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作者：Ang, Andrew; Bekaert, Geert
作者单位：Columbia University; National Bureau of Economic Research
摘要：We examine the predictive power of the di backslash vidend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and ...
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作者：Chen, Qi; Goldstein, Itay; Jiang, Wei
作者单位：University of Pennsylvania; Duke University
摘要：The article shows that two measures of the amount of private information in stock price-price nonsynchronicity and probability of informed trading (PIN)-have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest that firm managers learn from the private information in stock price about their own firms' fundamentals...
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作者：Bris, Arturo; Gulen, Huseyin; Kadiyala, Padma; Rau, P. Raghavendra
作者单位：Purdue University System; Purdue University; Pace University; Virginia Polytechnic Institute & State University
摘要：We examine a sample of 125 equity mutual funds that closed to new investment between 1993 and 2004. We find that funds close following a period of superior performance and abnormal fund inflows. Fund managers raise their fees when they close to compensate managers for losses in income due to the restrictions in size imposed by the fund closure decision. Managers reopen when fund size declines. However, they do not earn superior returns after reopening, suggesting that the fund closure decision...
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作者：Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; Poteshman, Allen M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research; Korea University; National University of Singapore
摘要：This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume of several classes of investors. We also show that volatility trading through straddles and strangles accounts for a small fraction of option trading volume and presents evidence that a large percentage of call writing is part of covered call positions. Finally, we find that during the stock market bubble of the late 1990s and early 2000 ...
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作者：Ziegler, Alexandre
作者单位：Swiss Finance Institute (SFI); University of Lausanne
摘要：Implied risk aversion estimates reported in the literature are strongly U-shaped. This article explores different potential explanations for these smile patterns: (i) preference aggregation, both with and without stochastic volatility and jumps in returns, (ii) misestimation of investors' beliefs caused by stochastic volatility, jumps, or a Peso problem, and (iii) heterogeneous beliefs. The results reveal that preference aggregation and misestimation of investors' beliefs caused by stochastic ...
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作者：Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Irvine; National Bureau of Economic Research
摘要：We conduct an analysis of the risk and return characteristics of a number of widely used fixed-income arbitrage strategies. We find that the strategies requiring more intellectual capital to implement tend to produce significant alphas after controlling for bond and equity market risk factors. These positive alphas remain significant even after taking into account typical hedge fund fees. In contrast with other hedge fund strategies, many of the fixed-income arbitrage strategies produce positi...
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作者：Narayanan, Rajesh P.; Rangan, Kasturi P.; Rangan, Nanda K.
作者单位：University System of Ohio; Ohio University; Booz Allen Hamilton Holding Corporation
摘要：We provide evidence that commercial banks extend their reputation in underwriting syndicated loans and private placements (private debt) to their bond-underwriting activities. In the absence of bond market reputation, private-debt-market reputation enables commercial banks to win underwriting mandates from their loan clients. Furthermore, it allows them to credibly commit to investors against opportunistically using lending information and thereby deliver superior certification benefits in the...
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作者：Mester, Loretta J.; Nakamura, Leonard I.; Renault, Micheline
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Pennsylvania; University of Quebec; University of Quebec Montreal
摘要：We show that transactions accounts, by providing ongoing data on borrowers' activities, help financial intermediaries monitor borrowers. This information is most readily available to commercial banks, which offer these accounts and lending together. We find that (1) monthly changes in accounts receivable are reflected in transactions accounts; (2) borrowings in excess of collateral predict credit downgrades and loan write-downs; and (3) the lender intensifies monitoring in response. This is ev...
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作者：Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; Emory University; Brock University
摘要：This article studies cross-sectional variations in trading activity for a comprehensive sample of NYSE/AMEX and Nasdaq stocks over a period of about 40 years. We test whether trading activity depends upon the degree of liquidity trading, the mass of informed traders, and the extent of uncertainty and dispersion of opinion about fundamental values. We hypothesize that liquidity (or noise) trading depends both on a stock's visibility and on portfolio rebalancing needs triggered by past price per...
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作者：Griffin, John M.; Nardari, Federico; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
摘要：This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption...
