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作者：Broadie, Mark; Chernov, Mikhail; Johannes, Michael
作者单位：University of London; London Business School; Columbia University
摘要：Previous research concludes that options are mispriced based on the high average returns, CAPM alphas, and Sharpe ratios of various put selling strategies. One criticism of these conclusions is that these benchmarks are ill suited to handle the extreme statistical nature of option returns generated by nonlinear payoffs. We propose an alternative way to evaluate the statistical significance of option returns by comparing historical statistics to those generated by option pricing models. The mos...
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作者：Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon
作者单位：Cornell University
摘要：We use a laboratory market to investigate the behavior of traders who lack informational advantages and have no exogenous reason to trade. We find that these uninformed traders behave largely as irrational contrarian noise traders, trading against recent price movements to their own detriment. The uninformed traders provide some benefits to the market: increasing market volume and depth, while reducing bid-ask spreads and the temporary price impact of trades. However, their noise trading also ...
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作者：Gupta, Nandini; Yuan, Kathy
作者单位：University of London; London School Economics & Political Science; Indiana University System; Indiana University Bloomington
摘要：We investigate the effect of a stock market liberalization on industry growth in emerging markets. Consistent with the view that liberalization reduces financing constraints, we find that industries that are more externally dependent and face better growth opportunities grew faster following liberalization. However, this growth increase appears to come from an expansion in the size of existing firms rather than through the entry of financially constrained new firms. We show that following libe...
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作者：Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles; Universidade Nova de Lisboa; University of California System; University of California San Diego
摘要：We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple and easily modified and extended to capture the effect of transaction costs, for example, produces sensible portfolio weights, and offers ...
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作者：Bortolotti, Bernardo; Faccio, Mara
作者单位：Fondazione Mattei; University of Turin; Purdue University System; Purdue University
摘要：We study the change in government control of privatized firms in OECD (Organisation for Economic Co-operation and Development) countries. At the end of 2000, after the largest privatization wave in history, governments retained control of 62.4% of privatized firms. In civil law countries, governments tend to retain large ownership positions, whereas in common law countries they typically use golden shares. When we combine these two mechanisms, we find no association between a country's legal t...
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作者：Cherny, Alexander; Madan, Dilip
作者单位：University System of Maryland; University of Maryland College Park; Lomonosov Moscow State University
摘要：This paper characterizes performance measures satisfying a set of proposed axioms. We develop four new measures consistent with the axioms and show that they improve on the economic properties of the Sharpe Ratio and the Gain-Loss Ratio. In our treatment, the performance measures, or the indexes of acceptability, are linked to positive expectations resulting from a stressed sampling of the cash-flow distribution. Theoretically, it is shown that the level of acceptability varies directly with t...
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作者：Evans, Richard B.; Geczy, Christopher C.; Musto, David K.; Reed, Adam V.
作者单位：University of Virginia; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：Regulations allow market makers to short sell without borrowing stock, and the transactions of a major options market maker show that in most hard-to-borrow situations, it chooses not to borrow and instead fails to deliver stock to its buyers. A part of the value of failing passes through to options prices: when failing is cheaper than borrowing, the relation between borrowing costs and options prices is significantly weaker. The remaining value is profit to the market maker, and its ability t...
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作者：Noe, Thomas H.
作者单位：University of Oxford; Tulane University
摘要：This paper considers optimal compensation for a CEO who is entrusted with administering corporate assets honestly. Optimal compensation designs maximize integrity at minimum cost. These designs are very low powered, i.e., while specifying a lower bound for performance and increasing pay with performance, they increase compensation at a rapidly decreasing rate. Thus, integrity considerations engender optimal compensation packages that closely resemble the very pervasive 80/120 bonus plans, exac...
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作者：Bollerslev, Tim; Tauchen, George; Zhou, Hao
作者单位：Duke University
摘要：Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the time-series variation in post-1990 aggregate stock market returns, with high (low) premia predicting high (low) future returns. Our empirical results depend crucially on the use of model-free, as oppos...
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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Copenhagen Business School; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate the model on NYMEX crude oil derivatives using an extensive panel data set of 45,517 futures prices a...
