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作者：Chapman, DA; Pearson, ND
作者单位：University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Ait-Sahalia (1996) and Stanton (1997). Combined with the results of a weig...
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作者：Ellis, K; Michaely, R; O'Hara, M
作者单位：Cornell University; Tel Aviv University
摘要：This paper examines aftermarket trading of underwriters and unaffiliated market makers in the three-month period after an IPO. We find that the lead underwriter is always the dominant market maker; he takes substantial inventory positions in the aftermarket trading, and co-managers play a negligible role in aftermarket trading. The lead underwriter engages in stabilization activity for less successful IPOs, and uses the overallotment option to reduce his inventory risk. Compensation to the und...
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作者：Balvers, R; Wu, YR; Gilliland, E
作者单位：West Virginia University; Rutgers University System; Rutgers University New Brunswick
摘要：For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specificatio...
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作者：Hendershott, T; Mendelson, H
作者单位：University of Rochester; Stanford University
摘要：This paper studies the interaction between dealer markets and a relatively new form of exchange, passive crossing networks, where buyers and sellers trade directly with one another We find that the crossing network is characterized by both positive (liquidity) and negative (crowding) externalities, and we analyze the effects of its introduction on the dealer market. Traders who use the dealer market as a market of last resort can induce dealers to widen their spread and can lead to more effici...
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作者：Bunch, DS; Johnson, H
作者单位：University of California System; University of California Davis; University of California System; University of California Riverside
摘要：We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first-passage probabilities. This approach yields intuition for Merton's result for the perpetual put. We then consider the finite-lived case. Using (1) the fact that the put value ceases to depend on time when the critical stock price is reached and (2) the result that an American put equals a European put plus an early-exercise premium, we derive the critic...
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作者：Zingales, L
作者单位：University of Chicago; National Bureau of Economic Research
摘要：In this paper I argue that corporate finance theory, empirical research, practical applications, and policy recommendations are deeply rooted in an underlying theory of the firm. I also argue that although the existing theories have delivered very important and useful insights, they seem to be quite ineffective in helping us cope with the new type of firms that is emerging. I outline the characteristics that a new theory of the firm should satisfy and how such a theory could change the way we ...
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作者：Cao, C; Ghysels, E; Hatheway, F
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper studies Nasdaq market makers' activities during the one and one-half hour preopening period. Price discovery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, Nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bear...
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作者：Coles, JL; Suay, J; Woodbury, D
作者单位：Arizona State University; Arizona State University-Tempe; University of Arizona; Brigham Young University; Brigham Young University - Hawaii
摘要：This paper examines the relation between the premium on closed-end funds and organizational features of the funds and advisors, including the compensation scheme of the investment advisor. We find that the fund premium is larger when: (a) the advisor's compensation is more sensitive to fund performance; (b) the assets managed by the advisor are concentrated in the fund in question; (c) the advisor manages other funds with low compensation sensitivity to performance and with low concentration o...
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作者：Sundaresan, SM
作者单位：Columbia University
摘要：I survey and assess the development of continuous-time methods in finance during the last 30 years, The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen significant progres...
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作者：Chordia, T; Swaminathan, B
作者单位：Vanderbilt University; Cornell University
摘要：This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume port folios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confir...
