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作者：Vanden, Joel M.
作者单位：Dartmouth College
摘要：Microstructure researchers have long understood that information quality has an effect on price formation in the underlying asset market. However, option researchers have largely ignored the fact that information quality might also impact the options market. This article characterizes the nature of the impact by showing how option prices and implied volatility levels are related to the forward looking information quality path. This result follows from a noisy rational expectations model that a...
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作者：Bae, Gil S.; Cheon, Youngsoon S.; Kang, Jun-Koo
作者单位：Nanyang Technological University; Korea University; Chung Ang University; Michigan State University
摘要：Using earnings announcement events made by firms belonging to Korean chaebols, we examine propping within a chaebol. Consistent with the market's ex ante valuation of intragroup propping, we find that the announcement of increased (decreased) earnings by a chaebol-affiliated firm has a positive (negative) effect on the market value of other nonannouncing affiliates. The sensitivity of the change in the market value of nonannouncing affiliates to abnormal returns for the announcing firms is hig...
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作者：Viswanathan, S.; Wei, Bin
作者单位：Duke University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Nonstationarity in the process of the number of events is needed to generate a large negative bias. We present theory and simulations for the specific case of a lognormal model to character...
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作者：Chabi-Yo, Fousseni
作者单位：Bank of Canada
摘要：We develop a strategy for utilizing higher moments, variance risk premia, and conditioning information efficiently, and hence improve on the variance bounds computed by Hansen and Jagannathan (1991); Gallant, Hansen, and Tauchen (1990); and Bekaert and Liu (2004). Our bounds reach existing bounds when nonlinearities in returns are not priced. We also use higher moments, variance risk premia, and conditioning information to provide distance measures that improve on the Hansen and Jagannathan (1...
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作者：Desai, Mihir A.; Foley, C. Fritz; Forbes, Kristin J.
作者单位：Harvard University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：This article examines how financial constraints and product market exposures determine the response of multinational and local firms to sharp depreciations. U. S. multinational affiliates increase sales, assets, and investment significantly more than local firms during, and subsequent to, depreciations. Differing product market exposures do not explain these differences in performance. Instead, a differential ability to circumvent financial constraints is a significant determinant of the obser...
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作者：Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano
作者单位：Universita della Svizzera Italiana; Swiss Finance Institute (SFI); New York University; University of Zurich
摘要：We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model's flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing GARCH pricing models and ad hoc Black-Scholes models. We show that the flexible change of measure, ...
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作者：Garlappi, Lorenzo; Shu, Tao; Yan, Hong
作者单位：University of Texas System; University of Texas Austin; University System of Georgia; University of Georgia; University of South Carolina System; University of South Carolina Columbia
摘要：This paper examines the relationship between default probability and stock returns. Using the Expected Default Frequency (EDF) of Moody's KMV, we document that higher default probabilities are not associated with higher expected stock returns. Within a model of bargaining between equity holders and debt holders in default, we show that the relationship between default probability and equity return is (i) upward sloping for firms where shareholders can extract little benefit from renegotiation ...
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作者：Pichler, Pegaret; Stomper, Alex; Zulehner, Christine
作者单位：Massachusetts Institute of Technology (MIT); University of Vienna
摘要：We explain and provide evidence for effects of leverage on pricing. Our model identifies two effects that either counteract or reinforce each other, depending on the debt maturity structure: (i) firms set higher prices (underinvest in market share) if they have more debt, and (ii) firms engage in dynamic risk-shifting by setting lower (higher) prices if the current debt obligation will be higher (lower) in the next period than in the present period. Using a unique dataset of owner-managed hote...
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作者：Laeven, Luc; Levine, Ross
作者单位：Brown University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); International Monetary Fund
摘要：The bulk of corporate governance theory examines the agency problems that arise from two extreme ownership structures: 100% small shareholders or one large, controlling owner combined with small shareholders. In this paper, we question the empirical validity of this dichotomy. In fact, one-third of publicly listed firms in Europe have multiple large owners, and the market value of firms with multiple blockholders differs from firms with a single large owner and from widely held firms. Moreover...
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作者：Korniotis, George M.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper introduces a consumption-based capital asset pricing model (CCAPM) that combines undiversifiable income shocks and external habit formation. Using US state-level data, the paper provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four Census regions. The model also implies four asset pricing factors: the cross-sectional means of consumption growth and habit growth (capturing national systematic risk...
