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作者：Griffin, John M.; Kelly, Patrick J.; Nardari, Federico
作者单位：State University System of Florida; University of South Florida; University of Texas System; University of Texas Austin; University of Houston System; University of Houston
摘要：Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets featur...
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作者：Kaltenbrunner, Georg; Lochstoer, Lars A.
作者单位：McKinsey & Company
摘要：We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long-run risk-highly persistent variation in expected consumption growth. As a consequence, the model can account for a high price of risk, although both consumption growth volatility and the coefficient of relative risk aversion are low. The asset...
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作者：Inderst, Roman; Mueller, Holger M.
作者单位：New York University; Goethe University Frankfurt; National Bureau of Economic Research
摘要：This article examines the optimal CEO compensation and replacement policy when the CEO is privately informed about the firm's continuation value under his leadership. Ex ante moral hazard implies that the CEO must receive ex post quasi rents, which endogenously biases him toward continuation. Our model shows that to induce bad CEOs to quit, it may be best to make continuation costly (through steep incentive pay) rather than simply rewarding quitting (through severance pay). Incentive pay makes...
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作者：Xiouros, Costas; Zapatero, Fernando
作者单位：BI Norwegian Business School; University of Southern California
摘要：In this article, we derive an analytic expression for the representative agent of a large class of economies populated by agents with catching up with the Joneses preferences, but who exhibit heterogeneous risk aversion. As Chan and Kogan (2002) show numerically, the representative agent has stochastic risk that moves countercyclically to the state variable. However, we show that heterogeneity of risk aversion alone is insufficient for explaining empirical regularities-namely the variability o...
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作者：Basak, Suleyman; Chabakauri, Georgy
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging deman...
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作者：Ayyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
作者单位：George Washington University; The World Bank; University System of Maryland; University of Maryland College Park
摘要：The fast growth of Chinese private sector firms is taken as evidence that informal finance can facilitate firm growth better than formal banks in developing countries. We examine firm financing patterns and growth using a database of twenty-four hundred Chinese firms. While a relatively small percentage of firms utilize bank loans, bank financing is associated with faster growth whereas informal financing is not. Controlling for selection, we find that firms with bank financing grow faster tha...
