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作者：Reiss, PC; Werner, IM
作者单位：Stanford University; University System of Ohio; Ohio State University
摘要：This article uses unique data from the London Stock Exchange to examine how trader anonymity and market liquidity affect dealers' decisions about where to place interdealer trades. During our sample period, dealers could trade with each other in the direct, nommonymous public market or use one of four anonymous brokered trading systems. Surprisingly, we find that adverse selection is less prevalent in the anonymous brokered markets. We show that this pattern can be explained by the way dealers...
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作者：Cheng, SJ; Nagar, V; Rajan, MV
作者单位：Stanford University; University of Michigan System; University of Michigan
摘要：This study uses the introduction of second-generation antitakeover legislation as a natural experimental setting to infer the value that managers place on the control rights conferred by stock ownership. We conjecture that managers will reduce their stockholdings in the post-legislation period because they can ensure their prior level of control while holding fewer risky shares. Using a variety of specifications, we find robust evidence consistent with this revealed preference hypothesis. Furt...
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作者：Wang, ZY
作者单位：University of Texas System; University of Texas Austin
摘要：This article takes a shrinkage approach to examine the empirical implications of aversion to model uncertainty. The shrinkage approach explicitly shows how predictive distributions incorporate data and prior beliefs. It enables us to solve the optimal portfolios for uncertainty-averse investors. Aversion to uncertainty about the capital asset pricing model leads investors to hold a portfolio that is not mean-variance efficient for any predictive distribution. However, mean-variance efficient p...
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作者：Bollen, NPB; Busse, JA
作者单位：Emory University; Vanderbilt University
摘要：We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a shor...
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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：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：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...
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作者：Aït-Sahalia, Y; Mykland, PA; Zhang, L
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago; Carnegie Mellon University
摘要：In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal sampling frequency is Finite and derives its closed-form expression. But even with optimal sampling, using say 5-min returns when transactions are recorded every second, a vast amount of data is discarded, in contradiction to basic statistical principles. We demonstrate that modeling the noise and usi...
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作者：Cocco, JF; Gomes, FJ; Maenhout, PJ
作者单位：University of London; London Business School
摘要：This article solves a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints. Since labor income substitutes for riskless asset holdings, the optimal share invested in equities is roughly decreasing over life. We compute a measure of the importance of human capital for investment behavior. We find that ignoring labor income generates large utility costs, while the cost of ignoring only its risk is an order of magni...
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作者：Cocco, JF
作者单位：University of London; London Business School
摘要：I show that investment in housing plays a crucial role in explaining the patterns of cross-sectional variation in the composition of wealth and the level of stockholdings observed in portfolio composition data. Due to investment in housing, younger and poorer investors have limited financial wealth to invest in stocks, which reduces the benefits of equity market participation. House price risk crowds out stockholdings, and this crowding out effect is larger for low financial net-worth. In the ...
