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作者：He, J; Kan, R; Ng, LL; Zhang, C
作者单位：University of Houston System; University of Houston; University of Toronto; University of Alberta; City University of Hong Kong
摘要：In this article we generalize Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time-varying cavariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. We find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stack returns predicted by firm size and book-to...
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作者：Karolyi, GA; Stulz, RM
作者单位：National Bureau of Economic Research
摘要：This article presents a model for valuing claims subject to default by both contracting parties, such as swaps and forwards. With counterparties of different default risk, the promised cash flows of a swap are discounted by a switching discount rate that, at any given state and time, is equal to the discount rate of the counterparty for whom the swap is currently out of the money (that is, a liability). The impact of credit-risk asymmetry and of netting is presented through both theory and num...
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作者：Falkenstein, EG
摘要：This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards stocks with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are relevant to theories concerning investor recognition, a potential agency problem in mutual funds, tests of trend-following and herd behavior by mutual funds, and corporate finance.
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作者：Ghysels, E
作者单位：Universite de Montreal
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作者：Houston, J; James, C
摘要：This article examines the determinants of the mix of private and public debt using detailed information on the debt structure of 250 publicly traded corporations from 1980 through 1990. We find that the relationship between bank borrowing and the importance of growth opportunities depends on the number of banks the firm uses and whether the firm has public debt outstanding. For firms with a single bank relationship, the reliance on bank debt is negatively related to the importance of growth op...
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作者：Benos, AV
作者单位：Hautes Etudes Commerciales (HEC) Paris
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作者：Jones, CM; Kaul, G
作者单位：University of Michigan System; University of Michigan
摘要：We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than...
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作者：Guedes, J; Opler, T
作者单位：Universidade Catolica Portuguesa; University System of Ohio; Ohio State University
摘要：We document the determinants of the term to maturity of 7,369 bonds and notes issued between 1982 and 1993. Our main finding is that large firms with investment grade credit ratings typically borrow at the short end and at the long end and of the maturity spectrum, while firms with speculative grade credit ratings typically borrow in the middle of the maturity spectrum. This pattern is consistent with the theory that risky firms do not issue short-term debt in order to avoid inefficient liquid...
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作者：Ghysels, E
作者单位：Universite de Montreal
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作者：Krinsky, I; Lee, J
作者单位：New York University; Hong Kong Polytechnic University
摘要：This study investigates the behavior of the components of the bid-ask spread around earnings announcements. We find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Our results suggest that the directional change in the total bid-ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreas...
