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作者：Guo, Hui; Savickas, Robert
作者单位：University System of Ohio; University of Cincinnati; George Washington University
摘要：We argue that changes in average idiosyncratic volatility provide a proxy for changes in the investment opportunity set and that this proxy is closely related to the book-to-market factor. We test this idea in two ways using G7 countries' data. First, we show that idiosyncratic volatility has statistically significant predictive power for aggregate stock market returns over time. Second, we show that idiosyncratic volatility performs just as well as the book-to-market factor in explaining the ...
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作者：Boyle, Phelim; Feng, Shui; Tian, Weidong; Wang, Tan
作者单位：University of Waterloo; Wilfrid Laurier University; McMaster University; University of British Columbia
摘要：When the market is incomplete, a new non-redundant derivative security cannot be priced by no-arbitrage arguments alone. Moreover, there will be a multiplicity of stochastic discount factors and each of them may give a different price for the new derivative security. This paper develops an approach to the selection of a stochastic discount factor for pricing a new derivative security. The approach is based on the idea that the price of a derivative security should not vary too much when the pa...
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作者：Kumar, Praveen; Sorescu, Sorin M.; Boehme, Rodney D.; Danielsen, Bartley R.
作者单位：University of Houston System; University of Houston; Texas A&M University System; Texas A&M University College Station; Mays Business School; Wichita State University; North Carolina State University
摘要：We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model. Innovations in market volatility, oil prices, exchange rates, and dispersion of analysts' forecasts not only help explain the cross section of stock returns,...
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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：Bharath, Sreedhar T.; Shumway, Tyler
作者单位：University of Michigan System; University of Michigan
摘要：We examine the accuracy and contribution of the Merton distance to default (DD) model, which is based on Merton's (1974) bond pricing model. We compare the model to a naive alternative, which uses the functional form suggested by the Merton model but does not solve the model for an implied probability of default. We find that the naive predictor performs slightly better in hazard models and in out-of-sample forecasts than both the Merton DD model and a reduced-form model that uses the same inp...
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作者：Hvidkjaer, Soeren
作者单位：INSEAD Business School; University System of Maryland; University of Maryland College Park
摘要：This paper uses volume arising from small trades to analyze the relationship between retail investor trading behavior and the cross-section of future stock returns. The central finding is that stocks with intense sell-initiated small-trade volume, measured over the past several months, outperform stocks with intense buy-initiated small-trade volume. This return difference accrues from the first month after the portfolio formation up to two years later. Among small- and medium-sized firms, the ...
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作者：Greenwood, Robin
作者单位：Harvard University
摘要：Relative to their weights in a value-weighted index, a number of stocks in Japans Nikkei 225 stock index are overweighted by a factor of 10 or more. I document a strong positive relation between overweighting and the comovement of a stock with other stocks in the Nikkei index, and a negative relationship between index overweighting and comovement with stocks outside of the index. The cross-sectional approach resolves endogeneity problems associated with event study demonstrations of excess com...
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作者：Kumar, Praveen; Sivaramakrishnan, K.
作者单位：University of Houston System; University of Houston
摘要：Recent corporate governance reforms focus on the board's independence and encourage equity ownership by directors. We analyze the efficacy of these reforms in a model in which both adverse selection and moral hazard exist at the level of the firm's management. Delegating governance to the board improves monitoring but creates another agency problem because directors themselves avoid effort and are dependent on the CEO. We show that as directors become less dependent on the CEO, their monitorin...
