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作者：Wachter, JA
作者单位：University of Pennsylvania
摘要：This paper proposes a consumption-based model that accounts for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated to data on consumption, inflation, and the aggregate market, the model produces realistic means and volatilities of bond yields and accounts for the expectations puzzle. ...
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作者：Cook, Douglas O.; Kieschnick, Robert; Van Ness, Robert A.
作者单位：University of Texas System; University of Texas Dallas; University of Alabama System; University of Alabama Tuscaloosa; University of Mississippi
摘要：Derrien [2005. Journal of Finance 60, 487-521] and Ljungqvist et al. [2006. Journal of Business] build upon the work of Miller [1977. Journal of Finance 32, 1151-1168] and claim that issuers and the regular customers of investment bankers benefit from the presence of sentiment investors (noise traders) in the market for an initial public offering (IPO). Thus we argue that investment bankers have an incentive to promote an IPO to induce sentiment investors into the market for it. Consistent wit...
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作者：Henderson, Brian J.; Jegadeesh, Narasinihan; Weisbach, Michael S.
作者单位：National Bureau of Economic Research; Seton Hall University; Emory University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine the extent to which firms from different countries rely on alternative sources of capital, the locations in which they raise capital, and the factors that affect these choices. During the 1990-2001 period, firms raised about $25.3 trillion of new capital, including $4.9 trillion from abroad. International debt issuances are substantially more common than equity issuances, with debt (equity) issues accounting for 87% (9%) of all securities issued internationally, and about 20% (12%) ...
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作者：Bergstresser, Daniel; Philippon, Thomas
作者单位：Harvard University; New York University
摘要：We provide evidence that the use of discretionary accruals to manipulate reported earnings is more pronounced at firms where the CEO's potential total compensation is more closely tied to the value of stock and option holdings. In addition, during years of high accruals, CEOs exercise unusually large numbers of options and CEOs and other insiders sell large quantities of shares. (c) 2005 Elsevier B.V. All rights reserved.
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作者：Jin, L; Myers, SC
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：Morck, Yeung and Yu show that R-2 is higher in countries with less developed financial systems and poorer corporate governance. We show how control rights and information affect the division of risk bearing between managers and investors. Lack of transparency increases R-2 by shifting firm-specific risk to managers. Opaque stocks with high R(2)s are also more likely to crash, that is, to deliver large negative returns. Using stock returns from 40 stock markets from 1990 to 2001, we find strong...
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作者：Liu, Weimin
作者单位：University of Manchester
摘要：Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama-French three-factor model and shows that liquidity is an important source of priced risk. A two-factor (market and liquidity) model well explains the cross-section of stock returns, describing the liquidity premium, subsuming documented anomalies associated with size, long-term contrarian investment, and fundamental (cashflow, earnings, and dividend) to price ratios. In partic...
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作者：Basak, Suleyman; Croitoru, Benjamin
作者单位：McGill University; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：We investigate the role of arbitrageurs, who exploit price discrepancies between redundant securities. Arbitrage opportunities arise endogenously in an economy populated by rational, heterogeneous investors facing investment restrictions. We show that an arbitrageur alleviates these restrictions and improves the transfer of risk amongst investors. When the arbitrageur behaves noncompetitively, taking into account the price impact of his trades, he optimally limits the size of his positions due...
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作者：Bandi, FM; Russell, JR
作者单位：University of Chicago
摘要：There are two variance components embedded in the returns constructed using high frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high frequency return data recorded at different frequencies, we provide a simple and robust technique to identify both variance components. In the context of a volatility-timing trading strate...
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作者：Brown, WO Jr; Burdekin, RCK; Weidenmier, MD
作者单位：Claremont Colleges; Claremont McKenna College; Claremont Graduate University; National Bureau of Economic Research
摘要：Although it has been well established that financial volatility is related to news and macroeconomic shocks, less emphasis has been placed on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic Wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. ...
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作者：Rauh, Joshua D.
作者单位：University of Chicago
摘要：If managers induce employees to hold company stock in defined contribution pension plans as a form of takeover defense, then changes in state laws that enhance managerial protection should lead to a reduction in employer stock in 401(k) plans. Delaware's mid-1990s validation of the poison pill in conjunction with a staggered board was followed by a significant decline in employee ownership within defined contribution plans for firms incorporated in Delaware. Evidence using governance data sugg...
