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作者：DeSantis, G; Gerard, B
摘要：We test the conditional capital asset pricing model (CAPM) for the worlds eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable du...
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作者：Berger, PG; Ofek, E; Yermack, DL
作者单位：New York University
摘要：We study associations between managerial entrenchment and firms' capital structures, with results generally suggesting that entrenched CEOs seek to avoid debt. In a cross-sectional analysis, we find that leverage levels are lower when CEOs do not face pressure from either ownership and compensation incentives or active monitoring. In an analysis of leverage changes, we find that leverage increases in the aftermath of entrenchment-reducing shocks to managerial security, including unsuccessful t...
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作者：Kairys, JP; Valerio, N
作者单位：Emory University
摘要：The introduction of exchange-traded options in 1973 led to explosive growth in the stock options market, but put and call options on equity securities have existed for more than a century. Prior to the listing of option contracts, trading was conducted in an order-driven over-the-counter market. From 1873 to 1875, quotes for options contracts were published weekly in The Commercial and Financial Chronicle during a period that saw extensive marketing efforts by a number of brokerage firms. In t...
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作者：Denis, David J.; Denis, Diane K.; Sarin, Atulya
作者单位：Purdue University System; Purdue University
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作者：Hermalin, Benjamin E.; Wallace, Nancy E.
作者单位：University of California System; University of California Berkeley
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作者：Pulvino, Todd C.
作者单位：Northwestern University
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作者：[Anonymous]
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作者：Green, RC; Odegaard, BA
摘要：We investigate the impact of the Tax Reform Act of 1986 on the relative pricing of U.S. Treasury bonds. We obtain positive statistically and economically significant estimates for the implicit tax rates of a ''representative'' investor in the late 1970s and early 1980s. After the 1986 Tax Reform, the point estimates for the tax rate are close to zero. Tests for a regime shift associated with the 1986 Tax Reform support the hypothesis that this event largely eliminated tax effects from the term...
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作者：Hansen, LP; Jagannathan, R
作者单位：National Bureau of Economic Research; Federal Reserve System - USA
摘要：In this article we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi(2) statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. We demons...
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作者：Domowitz, I; Glen, J; Madhavan, A
作者单位：University of Southern California
摘要：We examine the relationship between stock prices and market segmentation induced by ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate between foreign and domestic traders, and between domestic individuals and institutions. Significant stock price premia are documented for shares not restricted to a particular investor group. We analyze the theoretical and empirical determinants of premia across firms and over time. In addition to economy-wide facto...
