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作者：Cadsby, CB; Frank, M; Maksimovic, V
作者单位：University of Guelph; University of British Columbia; University System of Maryland; University of Maryland College Park; Hong Kong University of Science & Technology
摘要：We examine the predictive power of equilibrium dominance in experimental markets where firms with investment opportunities have an informational advantage over potential investors and are permitted to purchase a money-burning signal. Equilibrium dominance often fails to predict well when a Pareto-superior sequential equilibrium is also available. Instead equilibrium selection appears to be related to the potential earnings of a more valuable firm that can signal its type successfully by defect...
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作者：Orosel, GO
作者单位：University of Vienna
摘要：We analyze an overlapping generations model with fixed costs of stock market participation. Participation in the stock market is determined endogenously and covaries positively with preceding innovations in dividends, The equilibrium share price is positively related to market participation of the same period and to information about future dividends, There is rational trend chasing in the sense that, although all agents are rational, market participation rises after an increase of the share p...
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作者：Pritsker, M
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I study the finite sample distribution of one of Ait-Sahalia's (1996c) nonparametric tests of continuous-time models of the short-term riskless Fate. The test rejects true models too often because interest rate data are highly persistent but the asymptotic distribution of the test (and of the kernel density estimator on which the test is based) treats the data as if it were independently and identically distributed To attain the accuracy of the kernel density estimator implied by ifs asymptoti...
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作者：Conrad, J; Kaul, G
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：In this article we use a single unifying framework to analyze the sources of profits to a wide spectrum of return-based trading strategies implemented in the literature, We show that less than 50% of the 120 strategies implemented in the article yield statistically significant profits and, unconditionally, momentum and contrarian strategies are equally likely to be successful. However, when we condition on the return horizon (short, medium, or long) of the strategy, or the time period during w...
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作者：Christopherson, JA; Ferson, WE; Glassman, DA
作者单位：University of Washington; University of Washington Seattle
摘要：This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal performance, is better able to detect this persistence and to predict the future performance of the funds than are traditional methods.
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作者：Khan, CM; Roberds, W
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：In this article, we consider the relative merits of net versus gross settlement of interbank payments, Net settlement economizes on the costs of holding non-interest-bearing reserves, but increases moral hazard problems. The put option value of default under net settlement can also distort banks' investment incentives. Absent these distortions, net settlement dominates gross, although the optimal net settlement scheme may involve a positive probability of default.
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作者：LeRoy, SF
作者单位：University of California System; University of California Santa Barbara
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作者：Boudoukh, J; Whitelaw, RF; Richardson, M; Stanton, R
作者单位：New York University; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：Multivariate density estimation (MDE) suggests that mortgage-backed security (MBS) prices can be well described as a function of the level and slope of the term structure. We analyze how this function varies across MBSs with different coupons. An important finding is that the interest rate level proxies for the moneyness of the option, the expected level of prepayments, and the average life of the cash flours, while the term structure slope controls for the average rate at which these cash flo...
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作者：Kovenock, D; Phillips, GM
作者单位：University System of Maryland; University of Maryland College Park; Purdue University System; Purdue University
摘要：We examine whether sharp debt increases through leveraged buyouts and recapitalizations interact with market structure to influence plant closing and investment decisions of recapitalizing firms and their rivals. We take into account the fact that recapitalizations and investment decisions are both endogenous and may be simultaneously influenced by the same exogenous events. Following their recapitalizations, firms in industries with high concentration are more likely to close plants and less ...
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作者：Cai, J; Chan, KC; Yamada, T
作者单位：Hong Kong University of Science & Technology
摘要：We analyze the performance of Japanese open-type stock mutual funds for the 1981-1992 period The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% and 10.8% per annum. These funds tend to invest more in large stocks with low, book-to-market ratios. gut this feature does not explain the underperformance. A potential explanation is the dilution effect caused by inflows of funds. In Japa...
