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作者：Duarte, Jefferson
作者单位：University of Washington; University of Washington Seattle
摘要：This article investigates the effects of mortgage-backed security (MBS) hedging activity on interest rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBSs considerably improves model performance in pricing interest rate options and in forecasting future interest rate volatility. The empirical results are consistent with the hypothesis that MBS hedging affects the interest rate volatility implie...
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作者：Welch, Ivo; Goyal, Amit
作者单位：Emory University; National Bureau of Economic Research; Brown University
摘要：Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time...
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作者：Lettau, Martin; Van Nieuwerburgh, Stijn
作者单位：New York University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Columbia University
摘要：Evidence of stock-return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This article shows that these seemingly incompatible results can be reconciled if the assumption of a fixed steady state mean of the economy is relaxed. We find strong empirical evidence in support of shifts in the steady state and propose simple methods to adjust financial ratios for such...
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作者：Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F.
作者单位：Reichman University; National Bureau of Economic Research; New York University
摘要：The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost perfectly correlated across horizons under the null hypothesis of no predictability. For the persistence levels of dividend yields, the analytical correlation is 99% between the 1- and 2-year horizon es...
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作者：Spiegel, Matthew
作者单位：Yale University
摘要：The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This issue represents a cross section of views regarding one such debate: Can ourempirical models accurately forecast the equity premium any better than the historical mean ? Or, is the forecast our empirical models give us any more accurate than what we would get by simply using the historical mean ?
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作者：Lettau, Martin; Ludvigson, Sydney C.; Wachter, Jessica A.
作者单位：Center for Economic & Policy Research (CEPR); New York University; National Bureau of Economic Research; University of Pennsylvania
摘要：Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms. Why? We consider one particular explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy. Empirically, we find a strong correlation between low-frequency movements in macroeconomic volatility and low-frequency movements in the stock market. To model t...
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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：Harris, Milton; Raviv, Artur
作者单位：University of Chicago; Northwestern University
摘要：This article presents a model of optimal control of corporate boards of directors. We determine when one would expect inside versus outside directors to control the board, when the controlling party will delegate decision-making to the other party, the extent of communication between the parties, and the number of outside directors. We show that shareholders can sometimes be better off with an insider-controlled board. We derive endogenous relationships among profits, board control, and the nu...
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作者：Campbell, John Y.; Thompson, Samuel B.
作者单位：Harvard University; National Bureau of Economic Research
摘要：Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess stock returns better than regressions of excess returns on predictor variables. In this article, we show that many predictive regressions beat the historical average return, once weak restrictions are imposed on the signs of coefficients and return forecasts. The out-of-sample explanatory power is small, but nonetheless is economically meaningful for mean-variance investors. Even better results...
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作者：Ayyagari, Meghana; Demirguec-Kunt, Asli; Maksimovic, Vojislav
作者单位：University System of Maryland; University of Maryland College Park; The World Bank; George Washington University
摘要：We examine how well several institutional- and firm-level factors explain firms' perceptions of property rights protection. The institutional theories we investigate account for approximately 50% of the country-level variation, indicating that current research addresses first-order factors. Firm-level characteristics, such as legal organization and ownership structure, are comparable with institutional factors in explaining variations in property rights protection. A country's legal origin pre...
