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作者：Narayanan, M. P.; Seyhun, H. Nejat
作者单位：University of Michigan System; University of Michigan
摘要：We provide evidence of two variants of a dating game that entails picking a grant date ex post, that is, after the boards compensation decision is made: back-dating (picking a date before the board decision date), and forward-dating (waiting after the board decision date to observe the stock price behavior). Consistent with back-dating, we find stock return behavior around the grant date to be positively related to reporting lag. In the promptly reported sample, we find stock return behavior a...
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作者：Liu, Weimin; Strong, Norman
作者单位：University of Nottingham; University of Manchester
摘要：A growing number of studies in finance decompose multiperiod portfolio returns into a series of single-period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum, size, and value-growth. We provide a formal analysis of the decomposition method. Crucially, we argue and present empirical evidence that some methods researchers use involve portfolios that nobody would seriously consider ex ante, ...
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作者：Li, Haitao; Wells, Martin T.; Yu, Cindy L.
作者单位：University of Michigan System; University of Michigan; Cornell University; Iowa State University
摘要：We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity Levy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of diffusion, stochastic volatility, and Levy jumps, and (ii) the affine jump-diffusion (AJD) models fail to adequately approximate the behavior of infinite-activity jumps. In particular, the AJD models fail to captu...
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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：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...
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作者：Cumming, Douglas
作者单位：York University - Canada
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作者：Huang, Jennifer
作者单位：University of Texas System; University of Texas Austin
摘要：We analyze an intertemporal portfolio problem with both taxable and tax-deferred retirement accounts. Using a tax-arbitrage argument, we identify conditions under which the optimal location decision (where to place an asset) is separable from the allocation decision (how much to allocate to each asset). Investors place highly taxed assets in the tax-deferred account to maximize the tax benefit and adjust their taxable portfolios to achieve the optimal risk exposure. We show that the two-accoun...
