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作者：Brunnermeier, Markus K.; Julliard, Christian
作者单位：Princeton University; University of London; London School Economics & Political Science
摘要：A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account the fact that inflation lowers future real mortgage costs. We decompose the price-rent ratio into a rational component-meant to capture the proxy effect and risk premia-and an implied mispricing. We find that inflation and nominal interest rates explain a...
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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：Bradley, Daniel J.; Jordan, Bradford D.; Ritter, Jay R.
作者单位：Clemson University; University of Kentucky; State University System of Florida; University of Florida
摘要：We examine over 7400 analyst recommendations made in the year after going public for IPOs from 1999 to 2000. Initiations of coverage at the end of the quiet period come almost exclusively from affiliated analysts, whereas initiations afterward are predominantly from unaffiliated analysts. Contrary to previous findings, we find no evidence that the market discounts recommendations from affiliated analysts once we control for recommendation characteristics and timing. Moreover, analyst coverage ...
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作者：Han, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：This paper examines whether investor sentiment about the stock market affects prices of the S&P 500 options. The findings reveal that the index option volatility smile is steeper (flatter) and the risk-neutral skewness of monthly index return is more (less) negative when market sentiment becomes more bearish (bullish). These significant relations are robust and become stronger when there are more impediments to arbitrage in index options. They cannot be explained by rational perfect-market-bas...
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作者：Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro
作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
摘要：We solve a model with two i.i.d. Lucas trees. Although the corresponding one-tree model produces a constant price-dividend ratio and i.i.d. returns, the two-tree model produces interesting asset-pricing dynamics. Investors want to rebalance their portfolios after any change in value. Because the size of the trees is fixed, prices must adjust to offset this desire. As a result, expected returns, excess returns, and return volatility all vary through time. Returns display serial correlation and ...
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作者：O'Hara, Maureen
作者单位：Cornell University
摘要：Bubbles are a topic of great importance and great controversy. This paper discusses alternative perspectives on the economic meaning and origin of bubbles. Drawing on historical approaches to bubbles, this article sets out a taxonomy of approaches used to explain the nature of bubbles. The paper also considers issues connected with the scientific thinking surrounding bubbles.
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作者：Bhattacharya, Utpal; Yu, Xiaoyun
作者单位：Indiana University System; Indiana University Bloomington
摘要：On August 12-13, 2005, the department of finance at the Kelley School of Business, Indiana University, collaborated with the Review of Financial Studies to host a conference titled The Causes and Consequences of Recent Financial Market Bubbles. This article begins with our overview of the themes and findings of the conference, and it ends with the questions that the literature has yet to answer.
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作者：Kadan, Ohad; Swinkels, Jeroen M.
作者单位：Washington University (WUSTL)
摘要：We consider the choice between stocks and options to provide effort incentives to a risk-averse manager. We show that stocks can dominate options as a means of motivation only if nonviability risk is substantial, as in financially distressed firms or start-ups. Options dominate stocks for other firms. These results hold regardless of the existing portfolio of the manager. We provide empirical evidence that higher bankruptcy risk is indeed correlated with more use of stock.
