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作者：Ayyagari, Meghana; Demirguec-Kunt, Asli; Maksimovic, Vojislav
作者单位：University System of Maryland; University of Maryland College Park; The World Bank; George Washington University
摘要：We examine how well several institutional- and firm-level factors explain firms' perceptions of property rights protection. The institutional theories we investigate account for approximately 50% of the country-level variation, indicating that current research addresses first-order factors. Firm-level characteristics, such as legal organization and ownership structure, are comparable with institutional factors in explaining variations in property rights protection. A country's legal origin pre...
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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：If returns are not predictable, dividend growth must be predictable, to generate the observed variation in divided yields. I find that the absence of dividend growth predictability gives stronger evidence than does the presence of return predictability. Long-horizon return forecasts give the same strong evidence. These tests exploit the negative correlation of return forecasts with dividend-yield autocorrelation across samples, together with sensible upper bounds on dividend-yield autocorrelat...
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作者：Robinson, David T.
作者单位：Duke University
摘要：Strategic alliances are long-term contracts between legally distinct organizations that provide for sharing the costs and benefits of a mutually beneficial activity. In this paper, I develop and test a model that helps explain why firms sometimes prefer alliances over internally organized projects. I introduce managerial effort into a model of internal capital markets and show how strategic alliances help overcome incentive problems that arise when headquarters cannot pre-commit to particular ...
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作者：Han, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：This paper examines whether investor sentiment about the stock market affects prices of the S&P 500 options. The findings reveal that the index option volatility smile is steeper (flatter) and the risk-neutral skewness of monthly index return is more (less) negative when market sentiment becomes more bearish (bullish). These significant relations are robust and become stronger when there are more impediments to arbitrage in index options. They cannot be explained by rational perfect-market-bas...
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作者：Cao, Charles; Simin, Timothy; Zhao, Jing
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretical link between growth options available to managers and the idiosyncratic risk of equity. Empirically both the level and variance of corporate growth options are significantly related to idiosyncratic volatility. Accounting for growth options eliminates or reverses the trend in aggregate firm-specific risk. These results are robus...
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作者：Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro
作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
摘要：We solve a model with two i.i.d. Lucas trees. Although the corresponding one-tree model produces a constant price-dividend ratio and i.i.d. returns, the two-tree model produces interesting asset-pricing dynamics. Investors want to rebalance their portfolios after any change in value. Because the size of the trees is fixed, prices must adjust to offset this desire. As a result, expected returns, excess returns, and return volatility all vary through time. Returns display serial correlation and ...
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作者：Watanabe, Akiko; Watanabe, Masahiro
作者单位：Rice University; University of Alberta
摘要：This paper studies whether stock returns' sensitivities to aggregate liquidity fluctuations and the pricing of liquidity risk vary over time. We find that liquidity betas vary across two distinct states: one with high liquidity betas and the other with low betas. The high liquidity-beta state is short lived and characterized by heavy trade, high volatility, and a wide cross-sectional dispersion in liquidity betas. It also delivers a disproportionately large liquidity risk premium, amounting to...
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作者：Guidolin, Massimo; Timmermann, Allan
作者单位：University of Manchester; Federal Reserve System - USA; University of California System; University of California San Diego
摘要：This paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis. In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time-varying prices of covariance, co-skewness, and co-kurtosis risk, we find evidence of distinct bull and bear regimes. Ignoring such regimes, a...
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作者：O'Hara, Maureen
作者单位：Cornell University
摘要：Bubbles are a topic of great importance and great controversy. This paper discusses alternative perspectives on the economic meaning and origin of bubbles. Drawing on historical approaches to bubbles, this article sets out a taxonomy of approaches used to explain the nature of bubbles. The paper also considers issues connected with the scientific thinking surrounding bubbles.
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作者：Greenwood, Robin
作者单位：Harvard University
摘要：Relative to their weights in a value-weighted index, a number of stocks in Japans Nikkei 225 stock index are overweighted by a factor of 10 or more. I document a strong positive relation between overweighting and the comovement of a stock with other stocks in the Nikkei index, and a negative relationship between index overweighting and comovement with stocks outside of the index. The cross-sectional approach resolves endogeneity problems associated with event study demonstrations of excess com...
