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作者：Chordia, T; Sarkar, A; Subrahmanyam, A
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Emory University; University of California System; University of California Los Angeles
摘要：This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets). Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions ...
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作者：Liu, J; Pan, J; Wang, T
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：This article studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent Who is Averse not only to risk but also to model uncertainty with respect to rare events. The equilibrium equity premium has three components: the diffusive- and jump-risk premiums, both driven by risk aversion; and the rare-event premium, dri...
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作者：Yao, R; Zhang, HH
作者单位：University of North Carolina; University of North Carolina Chapel Hill; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We examine the optimal dynamic portfolio decisions for investors who acquire housing services from either renting or owning a house. Our results show that when indifferent between owning and renting, investors owning a house hold a lower equity proportion in their net worth (bonds, stocks, and home equity), reflecting the substitution effect, yet hold a higher equity proportion in their liquid portfolios (bonds and stocks), reflecting the diversification effect. Furthermore, following the subo...
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作者：Hong, YM; Li, HT
作者单位：Cornell University
摘要：We develop a nonparametric specification test for continuous-time models using the transition density. Using a data transform and correcting for the boundary bias of kernel estimators, our test is robust to serial dependence in data and provides excellent finite sample performance. Besides univariate diffusion models, our test is applicable to a wide variety of continuous-time and discrete-time dynamic models, including time-inhomogeneous diffusion, GARCH, stochastic volatility, regime-switchi...
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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：Brown, KC; Dittmar, A; Servaes, H
作者单位：University of Michigan System; University of Michigan; University of London; London Business School
摘要：This article studies the determinants of the success of industry consolidations using a unique sample of firms established at the time of their initial public offering: roll-up IPOs. In these transactions, small, private firms merge into a shell company, which goes public at the same time. These firms deliver poor stock returns; their operating performance mimics that of comparable firms but does not justify their high initial valuations. However, if the managers and owners of the firms includ...
