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作者：Swaminathan, B
摘要：This article describes the relation between closed-end fund discounts and time-varying expected excess returns on small firms. The results indicate that closed-end fund discounts forecast future excess returns on small firms. The information in discounts is independent of that in other commonly used forecasting variables such as the dividend yield on the market, the default spread and the term spread, Furthermore, the closed-end fund discount forecasts only the small firm factor return and is ...
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作者：Chen, ZW; Knez, PJ
作者单位：University System of Ohio; Ohio State University; University of Wisconsin System; University of Wisconsin Madison
摘要：Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally qui...
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作者：Ait-Sahalia, Y
作者单位：National Bureau of Economic Research
摘要：Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are recorded at discrete intervals, The principal source of rejection of existing models is the strong non-linearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behave...
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作者：Michaely, R; Vila, JL
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We test a theory of the interaction between investors' heterogeneity, risk, transaction costs, and trading volume We take advantage of the specific nature of trading motives around the distribution of cash dividends, namely the costly trading of tax shields, Consistent with the theory, we show that when trades occur because of differential valuation of cash flows, an increase in risk or transaction costs reduces volume We also show that the nonsystematic risk plays a significant role in determ...
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作者：Lamoureux, CG; Zhou, GF
作者单位：Washington University (WUSTL)
摘要：Within the past few years several articles have suggested that returns on large equity portfolios may contain a significant predictable component at horizons 3 to 6 years. Subsequently, the tests used in these analyses have been criticized (appropriately)for having widely misunderstood size and power, rendering the conclusions inappropriate. This criticism however has not focused on the data, it addressed the properties of the tests. In this article we adopt a subjectivist analysis - treating ...
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作者：Lee, BS
摘要：This article investigates the hypothesis that dividend changes are determined by changes in some measure of permanent earnings. The analysis employs two measures of permanent earnings and takes into account the nonstationarity of dividend and earnings series. This study finds that dynamic dividend behavior is accounted for primarily by changes in permanent earnings, Dividends respond strongly to permanent changes in earnings without any significant over-reaction, whereas they respond little, i...
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作者：CHEN, ZW; KNEZ, PJ
摘要：We develop a measurement theory of market integration, based on two notions of ''integrated markets.'' First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law of one price is violated across the markets. Second, they cannot be integrated in a stronger sense if there are cross-market arbitrage opportunities. Two measures of market integration are developed, r...
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作者：BADRINATH, SG; KALE, JR; NOE, TH
作者单位：University System of Georgia; Georgia State University; Purdue University System; Purdue University
摘要：We present an economic mechanism and supportive empirical evidence for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uniformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with th...
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作者：MICHAELY, R; MURGIA, M
作者单位：Cornell University; University of Pavia
摘要：To investigate the effect of taxation on stock price and trading volume around the ex-dividend day, we use the Italian stock market, where dividends on two classes of stock are taxed differently. We find that the weighted average of investors' tax rates is reflected in the ex-day prices and the variance of the relative tax rate across investors is reflected in the volume of trades. We also show that higher transaction costs result in higher ex-dividend day excess returns and lower abnormal vol...
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作者：HUANG, RD; STOLL, HR
摘要：To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns? A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions. Microstructure variables and lagged stock index futures returns have in-sample and out-of-sample predictive power based on data observed at five-minute ...
