-
作者：Phillips, Peter C. B.; Yu, Jun
作者单位：Singapore Management University; Yale University; University of Auckland; University of York - UK
摘要：A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. This paper proposes a simulation-based method. When it is used in connection with ML, it can improve the finite-sample performance of the ML estimator...
-
作者：Fang, Lily; Yasuda, Ayako
作者单位：INSEAD Business School; University of Pennsylvania
摘要：We examine whether the quality differentials in earnings forecasts between reputable and nonreputable analysts vary with the severity of conflicts of interest. We measure personal reputation using the Institutional Investor All-American (AA) awards, and bank reputation using Carter-Manaster ranks. While both personal and bank reputation are associated with higher quality forecasts overall, their effectiveness against conflicts of interest differs. The severity of conflicts has a negative and s...
-
作者：Caskey, Judson A.
作者单位：University of California System; University of California Los Angeles
摘要：This paper shows that persistent mispricing is consistent with a market that includes ambiguity-averse investors. In particular, ambiguity-averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Equilibrium prices may therefore fail to impound publicly available information. While this creates profit opportunities for ambiguity-neutral investors, ambiguity-averse investors perceive that the benefit of ambiguity reduction outwe...
-
作者：Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：Emory University; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：Many proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic dependence of illiquidity on more primitive drivers such as trading activity and information asymmetry. More specifically, we estimate illiquidity using structural formulae in line with Kyle's (1985) lambd...
-
作者：Cremers, K. J. Martijn; Petajisto, Antti
作者单位：Yale University
摘要：We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share significantly outperform t...
-
作者：Berger, Allen N.; Bouwman, Christa H. S.
作者单位：University of Pennsylvania; University System of Ohio; Case Western Reserve University; University of South Carolina System; University of South Carolina Columbia; Tilburg University
摘要：Although the modem theory of financial intermediation portrays liquidity creation as an essential role of banks, comprehensive measures of bank liquidity creation do not exist. We construct four measures and apply them to data on virtually all U.S. banks from 1993 to 2003. We find that bank liquidity creation increased every year and exceeded $2.3 trillion in 2003. Large banks, multibank holding company members, retail banks, and recently merged banks created the most liquidity. Bank liquidity...
-
作者：Chen, Long; Collin-Dufresne, Pierre; Goldstein, Robert S.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Michigan State University; Columbia University; National Bureau of Economic Research
摘要：Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this credit spread puzzle can be resolved if one accounts for the fact that default rates and Sharpe ratios strongly covary; both are high during recessions and low during booms. As a specific example, we investigate credit spread implications of the Campbell and Cochrane (1999) pricing kernel c...
-
作者：Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles; Universidade Nova de Lisboa; University of California System; University of California San Diego
摘要：We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple and easily modified and extended to capture the effect of transaction costs, for example, produces sensible portfolio weights, and offers ...
-
作者：Boehmer, Ekkehart; Kelley, Eric K.
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Oregon; University of Arizona
摘要：Using a broad panel of NYSE-listed stocks between 1983 and 2004, we study the relation between institutional shareholdings and the relative informational efficiency of prices, measured as deviations from a random walk. Stocks with greater institutional ownership are priced more efficiently, and we show that variation in liquidity does not drive this result. One mechanism through which prices become more efficient is institutional trading activity. even when institutions trade passively. But ef...
-
作者：Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias
作者单位：University of Warwick; AXA Group
摘要：This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian model averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empiri...
