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作者：Ljungqvist, Alexander; Marston, Felicia; Starks, Laura T.; Wei, Kelsey D.; Yan, Hong
作者单位：New York University; University of Virginia; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas; University of South Carolina System; University of South Carolina Columbia; Centre for Economic Policy Research - UK
摘要：Because sell-side analysts are dependent on institutional investors for performance ratings and trading commissions, we argue that analysts are less likely to succumb to investment banking or brokerage pressure in stocks highly visible to institutional investors. Examining a comprehensive sample of analyst recommendations over the 1994-2000 period, we find that analysts' recommendations relative to consensus are positively associated with investment banking relationships and brokerage pressure...
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作者：Ait-Sahalia, Yacine; Kimmel, Robert
作者单位：Princeton University; Princeton University
摘要：We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by proxies based on the implied volatility of a short-dated at-the-money option. The approximation results in a small loss of accuracy relative to the standard...
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作者：Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing (Jeff); Whitelaw, Robert F.
作者单位：New York University; Reichman University; National Bureau of Economic Research; Barclays
摘要：The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g., at temperatures close to or below freezing, a close link exists between FCOJ prices and that fundamental. Using a simple, theoretically motivated, nonlinear, state dependent model, we can explain approximately 50% of the return variation on days ...
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作者：Gopalan, Radhakrishnan; Nanda, Vikram; Seru, Amit
作者单位：Arizona State University; Arizona State University-Tempe; Washington University (WUSTL); University of Chicago
摘要：We investigate the functioning of internal capital markets in Indian Business Groups. We document that intragroup loans are an important means of transferring cash across group firms and are typically used to support financially weaker firms. Evidence suggests that an important reason for providing support may be to avoid default by a group firm and consequent negative spillovers to the rest of the group. Consistent with such spillovers, the first bankruptcy in a group is followed by significa...
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作者：Calvet, Laurent E.; Fisher, Adial J.
作者单位：University of British Columbia; Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Equity prices are driven by shocks with persistence levels ranging from intraday horizons to several decades. To accommodate this diversity, we introduce a parsimonious equilibrium model with regime shifts of heteroaeneous durations in fundamentals, and estimate specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel [1992. No news is good news: an asymmetric model of changing volatility in stock retu...
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作者：Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi
作者单位：Singapore Management University; Washington State University; University of Texas System; University of Texas Arlington; City University of Hong Kong; University of Missouri System; University of Missouri Columbia
摘要：Existing term structure models of defaultable bonds have often underestimated corporate bond spreads. A potential problem is that investors' taxes are ignored in these models. We propose a pricing model that accounts for stochastic default probability and differential tax treatments for discount and premium bonds. By estimating parameters directly from bond data, we obtain significantly positive estimates for the income tax rate of a marginal corporate bond investor after 1986. This contrasts ...
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作者：Beck, Thorsten; Demirguc-Kunt, Ash; Martinez Peria, Maria Soledad
作者单位：The World Bank
摘要：This paper is a first attempt at measuring financial sector outreach and investigating its determinants. First, we present new indicators of banking sector outreach across 99 countries, constructed from aggregate data provided by bank regulators. Second, we show that our indicators closely predict harder-to-collect micro-level statistics of household and firm use of banking services, and are associated with measures of firm financing obstacles in the expected way. Finally, we explore the assoc...
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作者：Schwert, G. William
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作者：Khorana, Ajay; Tufano, Peter; Wedge, Lei
作者单位：Harvard University; University System of Georgia; Georgia Institute of Technology; State University System of Florida; University of South Florida
摘要：We study mutual fund mergers between 1999 and 2001 to understand the role and effectiveness of fund boards. Some fund mergers-typically across-family mergers-benefit target shareholders but are costly to target fund directors. Such mergers are more likely when funds underperform and their boards have a larger percentage of independent trustees, suggesting that more-independent boards tolerate less underperformance before initiating across-family mergers. This effect is most pronounced when all...
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作者：Dallami, Mansoor; Hauswald, Robert
作者单位：American University; The World Bank
摘要：This paper provides an in-depth study of the allocation of a firm's residual risks not explicitly managed through interlocking contracts in the context of project finance. Focusing on the Ras Gas project, we relate its credit spreads as a measure of investor risk perceptions to firm-specific risk factors in the context of 25year supply agreements, debt covenants, and a debt-service guarantee contingent on output prices. Consistent with theoretical predictions, we find that unmanaged risk facto...
