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作者：Gebhardt, WR; Hvidkjaer, S; Swaminathan, B
作者单位：Cornell University; University System of Maryland; University of Maryland College Park
摘要：This paper finds that default betas are significantly related to the cross-section of average bond returns even after controlling for characteristics such as duration, ratings, and yield-to-maturity. Among characteristics, only yield-to-maturity is significantly related to average bond returns after controlling for default and term betas. The default and term factors are able to price the returns of beta-sorted portfolios better than they do the returns of yield-sorted portfolios. The magnitud...
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作者：Greenwood, R
作者单位：Harvard University
摘要：I develop a framework to analyze demand curves for multiple risky securities at extended horizons in a setting with firnits-to-arbitrage. Following an unexpected change in uninformed investor demand for several assets, I predict returns of each security to be proportional to the contribution of that security's demand shock to the risk of a diversified arbitrage portfolio. I show that securities that are not affected by demand shocks but are correlated with securities undergoing changes in dema...
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作者：Buraschi, A; Jiltsov, A
作者单位：University of London; London Business School
摘要：We study the properties of the nominal and real risk premia of the term structure of interest rates. We develop and solve the bond pricing implications of a structural monetary version of a real business cycle model, with taxes and endogenous monetary policy. We show the relation of this model with the class of essentially affine models that incorporate an endogenous state-dependent market price of risk. We characterize and estimate the inflation risk premium and find that over the last 40 yea...
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作者：Ozbas, O
作者单位：University of Southern California
摘要：Does the level of integration of a firm affect the quality of information available to its top decision makers responsible for allocating resources? Motivated by the pervasiveness of specific knowledge in large multi-division firms, I develop a model of internal competition for corporate resources among specialist managers and show that: (i) managers of integrated firms exaggerate the payoffs of their projects to obtain resources despite potentially adverse career consequences, and (ii) the ex...
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作者：Merrick, JJ Jr; Naik, NY; Yadav, PK
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); University of London; London Business School; Lancaster University
摘要：This paper investigates an attempted delivery squeeze in a bond futures contract traded in London. Using cash and futures trades of dealers and customers, we analyze their strategic trading behavior, price distortion, and learning in a market manipulation setting. We argue that marked differences in settlement failure penalties in the cash and futures markets create conditions that favor squeezes. We recommend that regulators require special flagging of forward term repurchase agreements on th...
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作者：Bjonnes, GH; Rime, D
作者单位：Norges Bank; BI Norwegian Business School
摘要：We study dealer behavior in the foreign exchange spot market using detailed observations on all the transactions of four interbank dealers. There is strong support for an information effect in incoming trades. The direction of trade is most important, but we also find that the information effect increases with trade size in direct bilateral trades. All four dealers control their inventory intensively. Inventory control is not, however, manifested through a dealer's own prices in contrast to fi...
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作者：Grenadier, SR; Wang, N
作者单位：Columbia University; National Bureau of Economic Research; Stanford University
摘要：This paper provides a model of investment timing by managers in a decentralized firm in the presence of agency conflicts and information asymmetries. When investment decisions are delegated to managers, contracts must be designed to provide incentives for managers to both extend effort and truthfully reveal private information. Using a real options approach, we show that an underlying option to invest can be decomposed into two components: a manager's option and an owner's option. The implied ...
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作者：Grinblatt, M; Han, B
作者单位：University of California System; University of California Los Angeles; University System of Ohio; Ohio State University
摘要：The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental Values and the updating of reference prices, generates predictable equilibrium prices interpretable as possessing momentum. Empirically, a variable proxying for aggregate unrealized capit...
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作者：Cochrane, JH
作者单位：University of Chicago
摘要：This paper measures the mean, standard deviation, alpha, and beta of venture capital investments, using a maximum likelihood estimate that corrects for selection bias. The bias-corrected estimation neatly accounts for log returns. It reduces the estimate of the mean log return from 108% to 15%, and of the log market model intercept from 92% to -7%. The selection bias correction also dramatically attenuates high arithmetic average returns: it reduces the mean arithmetic return from 698% to 59%,...
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作者：Brav, A; Graham, JR; Harvey, CR; Michaely, R
作者单位：Duke University; National Bureau of Economic Research; Cornell University; Reichman University
摘要：We survey 384 financial executives and conduct in-depth interviews with an additional 23 to determine the factors that drive dividend and share repurchase decisions. Our findings indicate that maintaining the dividend level is on par with investment decisions, while repurchases are made out of the residual cash flow after investment spending. Perceived stability of future earnings still affects dividend policy as in Lintner (1956. American Economic Review 46, 97-113). However, 50 years later, ...
