-
作者：Hao, Jia; Kalay, Avner; Mayhew, Stewart
作者单位：Wayne State University; Tel Aviv University; Utah System of Higher Education; University of Utah
摘要：We examine the behavior of call options surrounding the underlying stock's ex-dividend date. The evidence is inconsistent with the predictions of a rational exercise policy; a significant fraction of the open interest remains unexercised, resulting in a windfall gain to option writers. This triggers a sophisticated trading scheme that enables short-term traders to receive a significant fraction of the gains. The trading scheme inflates reported volume and distorts its traditional relations to ...
-
作者：Dybvig, Philip H.; Farnsworth, Heber K.; Carpenter, Jennifer N.
作者单位：Washington University (WUSTL); New York University
摘要：In this paper we analyze the optimal contract for a portfolio manager who can exert effort to improve the quality of a private signal about future market prices. We assume complete markets over states distinguished by asset payoffs and place no restrictions on the form of the contract. We show that trading restrictions are essential because they prevent the manager from undoing the incentive effects of performance-based fees. We provide conditions under which simple benchmarking emerges as opt...
-
作者：Campbell, John Y.; Polk, Christopher; Vuolteenaho, Tuomo
作者单位：Harvard University; National Bureau of Economic Research; University of London; London School Economics & Political Science
摘要：The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to permanent movements, driven by shocks to aggregate cash flows. Thus, the high betas of growth (value) stocks with the market's discount-rate (cash-flow) shocks are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely glamour stocks...
-
作者：Karlan, Dean; Zinman, Jonathan
作者单位：Dartmouth College; Yale University
摘要：Expanding access to commercial credit is a key ingredient of financial development strategies. There is less consensus on whether expanding access to consumer credit helps borrowers, particularly when loans are extended at high interest rates. Popular skepticism about unproductive, usurious lending is fueled by research highlighting behavioral biases that may induce overborrowing. We estimate the impacts of expanding access to consumer credit at a 200% annual percentage rate (APR) using a fiel...
-
作者：Huang, Wei; Liu, Qianqiu; Rhee, S. Ghon; Zhang, Liang
作者单位：University of Hawaii System; University of Hawaii Manoa; Sungkyunkwan University (SKKU); University of Melbourne
摘要：The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias depends on the approach to estimating the conditional idiosyncratic volatility. Although a negative relation exists when the estimate is based on daily returns, it disappears after return reversals are contr...
-
作者：Morellec, Erwan; Schuerhoff, Norman
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：In this paper we examine the effects of capital gains taxation on firms' investment and financing decisions. We develop a real-options model in which the timing of investment, the decision to default, and the firm's capital structure are endogenously and jointly determined. Our analysis demonstrates that the asymmetric taxation of capital gains and losses fosters investment by eroding the option value of waiting. It also shows that firms controlled by taxable investors employ more equity finan...
-
作者：Love, David A.
作者单位：Williams College
摘要：This paper investigates the impact of demographic shocks on optimal decisions about saving, life insurance, and, most centrally, asset allocation. The analysis indicates that marital-status transitions can have important effects on optimal household decisions, particularly in the cases of widowhood and divorce. Children also play a fundamental role in portfolio choice; in addition to leading to substantially different average allocations, they also have strong interaction effects with changes ...
-
作者：Todorov, Viktor
作者单位：Northwestern University
摘要：Using high-frequency stock market data and (synthetic) variance swap rates, this paper identifies and investigates the temporal variation in the market variance risk-premium. The variance risk is manifest in two salient features of financial returns: stochastic volatility and jumps. The pricing of these two components is analyzed in a general semiparametric framework. The key empirical results imply that investors' fears of future jumps are especially sensitive to recent jump activity and that...
-
作者：Colla, Paolo; Mele, Antonio
作者单位：University of London; London School Economics & Political Science
摘要：In a market with informationally connected traders, the dynamics of volume, price informativeness, price volatility, and liquidity are severely affected by the information linkages every trader experiences with his peers. We show that in the presence of information linkages among traders, volume and price informativeness increase. Moreover, we find that information linkages improve or damage market depth, and lower or boost the Traders' profits, according to whether these linkages convey posit...
