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作者：Lo, AW; Wang, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover. If two-fund separation holds, share turnover must be identical for all securities. If (K + 1)-fund separation holds, we show that turnover satisfies an approximately linear K-factor structure. These implications are examined empirically using individual weekly turnover data for NYSE and AMEX se...
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作者：Whitelaw, RF
作者单位：New York University
摘要：Empirical evidence that expected stock returns are weakly related to volatility at the market level appears to contradict the intuition that risk and return are positively related. We investigate this issue in a general equilibrium exchange economy characterized by a regime-switching consumption process with time-varying transition probabilities between regimes. When estimated using consumption data, the model generates a complex, nonlinear and time-varying relation between expected returns an...
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作者：Hellmann, T; Puri, M
作者单位：Stanford University
摘要：Venture capital financing is widely believed to be influential for new innovative companies. We provide empirical evidence that venture capital financing is related to product market strategies and outcomes of start-ups. Using a unique hand-collected database of Silicon Valley high-tech start-ups we find that innovator firms are more likely to obtain venture capital than imitator firms. Venture capital is also associated with a significant reduction in the time to bring a product to market, es...
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作者：MacKinlay, AC; Pástor, L
作者单位：University of Pennsylvania; National Bureau of Economic Research; University of Chicago
摘要：When a risk factor is missing from an asset pricing model, the resulting mispricing is embedded within the residual covariance matrix. Exploiting this phenomenon leads to expected return estimates that are more stable and precise than estimates delivered by standard methods. Portfolio selection can also be improved. At an extreme, optimal portfolio weights are proportional to expected returns when no factors are observable. We find that such portfolios perform well in simulations and in out-of...
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作者：Bakshi, G; Cao, C; Chen, ZW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Maryland; University of Maryland College Park; Yale University
摘要：This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or decrease, together. Our results are valid after controlling for time decay and market microstructure effects. Therefore one-dimensional diffusion option models cannot be completely consistent with observed op...
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作者：Cason, TN
作者单位：Purdue University System; Purdue University
摘要：This article reports an asset market experiment in which asymmetrically informed traders transact through competing dealers. Dealers face a classic adverse selection problem, because some traders have private information regarding the asset value while other traders are uninformed. When dealers cannot communicate outside the market, they price the asset competitively and the market is generally informationally efficient. When dealers communicate privately between periods, they collude successf...
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作者：Khanna, N; Tice, S
作者单位：Michigan State University; Michigan State University's Broad College of Business; Tulane University
摘要：We examine how certain firm- and market-specific characteristics affect incumbent firms' responses to new entry into their local markets. Data comes from the discount department store industry where Wal-Mart entered a large number of markets in a short period of time. Consistent with existing research, larger and more profitable incumbents respond more aggressively to Wal-Mart's entry while more highly levered incumbents respond less aggressively. Also, there is evidence that incumbent manager...
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作者：Jackwerth, JC
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. We empirically derive risk aversion functions implied by option prices and realized returns on the S&P500 index simultaneously. These risk aversion functions dramatically change shapes around the 1987 crash: Precrash, they are positive and decreasing in wealth and largely consistent with standard assumptions made in economic theory. Postcrash, they are partially negative a...
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作者：Betton, S; Eckbo, BE
作者单位：Dartmouth College; Concordia University - Canada
摘要：We estimate sequentially outcome probabilities and expected payoffs associated with first, second, and final bids in a large sample of tender offer contests. Rival bids arrive quickly and produce large bid jumps. Greater bidder toeholds (prebid ownership of target shares) reduce the probability of competition and target resistance and are associated with both lower bid premiums and lower prebid target stock price runups. The expected payoff to target shareholders is increasing in the bid premi...
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作者：Madhavan, A; Panchapagesan, V
作者单位：Washington University (WUSTL); University of Southern California
摘要：Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening price and test the model using order-level data. We show that the presence of designated dealers facilitates price discovery relative to a fully automated call auction market. This is consistent with s...
