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作者：Chaudhuri, Ranadeb; Schroder, Mark
作者单位：Oakland University; Michigan State University
摘要：Evidence shows that the stochastic discount factor (SDF) is not always a downward-sloping function of S&P 500 returns when estimated using options data. In contrast, our results suggest that SDFs as functions of individual stock returns are generally downward sloping. A simple jump-diffusion model can reconcile these empirical findings. The same model also implies a steeper implied-volatility curve for the index than for the typical stock, a well-known empirical fact from the options literatur...
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作者：Henderson, Brian J.; Pearson, Neil D.; Wang, Li
作者单位：George Washington University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and decreases in commodity futures prices when they are passed through to and withdrawn from the futures...
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作者：Hoberg, Gerard; Maksimovic, Vojislav
作者单位：University of Southern California; University System of Maryland; University of Maryland College Park
摘要：We score 10-K text to obtain annual measures of financial constraints, with separate measures for firms reporting equity and debt financing issues. Equity market constraints are associated with firms funding growth opportunities, have more severe consequences for the firm following large unexpected negative shocks, and are likely driven by informational asymmetries. A significant population of firms reporting equity market constraints also declare that they possess material undisclosed proprie...
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作者：Back, Kerry; Crotty, Kevin
作者单位：Rice University; Rice University
摘要：In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information conveyed by order flows is primarily about asset means. The cross-market lambdas are quite large; consequently, the portions of bond and stock returns explained by order flows are highly correlated, even tho...
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作者：Rossi, Alberto G.; Timmermann, Allan
作者单位：University System of Maryland; University of Maryland College Park; University of California System; University of California San Diego
摘要：We propose a new method for constructing the hedge component in Merton's ICAPM that uses a daily summary measure of economic activity to track time-varying investment opportunities. We then use nonparametric projections to compute a robust estimate of the conditional covariance between stock market returns and our daily economic activity index. We find that the new conditional covariance risk measure plays an important role in explaining time variation in the equity risk premium. Specification...
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作者：Kostakis, Alexandros; Magdalinos, Tassos; Stamatogiannis, Michalis P.
作者单位：University of Manchester; University of Southampton; University of Bath
摘要：This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, (2) accommodates testing the joint predictive ability of financial variables in multiple regression, (3) is easy to implement as it is based on a linear estimation procedure, and (4) can be used for long-horizon predictability tests. We provide some evidence in favor of short-...
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作者：Biais, Bruno; Rochet, Jean-Charles; Woolley, Paul
作者单位：University of Zurich; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of London; London School Economics & Political Science
摘要：We study the dynamics of an innovative industry in which agents learn about the likelihood of negative shocks. Managers can exert risk prevention effort to mitigate the consequences of shocks. If no shock occurs, confidence improves, attracting managers to the innovative sector. But, when confidence becomes high, inefficient managers exerting low risk-prevention effort also enter. This stimulates growth, while reducing risk prevention. The longer the boom, the larger the losses if a shock occu...
