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作者：Golez, Benjamin
作者单位：University of Notre Dame
摘要：The dividend-price ratio is a noisy proxy for expected returns when expected dividend growth is time-varying. This paper uses a new and forward-looking measure of dividend growth extracted from S&P 500 futures and options to correct the dividend-price ratio for changes in expected dividend growth. Over January 1994 through June 2011, dividend growth implied by derivative markets reliably forecasts future dividend growth, and the corrected dividend-price ratio predicts S&P 500 returns substanti...
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作者：Zhu, Haoxiang
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Dark pools are equity trading systems that do not publicly display orders. Dark pools offer potential price improvements but do not guarantee execution. Informed traders tend to trade in the same direction, crowd on the heavy side of the market, and face a higher execution risk in the dark pool, relative to uninformed traders. Consequently, exchanges are more attractive to informed traders, and dark pools are more attractive to uninformed traders. Under certain conditions, adding a dark pool a...
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作者：Greenwood, Robin; Vayanos, Dimitri
作者单位：Harvard University; National Bureau of Economic Research
摘要：We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the model, we find that the maturity-weighted-debt-to-GDP ratio is positively related to bond yields and fu...
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作者：Corradin, Stefano; Fillat, Jose L.; Vergara-Alert, Carles
作者单位：European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Navarra; IESE Business School
摘要：We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a more valuable house is higher during periods of high expected growth in house prices. We also find th...
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作者：Goldstein, Itay; Li, Yan; Yang, Liyan
作者单位：University of Pennsylvania; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Toronto
摘要：We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market-some trade for speculation and others for hedging-and thus they may respond to the same information in opposite directions. This implies that adding more informed traders may reduce price informativeness and therefore provides a source for learning com...
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作者：Greenwood, Robin; Shleifer, Andrei
作者单位：Harvard University; Harvard University
摘要：We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence is not consistent with rational expectations representative investor models of returns.
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作者：Bruche, Max; Llobet, Gerard
作者单位：City St Georges, University of London
摘要：Because of limited liability, insolvent banks have an incentive to continue lending to insolvent borrowers, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem. The scheme would induce banks to reveal their bad loans, which can then be dealt with. Bank participation in the scheme would be voluntary. Even though banks have private information on the quantity of bad loans on their balan...
