-
作者：Xia, YH
作者单位：University of Pennsylvania
摘要：This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a long-horizon investor. Uncertainty about the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment horizon. There is substantial market timing in the optimal hedge demands, which is caused by stochastic covariance bet...
-
作者：Andersen, TG; Bollerslev, T; Das, A
作者单位：Northwestern University; Duke University; National Bureau of Economic Research
摘要：Variance-ratio tests are routinely employed to assess the Variation in return Volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday Volatility pattern following the removal of trading restrictions in Tokyo. Contrary t...
-
作者：Baks, KP; Metrick, A; Wachter, J
作者单位：University of Pennsylvania; New York University
摘要：This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some e...
-
作者：Coval, JD; Shumway, T
作者单位：University of Michigan System; University of Michigan
摘要：This paper examines expected option returns in the context of mainstream asset-pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk-free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero-beta, at-the-mone...
-
作者：Campbell, JY
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the Economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts abou...
-
作者：La Porta, R; Lopez-de-Silanes, F; Shleifer, A; Vishny, RW
作者单位：Harvard University; University of Chicago
摘要：This paper outlines and tests two agency models of dividends. According to the outcome model, dividends are paid because minority shareholders pressure corporate insiders to disgorge cash. According to the substitute model, insiders interested in issuing equity in the future pay dividends to establish a reputation for decent treatment of minority shareholders. The first model predicts that stronger minority shareholder rights should be associated with higher dividend payouts; the second model ...
-
作者：Ané, T; Geman, H
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：The goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change. Clark (1973) addressed this issue by representing the price process as a subordinated process with volume as the lognormally distributed subordinator. We extend Clark's results and find the following: (i) stochastic time chang-es are mathematically much less constraining than subordinators; (ii) the cumulative number of trades is a better stochastic clock than the volume for gen...
-
作者：Wermers, R
作者单位：University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds Dick stocks well enough to cover their costs. Also, high-turnover funds beat the Van...
-
作者：Conroy, RM; Eades, KM; Harris, RS
作者单位：University of Virginia
摘要：We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends ...
-
作者：Davis, JL; Fama, EF; French, KR
作者单位：Kansas State University; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：The Value premium in U.S. stock returns is robust. The positive relation between average return and beak-to-market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three-factor risk model explains the value premium better than the hypothesis that the book-to-market characteristic is compensated irrespective of risk loadings.
