Review of Financial Studies

最新文章

• Are insider trades informative? AI翻译
  作者：Lakonishok, J; Lee, I
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea Advanced Institute of Science & Technology (KAIST)
  摘要：We examine insider trading activities of all companies traded on the NYSE, AMEX, and Nasdaq during the 1975-1995 period. In general, very little market movement is observed when insiders trade and when they report their trades to the SEC. Insiders in aggregate are contrarian investors. However, they predict market movements better than simple contrarian strategies. Insiders also seem to be able to predict cross-sectional stock returns. The result, however, is driven by insider's ability to pre...
• Value-at-risk-based risk management: Optimal policies and asset prices AI翻译
  作者：Basak, S; Shapiro, A
  作者单位：University of London; London Business School; New York University
  摘要：This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur. We suggest an alternative risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysi...
• Trading volume: Definitions, data analysis, and implications of portfolio theory AI翻译
  作者：Lo, AW; Wang, J
  作者单位：Massachusetts Institute of Technology (MIT)
  摘要：We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover. If two-fund separation holds, share turnover must be identical for all securities. If (K + 1)-fund separation holds, we show that turnover satisfies an approximately linear K-factor structure. These implications are examined empirically using individual weekly turnover data for NYSE and AMEX se...
• Stock market risk and return: An equilibrium approach AI翻译
  作者：Whitelaw, RF
  作者单位：New York University
  摘要：Empirical evidence that expected stock returns are weakly related to volatility at the market level appears to contradict the intuition that risk and return are positively related. We investigate this issue in a general equilibrium exchange economy characterized by a regime-switching consumption process with time-varying transition probabilities between regimes. When estimated using consumption data, the model generates a complex, nonlinear and time-varying relation between expected returns an...
• The interaction between product market and financing strategy: The role of venture capital AI翻译
  作者：Hellmann, T; Puri, M
  作者单位：Stanford University
  摘要：Venture capital financing is widely believed to be influential for new innovative companies. We provide empirical evidence that venture capital financing is related to product market strategies and outcomes of start-ups. Using a unique hand-collected database of Silicon Valley high-tech start-ups we find that innovator firms are more likely to obtain venture capital than imitator firms. Venture capital is also associated with a significant reduction in the time to bring a product to market, es...
• Asset pricing models: Implications for expected returns and portfolio selection AI翻译
  作者：MacKinlay, AC; Pástor, L
  作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Chicago
  摘要：When a risk factor is missing from an asset pricing model, the resulting mispricing is embedded within the residual covariance matrix. Exploiting this phenomenon leads to expected return estimates that are more stable and precise than estimates delivered by standard methods. Portfolio selection can also be improved. At an extreme, optimal portfolio weights are proportional to expected returns when no factors are observable. We find that such portfolios perform well in simulations and in out-of...
• Do call prices and the underlying stock always move in the same direction? AI翻译
  作者：Bakshi, G; Cao, C; Chen, ZW
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Maryland; University of Maryland College Park; Yale University
  摘要：This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or decrease, together. Our results are valid after controlling for time decay and market microstructure effects. Therefore one-dimensional diffusion option models cannot be completely consistent with observed op...
• The opportunity for conspiracy in asset markets organized with dealer intermediaries AI翻译
  作者：Cason, TN
  作者单位：Purdue University System; Purdue University
  摘要：This article reports an asset market experiment in which asymmetrically informed traders transact through competing dealers. Dealers face a classic adverse selection problem, because some traders have private information regarding the asset value while other traders are uninformed. When dealers cannot communicate outside the market, they price the asset competitively and the market is generally informationally efficient. When dealers communicate privately between periods, they collude successf...
• Strategic responses of incumbents to new entry: The effect of ownership structure, capital structure, and focus AI翻译
  作者：Khanna, N; Tice, S
  作者单位：Michigan State University; Michigan State University's Broad College of Business; Tulane University
  摘要：We examine how certain firm- and market-specific characteristics affect incumbent firms' responses to new entry into their local markets. Data comes from the discount department store industry where Wal-Mart entered a large number of markets in a short period of time. Consistent with existing research, larger and more profitable incumbents respond more aggressively to Wal-Mart's entry while more highly levered incumbents respond less aggressively. Also, there is evidence that incumbent manager...
• Recovering risk aversion from option prices and realized returns AI翻译
  作者：Jackwerth, JC
  作者单位：University of Wisconsin System; University of Wisconsin Madison
  摘要：A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. We empirically derive risk aversion functions implied by option prices and realized returns on the S&P500 index simultaneously. These risk aversion functions dramatically change shapes around the 1987 crash: Precrash, they are positive and decreasing in wealth and largely consistent with standard assumptions made in economic theory. Postcrash, they are partially negative a...