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作者：Bhojraj, Sanjeev; Bloomfield, Robert J.; Tayler, William B.
作者单位：Cornell University; Emory University
摘要：We provide experimental evidence that relaxing margin restrictions to allow more short selling can exacerbate overpricing, even though it reduces equilibrium price levels. This is because smart-money traders initially profit more by front-running optimistic investor sentiment than by disciplining prices. When short selling is not possible, competitive pressures among arbitrageurs rapidly drive prices to the equilibrium. However, the risk of margin calls slows the convergence process, because a...
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作者：DeMiguel, Victor; Garlappi, Lorenzo; Uppal, Raman
作者单位：University of Texas System; University of Texas Austin; University of London; London Business School
摘要：We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover, which indicates that, out of sample, the gain from optimal diversification is more than offset by estimation error. Based on parameters calibrated...
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作者：Trolle, Anders B.; Schwartz, Eduardo S.
作者单位：Copenhagen Business School; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analytical prices of zero-coupon bond options, and dynamics of the forward rate curve, under both the actual and risk-neutral measures, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel dataset...
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作者：Easley, David; O'Hara, Maureen
作者单位：Cornell University; Cornell University
摘要：We investigate the implications of ambiguity aversion for performance and regulation of markets. In our model, agents' decision making may incorporate both risk and ambiguity, and we demonstrate that nonparticipation arises from the rational decision by some traders to avoid ambiguity. In equilibrium, these participation decisions affect the equilibrium risk premium, and distort market performance when viewed from the perspective of traditional asset pricing models. We demonstrate how regulati...
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作者：Duan, Jin-Chuan; Wei, Jason
作者单位：University of Toronto; National University of Singapore
摘要：This study demonstrates the impact of systematic risk on the prices of individual equity options. The option prices are characterized by the level and slope of implied volatility curves, and the systematic risk is measured as the proportion of systematic variance in the total variance. Using daily option quotes on the S, and P 100 index and its 30 largest component stocks, we show that after controlling for the underlying asset's total risk, a higher amount of systematic risk leads to a higher...
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作者：Evans, Richard B.; Geczy, Christopher C.; Musto, David K.; Reed, Adam V.
作者单位：University of Virginia; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：Regulations allow market makers to short sell without borrowing stock, and the transactions of a major options market maker show that in most hard-to-borrow situations, it chooses not to borrow and instead fails to deliver stock to its buyers. A part of the value of failing passes through to options prices: when failing is cheaper than borrowing, the relation between borrowing costs and options prices is significantly weaker. The remaining value is profit to the market maker, and its ability t...
