单位：University of Chicago
摘要：In legal systems with expensive or ineffective contract enforcement, it is difficult to induce lenders to enforce debt contracts. If lenders do not enforce, borrowers will have incentives to misbehave. Lenders have incentives to enforce given bad news when debt is short-term and subject to runs caused by externalities across lenders. Lenders will not undo these externalities by negotiation. The required number of lenders increases with enforcement costs. A very high enforcement cost can exceed...
-
作者：Kini, O; Kracaw, W; Mian, S
作者单位：University System of Georgia; Georgia State University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Emory University
摘要：This paper provides a comprehensive examination of the disciplinary role of the corporate takeover market using a sample of US. target firms over the period 1979 to 1998. The time period spanned allows a broader study not only of the disciplinary role of the takeover market in general, but also of the interaction between the takeover market and alternative governance mechanisms during the 1980s and 1990s. Overall, our evidence is consistent with the view of the corporate takeover market as a c...
