-
作者：Carr, Peter; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the variance risk premium. Using a large options data set, we synthesize variance swap rates and investigate ...
-
作者：Cohen, Lauren
作者单位：Harvard University
摘要：I evaluate the effect of loyalty on individuals' portfolio choice using a unique dataset of retirement contributions. I exploit the statutory difference that, in 401(k) plans, stand-alone employees can invest directly in their division, while conglomerate employees must invest in the entire firm, including all unrelated divisions. Consistent with loyalty, employees of stand-alone firms invest 10 percentage points (75%) more in company stock than conglomerate employees. Support is also found us...
-
作者：Irvine, Paul J.; Pontiff, Jeffrey
作者单位：University System of Georgia; University of Georgia; Boston College
摘要：Over the past 40 years, the volatility of the average stock return has drastically outpaced total market volatility. Thus, idiosyncratic return volatility has dramatically increased. We estimate this increase to be 6% per year. Consistent with an efficient market, this result is mirrored by an increase in the idiosyncratic volatility of fundamental cash flows. We argue that these findings are attributable to the more intense economy-wide competition. Various cross-sectional and time-series tes...
-
作者：Bernardo, Antonio E.; Cai, Hongbin; Luo, Jiang
作者单位：University of California System; University of California Los Angeles; Peking University; Peking University; Nanyang Technological University
摘要：We examine the problem of motivating privately informed managers to engage in entrepreneurial activity to improve the quality of the firm's investment opportunities. The firm's investment and compensation policy must balance the manager's incentives to provide entrepreneurial effort and to report private information truthfully. The optimal policy is to underinvest (compared to first-best) and provide weak incentive pay in low-quality projects and overinvest (compared to first-best) and provide...
-
作者：Landier, Augustin; Nair, Vinay B.; Wulf, Julie
作者单位：Harvard University; New York University; University of Pennsylvania
摘要：We investigate whether the geographic dispersion of a firm affects corporate decision making. Our findings suggest that social factors work alongside informational considerations to make geography important to corporate decisions. We show that (i) geographically dispersed firms are less employee friendly; (ii) dismissals of divisional employees are less common in divisions located closer to corporate headquarters; and (iii) firms appear to adopt a pecking order and divest out-of-state entities...
-
作者：Ibragimov, Rustam; Jaffee, Dwight; Walden, Johan
作者单位：Harvard University; University of California System; University of California Berkeley
摘要：We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through diversification in a reinsurance market. This is a nondiversification trap. We show that nondiversification traps may arise when risk distributions have heavy left tails and insurance providers have limited lia...
-
作者：Devos, Erik; Kadapakkam, Palani-Rajan; Krishnamurthy, Srinivasan
作者单位：State University of New York (SUNY) System; Binghamton University, SUNY; University of Texas System; University of Texas at San Antonio; University of Texas System; University of Texas El Paso
摘要：There is little evidence in the literature on the relative importance of the underlying sources of merger gains. Prior literature suggests that synergies could arise due to taxes, market power, or efficiency improvements. Based on Value Line forecasts, we estimate the average synergy gains in a broad sample of 264 large mergers to be 10.03% of the combined equity value of the merging firms. The detailed data in Value Line projections allow for the decomposition of these gains into underlying o...
-
作者：Khorana, Ajay; Servaes, Henri; Tufano, Peter
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of London; London Business School; University System of Georgia; Georgia Institute of Technology; Harvard University; National Bureau of Economic Research
摘要：Using a new database, we study fees charged by 46,580 mutual fund classes offered for sale in 18 countries, which account for about 86% of the world fund industry in 2002. We examine management fees, total expense ratios, and total shareholder costs (including load charges). Fees vary substantially across funds and from country to country. To explain these differences, we consider fund, sponsor, and national characteristics. Fees differ by investment objectives: larger funds and fund complexes...
-
作者：Constantinides, George M.; Jackwerth, Jens Carsten; Perrakis, Stylianos
作者单位：University of Chicago; National Bureau of Economic Research; University of Konstanz; Concordia University - Canada
摘要：Widespread violations of stochastic dominance by 1-month S&P 500 index call options over 1986-2006 imply that a trader can improve expected utility by engaging in a zero-net-cost trade net of transaction costs and bid-ask spread. Although precrash option prices conform to the Black-Scholes-Merton model reasonably well, they are incorrectly priced if the distribution of the index return is estimated from time-series data. Substantial violations by postcrash OTM calls contradict the notion that ...
-
作者：Sundaresan, Suresh; Wang, Zhenyu
作者单位：Columbia University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to the concern, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. Using the implied volatilities of Y2K options and the on/off-the-run spread, we demonstrate that the Fed's action eased the fears of bond dealers, contributing to a drop in...
