-
作者：Cocco, JF; Gomes, FJ; Maenhout, PJ
作者单位：University of London; London Business School
摘要：This article solves a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints. Since labor income substitutes for riskless asset holdings, the optimal share invested in equities is roughly decreasing over life. We compute a measure of the importance of human capital for investment behavior. We find that ignoring labor income generates large utility costs, while the cost of ignoring only its risk is an order of magni...
-
作者：Chacko, G; Viceira, LM
作者单位：Harvard University; Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper examines the optimal consumption and portfolio-choice problem of long-horizon investors who have access to a riskless asset with constant return and a risky asset (stocks) with constant expected return and time-varying precision-the reciprocal of volatility. Markets are incomplete, and investors have recursive preferences defined over intermediate consumption. The paper obtains a solution to this problem which is exact for investors with unit elasticity of intertemporal substitution...
-
作者：Cocco, JF
作者单位：University of London; London Business School
摘要：I show that investment in housing plays a crucial role in explaining the patterns of cross-sectional variation in the composition of wealth and the level of stockholdings observed in portfolio composition data. Due to investment in housing, younger and poorer investors have limited financial wealth to invest in stocks, which reduces the benefits of equity market participation. House price risk crowds out stockholdings, and this crowding out effect is larger for low financial net-worth. In the ...
-
作者：McQueen, G; Vorkink, K
作者单位：Brigham Young University
摘要：We develop a preference-based equilibrium asset pricing model that explains low-frequency conditional volatility. Similar to Barberis, Huang, and Santos (2001), agents in our model care about wealth changes, experience loss aversion, and keep a mental scorecard that affects their level of risk aversion. A new feature of our model is that when perturbed by unexpected returns, investors become temporarily more sensitive to news. Gradually investors become accustomed to the new level of wealth, r...
-
作者：Nanda, V; Wang, ZJ; Zheng, L
作者单位：University of Michigan System; University of Michigan
摘要：We examine the extent to which a fund's cash flows are affected by the stellar performance of other funds in its family-and consequences of such spillovers. We show that star performance results in greater cash inflow to the fund and to other funds in its family. Moreover, families with higher variation in investment strategies across funds are shown to be more likely to generate star performance. We argue that spillovers may induce lower ability families to pursue star-creating strategies. Co...
-
作者：Bekaert, G; Liu, J
作者单位：Columbia University; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：Gallant, Hansen, and Tauchen (1990) show how to use conditioning information optimally to construct a sharper unconditional variance bound (the GHT bound) on pricing kernels. The literature predominantly resorts to a simple but suboptimal procedure that scales returns with predictive instruments and computes standard bounds using the original and scaled returns. This article provides a formal bridge between the two approaches. We propose an optimally scaled bound that coincides with the GHT bo...
-
作者：Garmaise, MJ; Moskowitz, TJ
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：There are relatively few direct tests of the economic effects of asymmetric information because of the difficulty in identifying exogenous information measures. We propose a novel exogenous measure of information based on the quality of property tax assessments in different regions and apply this to the U.S. commercial real estate market. We find strong evidence that information considerations are significant. Market participants resolve information asymmetries by purchasing nearby properties,...
-
作者：Hartzell, JC; Ofek, E; Yermack, D
作者单位：University of Texas System; University of Texas Austin; New York University
摘要：We study benefits received by target chief executive officers (CEOs) in completed mergers and acquisitions. Certain target CEOs negotiate large cash payments in the form of special bonuses or increased golden parachutes. These negotiated cash payments are positively associated with the CEO's prior excess compensation and negatively associated with the likelihood that the CEO becomes an executive of the acquiring company. Regression estimates suggest that target shareholders receive lower acqui...
-
作者：Morellec, E
作者单位：University of Rochester; University of Lausanne
摘要：This article analyzes the impact of managerial discretion and corporate control mechanisms on leverage and firm value within a contingent claims model where the manager derives perquisites from investment. Optimal capital structure reflects both the tax advantage of debt less bankruptcy costs and the agency costs of managerial discretion. Actual capital structure reflects the trade-off made by the manager between his empire-building desires and the need to ensure sufficient efficiency to preve...
-
作者：Eom, YH; Helwege, J; Huang, JZ
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Yonsei University; University of Arizona
摘要：This article empirically tests five structural models of corporate bond pricing: those of Merton (1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin-Dufresne and Goldstein (200 1). We implement the models using a sample of 182 bond prices from firms with simple capital structures during the period 1986-1997. The conventional wisdom is that structural models do not generate spreads as high as those seen in the bond market, and true to expectations, we find th...
