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作者：Bossaerts, Peter; Green, Richard C.
作者单位：Carnegie Mellon University
摘要：We derive and test a dynamic discrete-time model of asset returns. Both the risks of individual securities and equilibrium risk premia change predictably in the model but these changes can be attributed to movements in the returns and prices of only two well-diversified portfolios. Any other components of returns should be unpredictable. Using the generalized method of moments, the model is estimated and tested on portfolios of equities. We find the data supportive of the model's restrictions,...
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作者：Duffie, Darrell; Jackson, Matthew O.
作者单位：Stanford University; Northwestern University
摘要：This article presents a simple model of the innovation of new futures contracts by transaction volume-maximizing futures exchanges in incomplete markets under uncertainty, with mean-variance preferences and proportional transactions costs. We characterize the set of Nash equilibria for a number of exchanges simultaneously or sequentially choosing contracts. The optimal monopolistic contract design is shown to be Pareto-optimal. An example shows the failure of Pareto optimality for a particular...
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作者：Grinblatt, Mark; Titman, Sheridan
作者单位：University of California System; University of California Los Angeles
摘要：This article presents a model that provides insights about various measures of portfolio performance. The model explores several criticisms of these measures. These include the problem of identifying an appropriate benchmark portfolio, the possibility of overestimating risk because of market-timing ability, and the failure of informed investors to earn positive risk-adjusted returns because of increasing risk aversion. The article argues that these need not be serious impediments to performanc...
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作者：Johnston, Elizabeth Tashjian; McConnell, John J.
作者单位：Utah System of Higher Education; University of Utah; Tulane University; Purdue University System; Purdue University
摘要：Futures contracts often include a variety of delivery options that allow participants flexibility in satisfying the contract. These options have the potential to broaden the appeal of the contract. However, if these options are valuable, they may reduce the hedging effectiveness of the contract. This article analyzes the GNMA CDR futures contract that appears to have failed because of flaws in the contract's design. For the first 6 years following its introduction, the contract attracted signi...
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作者：Dammon, Robert M.; Dunn, Kenneth B.; Spatt, Chester S.
作者单位：Carnegie Mellon University
摘要：This article reexamines the value of tax trading when the tax rate on long-term realizations is less than that on short-term realizations. In particular, the value of the option to realize long-term capital gains and repurchase stock in order to increase one's tax basis and restart the option to realize future losses short term is examined empirically. Our estimate of the incremental value of restarting, which is based on the results of simulations of several alternative tax trading policies o...
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作者：Dumas, Bernard
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly among them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. This article features two investors, with the same degree of impatience, one of them being logarithmic and the other having an isoelastic utility function...
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作者：Connor, Gregory; Korajczyk, Robert A.
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behaviour of dividends. We describe conditions under which the econometric techniques typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the st...
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作者：Giammarino, Ronald M.
作者单位：University of British Columbia
摘要：Most models of financial structure embody an assumption about financial distress that causes debt to be costly to the issuing firm. This approach has been criticized on the grounds that the assumed costs could be avoided by a costless financial reorganization. In this article we show that despite the possibility of costless reorganization, it may be rational for firms to incur significant costs in the resolution of financial distress. The main assumptions that give rise to our results are the ...
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作者：Pfleiderer, Paul
作者单位：Stanford University
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作者：Dybvig, Philip H.; Huang, Chi-fu
作者单位：Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
摘要：A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. These conclusions do not depend on whether markets are complete.
