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作者：Hendershott, T; Jones, CM
作者单位：University of California System; University of California Berkeley; Columbia University
摘要：Responding to a September 2002 regulatory enforcement, the Island electronic communications network stopped displaying its limit order book in the three most active exchange-traded funds (ETFs) where it was the dominant venue. Island's share of trading activity and price discovery fell, fragmenting the market. ETF prices adjust more slowly when Island goes dark, and there is substantial price discovery movement from ETFs to the futures market. Trading costs increase on Island and decrease off ...
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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：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：Post, T; Levy, H
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Hebrew University of Jerusalem
摘要：We use various stochastic dominance criteria that account for (local) risk seeking to analyze market portfolio efficiency relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and price momentum. Our results suggest that reverse S-shaped utility functions with risk aversion for losses and risk seeking for gains can explain stock returns. The results are also consistent with a reverse S-shaped pattern of subjective probability transformation. The low aver...
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作者：Choe, H; Kho, BC; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Seoul National University (SNU); National Bureau of Economic Research
摘要：We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks. Using Korean data, we show that foreign money managers pay more than domestic money managers when they buy and receive less when they sell for medium and large trades. The sample average daily trade-weighted disadvantage of foreign money managers is 21 basis points for purchases and 16 basis points for sales. There is also some evidence that domestic individual investors have an edge over ...
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作者：Sung, JY
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：This article presents a continuous-time agency model in the presence of adverse selection and moral hazard with a risk-averse agent and a risk-neutral principal. Under the model setup, we show that the optimal controls are constant over time, and thus the optimal menu consists of contracts that are linear in the final outcome. We also show that when a moral hazard problem adds to an adverse selection problem, the monotonicity condition well known in the pure adverse selection literature needs ...
