3期

最新文章

• Stock market risk and return: An equilibrium approach AI翻译
  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...
• Do call prices and the underlying stock always move in the same direction? AI翻译
  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...
• Strategic responses of incumbents to new entry: The effect of ownership structure, capital structure, and focus AI翻译
  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...
• Price discovery in auction markets: A look inside the black box AI翻译
  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...