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作者：Pástor, L; Stambaugh, RF
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill, By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal port...
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作者：Gromb, D; Vayanos, D
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In our model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to take a socially optimal lev...
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作者：Ljungqvist, AP; Wilhelm, WJ Jr
作者单位：New York University; Centre for Economic Policy Research - UK; University of Oxford; University of Virginia
摘要：We estimate the structural links between IPO allocations, pre-market information production, and initial underpricing and find that (1) allocation policies favor institutional investors, both in the US and worldwide; (2) increasing institutional allocations results in offer prices that deviate more from the pre-marketing price range; (3) constraints on bankers' discretion reduce institutional allocations and result in smaller price revisions, indicating diminished information production; and (...
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作者：Volpin, PF
作者单位：University of London; London Business School
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作者：Green, R; O'Hara, M; Schwert, GW
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作者：Kahle, KM
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：This paper examines how stock options affect the decision to repurchase shares. Firms announce repurchases when executives have large numbers of options outstanding and when employees have large numbers of options currently exercisable. Once the decision to repurchase is made, the amount repurchased is positively related to total options exercisable by all employees but independent of managerial options. These results are consistent with managers repurchasing both to maximize their own wealth ...
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作者：Schwert, GW
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作者：Bandi, FM
作者单位：University of Chicago
摘要：We use new fully functional methods to describe and study the dynamics of the short-term interest rate process in continuous-time. The suggested procedure exploits the spatial properties, embodied in the local time process, of the diffusion of interest, and is robust against deviations from stationarity. Our results indicate that the misspecification of a standard constant elasticity of variance model with linear mean-reverting drift cannot be attributed to the nonlinear behavior of the infini...
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作者：Baker, M; Savasoglu, S
作者单位：Harvard University; Morgan Stanley
摘要：A diversified portfolio of risk arbitrage positions produces an abnormal return of 0.6 0.9% per month over the period from 198 1 to 1996. We trace these profits to practical limits on risk arbitrage. In our model of risk arbitrage, arbitrageurs' risk-bearing capacity is constrained by deal completion risk and the size of the position they hold. Consistent with this model, we document that the returns to risk arbitrage increase in an ex ante measure of completion risk and target size. We also e...
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作者：Abreu, D; Brunnermeier, MK
作者单位：Princeton University
摘要：We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk-which is distinct from noise trader risk and fundamental risk-arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs. We show that rational arbitrageurs time the market rather than correct mispricing right away. This leads to delayed arbitrage. The analysis suggests that behav...
