-
作者：Gompers, P; Lerner, J
作者单位：Harvard University; National Bureau of Economic Research
摘要：Venture capital distributions, a legal form of insider trading, provides an ideal arena for examining the share price impact of transactions by informed parties. These sales, which occur after substantial run-ups in share value, generate a substantial price reaction immediately around the event. In the months after distribution, returns apparently continue to be negative. When the short- and long-run reactions are decomposed, they are consistent with the view that venture capitalists use insid...
-
作者：He, J; Ng, LK
作者单位：Chinese University of Hong Kong; Hong Kong University of Science & Technology; University of Southern California
摘要：We find that about 25 percent of our sample of 171 Japanese multinationals' stock returns experienced economically significant positive exposure effects for the period January 1979 to December 1993. The extent to which a firm is exposed to exchange-rate fluctuations can be explained by the level of its export ratio and by variables that are proxies for its hedging needs. Highly leveraged firms, or firms with low liquidity, tend to have smaller exposures. Foreign exposure is found to increase w...
-
作者：Weinstein, DE; Yafeh, Y
作者单位：University of Michigan System; University of Michigan; Hebrew University of Jerusalem
摘要：We examine the effects of bank-firm relationships on firm performance in Japan. When access to capital markets is limited, close bank-firm ties increase the availability of capital to borrowing firms, but do not lead to higher profitability or growth. The cost of capital of firms with close bank ties is higher than that of their peers. This indicates that most of the benefits from these relationships are appropriated by the banks. Finally, the slow growth rates of bank clients suggest that ban...
-
作者：Canina, L; Michaely, R; Thaler, R; Womack, K
作者单位：Cornell University; University of Chicago; National Bureau of Economic Research
摘要：This paper issues a warning that compounding daily returns of the Center for Research in Security Prices (CRSP) equal-weighted index can lead to surprisingly large biases. The differences between the monthly returns compounded from the daily tapes and the monthly CRSP equal-weighted indices is almost 0.43 percent per month, or 6 percent per year. This difference amounts to one third of the average monthly return, and is large enough to reverse the conclusions of a paper using the daily tape to...
-
作者：Stevens, GVG
作者单位：Federal Reserve System - USA
摘要：The goal of this paper is the derivation and application of a direct characterization of the inverse of the covariance matrix central to portfolio analysis. Such a characterization, in terms of a few primitive constructs, provides the basis for new and illuminating expressions for key concepts as the optimal holding of a given risky asset and the slope of the risk-return efficiency frontier faced by the individual investor The building blocks of the inverse turn out to be the regression coeffi...
-
作者：Zhou, ZQ
作者单位：Washington University (WUSTL)
摘要：We develop a simple commodity model to analyze (i) the effects of hedging with liquidity constraints, due to producers' inability to bear unlimited trading losses, (ii) the role of speculation in the process of risk allocation between consumers and producers, and (iii) the equilibrium implications of government price subsidies to the producers. We find that (1) liquidity constraints can cause futures prices to exhibit mean reversion, which then makes speculation profitable; (2) speculation ten...
-
作者：Scruggs, JT
作者单位：Washington University (WUSTL)
摘要：The existing empirical literature fails to agree on the nature of the intertemporal relation between risk and return. This paper attempts to resolve the issue by estimating a conditional two-factor model motivated by Merton's intertemporal capital asset pricing model. When long-term government bond returns are included as a second factor, the partial relation between the market risk premium and conditional market variance is found to be positive and significant. The paper also helps explain th...
-
作者：Bolton, P; von Thadden, EL
作者单位：Universite Libre de Bruxelles; Tilburg University; University of Lausanne
摘要：The paper develops a simple model of corporate ownership structure in which costs and benefits of ownership concentration are analyzed. The model compares the liquidity benefits obtained through dispersed corporate ownership with the benefits from efficient management control achieved by some degree of ownership concentration. The paper reexamines the free-rider problem in corporate control in the presence of liquidity trading, derives predictions for the trade and pricing of blocks, and provi...
-
作者：Dewenter, KL; Warther, VA
作者单位：University of Washington; University of Washington Seattle; University of Michigan System; University of Michigan; University of Chicago
摘要：We compare dividend policies of U.S. and Japanese firms, partitioning the Japanese data into keiretsu, independent, and hybrid firms. We examine the correlation between dividend changes and stock returns, and the reluctance to change dividends. Results are consistent with the joint hypotheses that Japanese firms, particularly keiretsu-member firms, face less information asymmetry and fewer agency conflicts than U.S. firms, and that information asymmetries and/or agency conflicts affect dividen...
-
作者：Ait-Sahalia, Y; Lo, AW
作者单位：University of Chicago; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); International Business Machines (IBM); IBM USA
摘要：Implicit in the prices of traded financial assets are Arrow-Debreu prices or, with continuous states, the state-price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and we derive its asymptotic sampling theory. This estimator provides an arbitrage-free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, for example, negative skewness and excess ku...
