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作者：Douglas, AVS
作者单位：University of Waterloo
摘要：This article illustrates an incentive-aligning role of debt in the presence of optimal compensation contracts. Owing to information asymmetry, value-maximizing compensation contracts allow managerial rents following high investment outcomes. The manager has an incentive to increase these rents by choosing investments that generate greater information asymmetry. An aptly chosen debt level mitigates this incentive, because investments that generate greater information asymmetry have more volatil...
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作者：Vanden, Joel M.
作者单位：Dartmouth College
摘要：This article shows how the market coskewness model of Rubinstein (1973) and Kraus and Litzenberger (1976) is altered when a nonredundant call option is optimally traded. Owing to the option's nonredundancy, the economy's stochastic discount factor (SDF) depends not only on the market return and the square of the market return but also on the option return, the square of the option return, and the product of the market and option returns. This leads to an asset pricing model in which the expect...
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作者：Reiss, PC; Werner, IM
作者单位：Stanford University; University System of Ohio; Ohio State University
摘要：This article uses unique data from the London Stock Exchange to examine how trader anonymity and market liquidity affect dealers' decisions about where to place interdealer trades. During our sample period, dealers could trade with each other in the direct, nommonymous public market or use one of four anonymous brokered trading systems. Surprisingly, we find that adverse selection is less prevalent in the anonymous brokered markets. We show that this pattern can be explained by the way dealers...
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作者：Chordia, T; Sarkar, A; Subrahmanyam, A
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Emory University; University of California System; University of California Los Angeles
摘要：This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets). Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions ...
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作者：Liu, J; Pan, J; Wang, T
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：This article studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent Who is Averse not only to risk but also to model uncertainty with respect to rare events. The equilibrium equity premium has three components: the diffusive- and jump-risk premiums, both driven by risk aversion; and the rare-event premium, dri...
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作者：Cao, HH; Wang, T; Zhang, HH
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas
摘要：We demonstrate that limited participation can arise endogenously in the presence of model uncertainty and heterogeneous uncertainty-averse investors. When uncertainty dispersion among investors is small, full participation prevails in equilibrium. Equity premium is related to the average uncertainty among investors and a conglomerate trades at a price equal to the sum of its single-segment components. When uncertainty dispersion is large, investors with high uncertainty choose not to participa...
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作者：Cheng, SJ; Nagar, V; Rajan, MV
作者单位：Stanford University; University of Michigan System; University of Michigan
摘要：This study uses the introduction of second-generation antitakeover legislation as a natural experimental setting to infer the value that managers place on the control rights conferred by stock ownership. We conjecture that managers will reduce their stockholdings in the post-legislation period because they can ensure their prior level of control while holding fewer risky shares. Using a variety of specifications, we find robust evidence consistent with this revealed preference hypothesis. Furt...
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作者：Hendershott, T; Jones, CM
作者单位：University of California System; University of California Berkeley; Columbia University
摘要：Responding to a September 2002 regulatory enforcement, the Island electronic communications network stopped displaying its limit order book in the three most active exchange-traded funds (ETFs) where it was the dominant venue. Island's share of trading activity and price discovery fell, fragmenting the market. ETF prices adjust more slowly when Island goes dark, and there is substantial price discovery movement from ETFs to the futures market. Trading costs increase on Island and decrease off ...
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作者：Wang, ZY
作者单位：University of Texas System; University of Texas Austin
摘要：This article takes a shrinkage approach to examine the empirical implications of aversion to model uncertainty. The shrinkage approach explicitly shows how predictive distributions incorporate data and prior beliefs. It enables us to solve the optimal portfolios for uncertainty-averse investors. Aversion to uncertainty about the capital asset pricing model leads investors to hold a portfolio that is not mean-variance efficient for any predictive distribution. However, mean-variance efficient p...
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作者：Yao, R; Zhang, HH
作者单位：University of North Carolina; University of North Carolina Chapel Hill; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We examine the optimal dynamic portfolio decisions for investors who acquire housing services from either renting or owning a house. Our results show that when indifferent between owning and renting, investors owning a house hold a lower equity proportion in their net worth (bonds, stocks, and home equity), reflecting the substitution effect, yet hold a higher equity proportion in their liquid portfolios (bonds and stocks), reflecting the diversification effect. Furthermore, following the subo...
