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作者：Hirshleifer, D
作者单位：University System of Ohio; Ohio State University
摘要：The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understanding decision biases, evaluates the a priori arguments and the capital market evidence bearing on the importance of investor psychology for security prices, and reviews recent models.
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作者：Daniel, KD; Hirshleifer, D; Subrahmanyam, A
作者单位：Northwestern University; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
摘要：This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios). With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental/pr...
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作者：Chalmers, JMR; Edelen, RM; Kadlec, GB
作者单位：University of Oregon; University of Pennsylvania; Virginia Polytechnic Institute & State University
摘要：Economic distortions can arise when financial claims trade at prices set by an intermediary rather than direct negotiation between principals. We demonstrate the problem in a specific context, the exchange of open-end mutual fund shares. Mutual funds typically set fund share price (NAV) using an algorithm that fails to account for nonsynchronous trading in the fund's underlying securities. This results in predictable changes in NAV, which lead to exploitable trading opportunities. A modificati...
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作者：Elton, EJ; Gruber, MJ; Blake, CR
作者单位：New York University; Fordham University
摘要：This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual Fund Database (CRSP, 1998) and compares returns contained in it to those in Morning-star. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP, return data is missing for many and the characteristics of these funds differ from the populations. The CRSP return data is biased upward and merger months are inaccurately recorded about half the time. ...
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作者：Wang, ZY
作者单位：Columbia University
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作者：Benink, H; Bossaerts, P
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We attempt to translate Neo-Austrian ideas about the workings of financial markets, as originally advanced by F.A. Hayek, into the standard probabilistic language of modern finance. We focus on an apparent paradox, namely the insistence of Neo-Austrians on order (i.e., stationarity) together with ever-reemerging inefficiencies. The paper's findings have implications beyond Neo-Austrian theory: They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to dis...
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作者：Poterba, JM; Weisbenner, SJ
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Changes in the capital gains tax rules facing individual investors do not affect the incentives for window dressing by institutional investors, but they can affect the incentives for year-end tax-induced trading by individual investors. Empirical evidence for the 1963 to 1996 period suggests that when the tax law encouraged taxable investors who accrued losses early in the year to realize their losses before year-end, the correlation between early year losses and turn-of-the-year returns was w...
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作者：Allen, F
作者单位：University of Pennsylvania
摘要：In standard asset pricing theory, investors are assumed to invest directly in financial markets. The role of financial institutions is ignored. The focus in corporate finance is on agency problems. How do you ensure that managers act in shareholders' interests? There is an inconsistency in assuming that when you give your money to a financial institution there is no agency problem, but when you give it to a firm there is. It is argued that both areas need to take proper account of the role of ...
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作者：Bhattacharya, S; Nicodano, G
作者单位：University of London; London School Economics & Political Science; University of Turin
摘要：We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment choices by agents. Noise trading arises from aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare levels of outsiders can thus be ascertained. The allocations without insider trading are not ex ante Pareto efficient, because our model differs from standard ones with negative exponential utility functions and ...
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作者：Ferson, WE; Siegel, AF
作者单位：University of Washington; University of Washington Seattle
摘要：We study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest Variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing.
