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作者：Denis, DK; McConnell, JJ; Ovtchinnikov, AV; Yu, Y
作者单位：Purdue University System; Purdue University
摘要：Stock price increases associated with addition to the S&P 500 Index have been interpreted as evidence that demand curves for stocks slope downward. A key premise underlying this interpretation is that Index inclusion provides no new information about companies' future prospects. We examine this premise by analyzing analysts' earnings per share (eps) forecasts around Index inclusion and by comparing postinclusion realized earnings to preinclusion forecasts. Relative to benchmark companies, comp...
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作者：Pilotte, EA
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：One explanation for the negative relationship between short-horizon stock returns and inflation is that inflation proxies (inversely) for expected future real output. In this paper, I examine the possibility that inflation also proxies for variation in real price/dividend ratios (excess returns). I show that when the covariance between real price/dividend ratios and inflation is nonzero, the relationship between returns and expected inflation differs for the two components of returns: dividend...
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作者：Goldman, E; Slezak, SL
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati
摘要：This paper examines how information becomes reflected in prices when investment decisions are delegated to fund managers whose tenure may be shorter than the time it takes for their private information to become public. We consider a sequence of managers, where each subsequent manager inherits the portfolio of their predecessor. We show that the inherited portfolio distorts the subsequent manager's incentive to trade on long-term information. This allows erroneous past information to persist, ...
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作者：Jagannathan, R; Ma, TS
作者单位：Utah System of Higher Education; University of Utah; Northwestern University; National Bureau of Economic Research
摘要：Green and Hollifield (1992) argue that the presence of a dominant factor would result in extreme negative weights in mean-variance efficient portfolios even in the absence of estimation errors. In that case, imposing no-short-sale constraints should hurt, whereas empirical evidence is often to the contrary We reconcile this apparent contradiction. We explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfolios even when the constraints are wr...
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作者：O'Hara, M
作者单位：Cornell University
摘要：This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and T argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems ...
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作者：Ljungqvist, A; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Oxford; University of Virginia
摘要：IPO underpricing reached astronomical levels during 1999 and 2000. We show that the regime shift in initial returns and other elements of pricing behavior can be at least partially accounted for by marked changes in pre-IPO ownership structure and insider selling behavior over the period, which reduced key decision, makers' incentives to control underpricing. After controlling for these changes, the difference in underpricing between 1999 and 2000 and the preceding three years is much reduced....
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作者：Hasbrouck, J
摘要：The market for U.S. equity indexes presently comprises floor-traded index futures contracts, exchange-traded funds (ETFs), electronically traded, small-denomination futures contracts (E-minis), and sector ETFs that decompose the S&P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S&P 500 and Nasdaq-100 indexes, most of the price discovery occurs in the E-mini market. For the S&P 400 MidCap index, price discovery is ...
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作者：Chan, K; Hameed, A; Lau, ST
作者单位：Hong Kong University of Science & Technology; National University of Singapore; Nanyang Technological University
摘要：We examine the price behavior and market activity of the Jardine Group companies after they were delisted from Hong Kong in 1994. Although the trading activity of the Jardine Group moved to Singapore, the core businesses remained in Hong Kong and Mainland China. Evidence indicates the Jardine stocks are correlated less (more) with the Hong Kong (Singapore) market after the delisting. This result cannot be explained by various hypotheses, such as relocation of core business, time-varying betas,...
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作者：Garvey, G; Milbourn, T
作者单位：Washington University (WUSTL); Claremont Colleges; Claremont Graduate University
摘要：Little evidence exists that firms index executive compensation to remove the influence of marketwide factors. We argue that executives can, in principle, replicate such indexation in their private portfolios. In support, we find that market risk has little effect on the use of stock-based pay for the average executive. But executives' ability to undo excessive market risk can be hindered by wealth constraints and inalienability of human capital. We replicate the standard result that there is l...
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作者：Cohen, RB; Polk, C; Vuolteenaho, T
作者单位：Harvard University; Northwestern University; Northeastern University; Harvard University; National Bureau of Economic Research
摘要：,We decompose the cross-sectional variance of firms' book-to-market ratios using both a long US. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20 to 25 percent) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fracti...
