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作者：Eleswarapu, Venkat R.; Venkataraman, Kumar
作者单位：Southern Methodist University
摘要：We conjecture that macro-level institutions affect equity trading costs through their impact on information risk and investor participation. In a study of trading costs for 412 NYSE-listed American Depository Receipts (ADRs) from 44 countries, we find that, after controlling for firm-level determinants of trading costs, effective spreads and price impact of trades are significantly lower for stocks from countries with better ratings for judicial efficiency, accounting standards, and political ...
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作者：Çetin, U; Jarrow, R; Protter, P; Warachka, M
作者单位：Cornell University; University of London; London School Economics & Political Science; Cornell University; Singapore Management University
摘要：This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher prices and sales at lower prices. Optimal discrete time hedging strategies are then derived. Empirical evi...
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作者：Ellul, A; Pagano, M
作者单位：University of Naples Federico II; Indiana University System; Indiana University Bloomington
摘要：The underpricing of initial public offerings (IPOs) is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory where investors worry also about the after-market illiquidity that may result from asymmetric information after the IPO. The less liquid the aftermarket is expected to be, and the less predictable its liquidity, the larger will be the IPO underpricing. Our model blends such liquidity concerns with adverse selection and r...
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作者：Gatev, Evan; Goetzmann, William N.; Rouwenhorst, K. Geert
作者单位：Boston College; Yale University
摘要：We test a Wall Street investment strategy, pairs trading, with daily data over 1962-2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11% for self-financing portfolios of pairs. The profits typically exceed conservative transaction-cost estimates. Bootstrap results suggest that the pairs effect differs from previously documented reversal profits. Robustness of the excess return...
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作者：Bates, David S.
作者单位：University of Iowa
摘要：This article develops a direct filtration-based maximum likelihood methodology for estimating the parameters and realizations of latent affine processes. Filtration is conducted in the transform space of characteristic functions, using a version of Bayes' rule for recursively updating the joint characteristic function of latent variables and the data conditional upon past data. An application to daily stock market returns over 1953-1996 reveals substantial divergences from estimates based on t...
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作者：Hvidkjaer, S
作者单位：University System of Maryland; University of Maryland College Park
摘要：This article uses transactions data for all NYSE/AMEX stocks in the period 1983-2002 to study how investors trade in Jegadeesh and Titman's (1993) momentum portfolios. Among small trades, there is an extremely sluggish reaction to the past returns. For instance, an initial small-trade buying pressure exists for loser stocks, and it gradually converts into an intense selling pressure over the following year. The results are consistent with initial underreaction followed by delayed reaction amon...
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作者：Sade, O; Schnitzlein, C; Zender, JF
作者单位：State University System of Florida; University of Central Florida; University of Colorado System; University of Colorado Boulder; Hebrew University of Jerusalem
摘要：An experimental approach is used to examine the performance of three different multiunit auction designs: discriminatory, uniform-price with fixed supply, and uniform-price with endogenous supply. We find the actual strategies to be inconsistent with theoretically identified equilibrium strategies. The discriminatory auction is found to be more susceptible to collusion than either uniform-price auction and so, contrary to theoretical predictions and previous experimental results, it generates ...
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作者：Ang, Andrew; Chen, Joseph; Xing, Yuhang
作者单位：Columbia University; National Bureau of Economic Research; University of Southern California; Rice University
摘要：Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross section of stock returns reflects a downside risk premium of approximately 6% per annum. Stocks that covary strongly with the market during market declines have high average returns. The reward for beasring downside...
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作者：Avramov, Doron; Chordia, Tarun
作者单位：University System of Maryland; University of Maryland College Park; Emory University
摘要：This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The...
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作者：Lemmon, Michael; Portniaguina, Evgenia
作者单位：University of Oklahoma System; University of Oklahoma - Norman; Utah System of Higher Education; University of Utah
摘要：We explore the time-series relationship between investor sentiment and the small-stock premium using consumer confidence as a measure of investor optimism. We estimate the components of consumer confidence related to economic fundamentals and investor sentiment. After controlling for the time variation of beta, we study the time-series variation of the pricing error with sentiment. Over the last 25 years, investor sentiment measured using consumer confidence forecasts the returns of small stoc...
