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作者：Cao, HH; Wang, T; Zhang, HH
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas
摘要：We demonstrate that limited participation can arise endogenously in the presence of model uncertainty and heterogeneous uncertainty-averse investors. When uncertainty dispersion among investors is small, full participation prevails in equilibrium. Equity premium is related to the average uncertainty among investors and a conglomerate trades at a price equal to the sum of its single-segment components. When uncertainty dispersion is large, investors with high uncertainty choose not to participa...
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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：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：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：Adams, RB; Almeida, H; Ferreira, D
作者单位：Stockholm School of Economics; New York University; Universidade Nova de Lisboa
摘要：Executives can only impact firm outcomes if they have influence over crucial decisions. On the basis of this idea, we develop and test the hypothesis that firms whose CEOs have more decision-making power should experience more variability in performance. Focusing primarily on the power the CEO has over the board and other top executives as a consequence of his formal position and titles, status as a founder, and status as the board's sole insider, we find that stock returns are more variable f...
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作者：Polkovnichenko, V
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：The proliferation of novel preference theories in financial economics is hampered by a lack of non-experimental evidence and by the theories' additional complexity which has not been shown to be critical in applications. In this article I present arguments in support of preferences with rank dependency. Using the Survey of Consumer Finances data, I document two widespread patterns inconsistent with expected utility: (i) many households simultaneously invest in well-deversified funds and in poo...
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作者：Jiang, GJ; Tian, YS
作者单位：York University - Canada; University of Arizona
摘要：Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the mo...
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作者：Chacko, G; Viceira, LM
作者单位：Harvard University; Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper examines the optimal consumption and portfolio-choice problem of long-horizon investors who have access to a riskless asset with constant return and a risky asset (stocks) with constant expected return and time-varying precision-the reciprocal of volatility. Markets are incomplete, and investors have recursive preferences defined over intermediate consumption. The paper obtains a solution to this problem which is exact for investors with unit elasticity of intertemporal substitution...
