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作者：Phillips, PCB; Yu, J
作者单位：Singapore Management University; University of Auckland; University of York - UK; Yale University
摘要：Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computatio...
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作者：Foucault, T; Kadan, O; Kandel, E
作者单位：Hebrew University of Jerusalem; Hebrew University of Jerusalem; Washington University (WUSTL); Hautes Etudes Commerciales (HEC) Paris
摘要：We develop a dynamic model of a limit order market populated by strategic liquidity traders of varying impatience. In equilibrium, patient traders tend to submit limit orders, whereas impatient traders submit market orders. Two variables are the key determinants of the limit order book dynamics in equilibrium: the proportion of patient traders and the order arrival rate. We offer several testable implications for various market quality measures such as spread, trading frequency, market resilie...
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作者：Brandt, MW; Goyal, A; Santa-Clara, P; Stroud, JR
作者单位：Emory University; Duke University; National Bureau of Economic Research; University of California System; University of California Los Angeles; University of Pennsylvania
摘要：We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for th...
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作者：Hommes, C; Sonnemans, J; Tuinstra, J; van de Velden, H
作者单位：University of Amsterdam; Vrije Universiteit Amsterdam
摘要：We investigate expectation formation in a controlled experimental environment. Subjects are asked to predict the price in a standard asset pricing model. They do not have knowledge of the underlying market equilibrium equations, but they know all past realized prices and their own predictions. Aggregate demand for the risky asset depends upon the forecasts of the participants. The realized price is then obtained from market equilibrium with feedback from six individual expectations. Realized p...
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作者：Bernhardt, D; Dvoracek, V; Hughson, E; Werner, IM
作者单位：University of Colorado System; University of Colorado Boulder; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University System of Ohio; Ohio State University; University of Fraser Valley
摘要：We argue that competition between dealers in a classic dealer market is intertemporal: A trader identifies a particular dealer and negotiates a final price with only the intertemporal threat to switch dealers imposing pricing discipline on the dealer. In this kind of market structure, we show that dealers will offer greater price improvement to more regular customers, and, in turn, these customers optimally choose to submit larger orders. Hence, price improvement and trade size should be negat...
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作者：Anderson, EW; Ghysels, E; Juergens, JL
作者单位：Arizona State University; Arizona State University-Tempe; University of North Carolina; University of North Carolina Chapel Hill
摘要：We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they are good proxies. We first establish that the heterogeneity of beliefs matters for asset pricing and then turn our attention to estimating a structural model in which we use the forecasts of financial ...
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作者：Brunnermeier, MK
作者单位：Princeton University
摘要：This article analyzes the effects of information leakage on trading behavior and market efficiency. A trader who receives a noisy signal about a forthcoming public announcement can exploit it twice. First, when he receives it, and second, after the public announcement since he knows best the extent to which his information is already reflected in the pre-announcement price. Given his information he expects the price to overshoot and intends to partially revert his trade. While information leak...
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作者：Marino, AM; Matsusaka, JG
作者单位：University of Southern California
摘要：Corporations use a variety of processes to allocate capital. This article studies the benefits and costs of several common budget procedures from the perspective of a model with agency and information problems. Processes that delegate aspects of the decision to the agent result in too many projects being approved, while processes in which the principal retains the right-to reject projects cause the agent to strategically distort his information about project quality. We show how the choice of ...
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作者：Hui, OY
作者单位：Duke University
摘要：This article develops an integrated model of asset pricing and moral hazard. It is demonstrated that the expected dollar return of a stock is independent of managerial incentives and idiosyncratic risk, but the equilibrium price of the stock depends on them. Thus, the expected rate of return is affected by managerial incentives and idiosyncratic risk. It is shown, however, that managerial incentives and idiosyncratic risk affect the expected rate of return through their influence on systematic...
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作者：Freixas, X; Holthausen, C
作者单位：European Central Bank
摘要：Cross-country bank lending appears to be subject to market imperfections leading to persistent interest rate differentials. In a model where banks need to cope with liquidity shocks by borrowing or by liquidating assets, we study the scope for international interbank market integration with unsecured lending when cross-country information is noisy. We find that an equilibrium with integrated markets need not always exist, and that it may coexist with one characterized by segmentation. A repo m...
