-
作者：Berk, JB; Green, RC; Naik, V
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Carnegie Mellon University; University of British Columbia
摘要：As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time-series relation between the book-to-market ratio and asset returns; (ii) the cross-sectional relation between book-to-market, market value, and return; (iii) contrarian effects at short ...
-
作者：Metrick, A
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper analyzes the equity-portfolio recommendations made by investment newsletters. Overall, there is no significant evidence of superior stock-picking ability for this sample of 153 newsletters. Moreover, there is no evidence of abnormal short-run performance persistence (hot hands). The comprehensive and bias-free transactions database also allows for insights into the precision of performance evaluation. Using a measure of precision defined in the paper, a transactions-based approach y...
-
作者：Brandt, MW
作者单位：University of Pennsylvania
摘要：This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time-varying investment opportunities. I estimate single-period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one-month to 20-year horizon. The investor allocates wealth to the NYSE index and a 30-day Treasury bill. I find that the portfolio choice varies significantly with the dividend yield, default premium...
-
作者：Hargis, K
-
作者：Eberhart, AC; Altman, EI; Aggarwal, R
作者单位：Georgetown University; New York University
摘要：This study assesses the stock return performance of 131 firms emerging from Chapter 11. Using differing estimates of expected returns, we consistently find evidence of large, positive excess returns in 200 days of returns following emergence. We also examine the reaction of our sample firms' equity returns to their earnings announcements after emergence from Chapter II. The positive and significant reactions suggest that our results are driven by the market's expectational errors, not mismeasu...
-
作者：Crowder, WJ; Wohar, ME
作者单位：University of Texas System; University of Texas Arlington; University of Nebraska System
摘要：Are nominal bonds appropriately discounted for taxes? Empirical estimates of the response of nominal interest rates to changes in inflation, the Fisher effect, have failed to produce a definitive answer. Four reasons have been put forward as possible explanations: (i) Tobin effects, (ii) fiscal illusion, (iii) peso problems, and (iv) different estimators. Utilizing data on taxable and tax-exempt bond interest rates and several different estimators, we find that the Fisher effect estimates are ...
-
作者：Dunn, KB; Spatt, CS
作者单位：Carnegie Mellon University
摘要：We analyze the impact of a contract's length, callability, amortization, and original discount by arbitrage methods. Among instruments that are callable without penalty, longer instruments command a higher interest rate because the borrower possesses the option of repaying relatively more slowly. However, the rate on longer self-amortizing loans cannot be substantially larger than for shorter ones because the payments decrease with contract length. Bounds on the trade-off between points and ra...
-
作者：Sullivan, R; Timmermann, A; White, H
作者单位：University of California System; University of California San Diego; University of London; London School Economics & Political Science
摘要：In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26...
-
作者：Nofsinger, JR; Sias, RW
作者单位：Marquette University; Washington State University
摘要：We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive-feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in instituti...
-
作者：Greene, J; Smart, S
作者单位：University System of Georgia; Georgia State University; Indiana University System; Indiana University Bloomington
摘要：How does increased noise trading affect market liquidity and trading costs? We use The Wall Street Journal's Investment Dartboard column, which stimulates noise trading, as a natural experiment to evaluate models of the bid-ask spread. We find that substantial increases in trading Volume and significant but temporary abnormal returns occur when analysts recommend stocks in this column, especially when recommendations come from analysts with successful contest track records. We also find an inc...
