-
作者：GORTON, G; ROSEN, R
作者单位：National Bureau of Economic Research; Indiana University System; Indiana University Bloomington
摘要：In the 1980s, U.S. banks became systematically less profitable and riskier as non-bank competition eroded the profitability of banks' traditional activities. Bank failures rose exponentially during this decade. The leading explanation for the persistence of these trends centers on fixed-rate deposit insurance: the insurance gives bank equity holders an incentive to take on risk when the value of bank charters falls. We propose and test an alternative explanation based on corporate control cons...
-
作者：BROWN, SJ; GOETZMANN, WN; ROSS, SA
作者单位：New York University
-
作者：BROWN, SJ; GOETZMANN, WN
作者单位：Yale University
-
作者：NOE, TH; RAMAMURTIE, BS
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then we relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, we demonstrate that informational differen...
-
作者：BESSEMBINDER, H; COUGHENOUR, JF; SEGUIN, PJ; SMOLLER, MM
作者单位：University of Massachusetts System; University of Massachusetts Boston; University of Michigan System; University of Michigan; Wayne State University
摘要：We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially l...
-
作者：BROWN, SJ; GOETZMANN, WN; ROSS, SA
作者单位：Yale University
摘要：Empirical analysis of rates of return in finance implicitly condition on the security surviving into the sample. We investigate the implications of such conditioning on the time series of rates of return. In general this conditioning induces a spurious relationship between observed return and total risk for those securities that survive to be included in the sample. This result has immediate implications for the equity premium puzzle. We show how these results apply to other outstanding proble...
-
作者：CHEN, NF; CUNY, CJ; HAUGEN, RA
作者单位：Hong Kong University of Science & Technology
摘要：This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.
-
作者：DUMAS, B; SOLNIK, B
作者单位：National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equ...
-
作者：BEKAERT, G; HARVEY, CR
作者单位：National Bureau of Economic Research; Duke University
摘要：We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented...
-
作者：EVANS, MDD; LEWIS, KK
作者单位：National Bureau of Economic Research
摘要：Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one-for-one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long-run relationship between nominal interest rates and inflation. Interestingl...
