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作者：Li, C. Wei; Tiwari, Ashish
作者单位：Louisiana State University System; Louisiana State University; University of Iowa
摘要：This article analyzes optimal nonlinear portfolio management contracts. We consider a setting in which the investor faces moral hazard with respect to the effort and risk choices of the portfolio manager. The employment contract promises the manager: (i) a fixed payment, (ii) a proportional asset-based fee, (iii) a benchmark-linked fulcrum fee, and (iv) a benchmark-linked option-type bonus incentive fee. We show that the option-type incentive helps overcome the effort-underinvestment problem t...
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作者：Li, Haitao; Zhao, Feng
作者单位：University of Michigan System; University of Michigan; University of Texas System; University of Texas Dallas
摘要：Based on a multivariate extension of the constrained locally polynomial estimator of Ait-Sahalia and Duarte (2003), we provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and state-price densities (SPDs) implicit in interest rate cap prices. The forward densities and SPDs depend significantly on the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward densities...
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作者：Ozoguz, Arzu
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from two-state regime-switching models of aggregate market return and of aggregate output, I find a negative relationship between the level of uncertainty and asset valuations. This relationship shows substant...
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作者：Broadie, Mark; Chernov, Mikhail; Johannes, Michael
作者单位：University of London; London Business School; Columbia University
摘要：Previous research concludes that options are mispriced based on the high average returns, CAPM alphas, and Sharpe ratios of various put selling strategies. One criticism of these conclusions is that these benchmarks are ill suited to handle the extreme statistical nature of option returns generated by nonlinear payoffs. We propose an alternative way to evaluate the statistical significance of option returns by comparing historical statistics to those generated by option pricing models. The mos...
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作者：Gupta, Nandini; Yuan, Kathy
作者单位：University of London; London School Economics & Political Science; Indiana University System; Indiana University Bloomington
摘要：We investigate the effect of a stock market liberalization on industry growth in emerging markets. Consistent with the view that liberalization reduces financing constraints, we find that industries that are more externally dependent and face better growth opportunities grew faster following liberalization. However, this growth increase appears to come from an expansion in the size of existing firms rather than through the entry of financially constrained new firms. We show that following libe...
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作者：Bollerslev, Tim; Tauchen, George; Zhou, Hao
作者单位：Duke University
摘要：Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the time-series variation in post-1990 aggregate stock market returns, with high (low) premia predicting high (low) future returns. Our empirical results depend crucially on the use of model-free, as oppos...
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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Copenhagen Business School; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate the model on NYMEX crude oil derivatives using an extensive panel data set of 45,517 futures prices a...
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作者：Bizjak, John; Lemmon, Michael; Whitby, Ryan
作者单位：Portland State University; Utah System of Higher Education; University of Utah; Hong Kong University of Science & Technology; Texas Tech University System; Texas Tech University
摘要：We examine the role of board connections in explaining how the controversial practice of backdating employee stock options spread to a large number of firms across a wide range of industries. The increase in the likelihood that a firm begins to backdate stock options that can be explained by having a board member who is interlocked to a previously identified backdating firm is approximately one-third of the unconditional probability of backdating in our sample. Our analysis provides new insigh...
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作者：Li, Erica X. N.; Livdan, Dmitry; Zhang, Lu
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We take a simple g-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance waves, the negative relation between investment and average returns, long-term underperformance following equity issues, positive long-term drift following cash distributions, the mean-reverting operating...
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作者：Rosu, Ioanid
作者单位：University of Chicago
摘要：This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium, the bid and ask prices depend only on the numbers of buy and sell orders in the book. The model has a number of empirical predictions: (i) higher trading activity and higher trading competition cause smaller spreads and lower price impact; (ii) market orders lead t...
