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作者：Hau, H; Rey, H
作者单位：INSEAD Business School; Princeton University; Princeton University
摘要：We develop an equilibrium model in which exchange rates, stock prices, and capital flows are jointly determined under incomplete foreign exchange (forex) risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, induces the following price and capital flow dynamics: Higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation. Net equity flows into the foreign market are positively correlated with...
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作者：Boot, AWA; Milbourn, TT; Schmeits, A
作者单位：University of Amsterdam; Centre for Economic Policy Research - UK; Washington University (WUSTL); New York University
摘要：In this article, we provide a novel rationale for credit ratings. The rationale that we propose is that credit ratings serve as a coordinating mechanism in situations where multiple equilibria can obtain. We show that credit ratings provide a focal point for firms and their investors, and explore the vital, but previously overlooked implicit contractual relationship between a credit rating agency (CRA) and a firm through its credit watch procedures. Credit ratings can help fix the desired equi...
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作者：Hecht, P; Vuolteenaho, T
作者单位：Harvard University
摘要：Stock returns are correlated with contemporaneous earnings growth, dividend growth, future real activity, and other cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of the popular s...
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作者：Faulkender, M; Petersen, MA
作者单位：Washington University (WUSTL); Northwestern University; National Bureau of Economic Research
摘要：Prior work on leverage implicitly assumes capital availability depends solely on firm characteristics. However, market frictions that make capital structure relevant may also be associated with a firm's source of capital. Examining this intuition, we find firms that have access to the public bond markets, as measured by having a debt rating, have significantly more leverage. Although firms with a rating are fundamentally different, these differences do not explain our findings. Even after cont...
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作者：Sade, O; Schnitzlein, C; Zender, JF
作者单位：State University System of Florida; University of Central Florida; University of Colorado System; University of Colorado Boulder; Hebrew University of Jerusalem
摘要：An experimental approach is used to examine the performance of three different multiunit auction designs: discriminatory, uniform-price with fixed supply, and uniform-price with endogenous supply. We find the actual strategies to be inconsistent with theoretically identified equilibrium strategies. The discriminatory auction is found to be more susceptible to collusion than either uniform-price auction and so, contrary to theoretical predictions and previous experimental results, it generates ...
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作者：Han, YF
作者单位：Tulane University
摘要：We investigate the implications of time-varying expected return and volatility on asset allocation in a high dimensional setting. We propose a dynamic factor multivariate stochastic volatility (DFMSV) model that allows the first two moments of returns to vary over time for a large number of assets. We then evaluate the economic significance of the DFMSV model by examining the performance of various dynamic portfolio strategies chosen by mean-variance investors in a universe of 36 stocks. We fi...
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作者：Santos, T; Veronesi, P
作者单位：University of Chicago; National Bureau of Economic Research; Columbia University; Centre for Economic Policy Research - UK
摘要：We propose a novel economic mechanism that generates stock return predictability in both the time series and the cross-section. Investors' income has two sources, wages and dividends that grow stochastically over time. As a consequence the fraction of total income produced by wages fluctuates depending on economic conditions. We show that the risk premium that investors require to hold stocks varies with these fluctuations. A regression of stock returns on lagged values of the labor income to ...
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作者：Odders-White, ER; Ready, MJ
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We analyze contemporaneous and predictive relations between credit ratings and measures of equity market liquidity and find that common measures of adverse selection, which reflect a portion of the uncertainty about future firm value, are larger when credit ratings are poorer. We also show that future rating changes can be predicted using current levels of adverse selection. Collectively, our results validate widely used microstructure measures of adverse selection and offer new insights into ...
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作者：Chen, Q; Jiang, W
作者单位：Duke University; Columbia University
摘要：Using both a linear regression method and a probability-based method, we find that on average, analysts place larger than efficient weights on (i.e., they overweight) their private information when they forecast corporate earnings. We also find that analysts overweight more when issuing forecasts more favorable than the consensus, and overweight less, and may even underweight, private information when issuing forecasts less favorable than the consensus. Further, the deviation from efficient we...
