5期

最新文章

• The second fundamental theorem of asset pricing: A new approach AI翻译
  作者：Battig, RJ; Jarrow, RA
  作者单位：Cornell University
  摘要：This article presents a new definition of market completeness that is independent of the notions of no arbitrage and equivalent martingale measures. Our definition has many advantages, all shown herein. First, it preserves the Second Fundamental Theorem of Asset Pricing, even in complex economies. Second, under our definition, the market can be complete yet arbitrage opportunities exist. This is important in practice, and stands in contrast to the traditional definitions. Third, under the assu...
• The specialist's discretion: Stopped orders and price improvement AI翻译
  作者：Ready, MJ
  作者单位：University of Wisconsin System; University of Wisconsin Madison
  摘要：When a market order arrives, the NYSE specialist can offer a price one tick better than the limit orders on the book and trade for his own account. Alternatively, the specialist can stop the market order, which means he guarantees execution at the current quote but provides the possibility of price improvement. My model shows that specialists can use stops to sample the future order flow before making a commitment to trade. I present empirical evidence that both stops and immediate price impro...
• Stock market overreaction to bad news in good times: A rational expectations equilibrium model AI翻译
  作者：Veronesi, P
  作者单位：University of Chicago
  摘要：This article presents a dynamic, rational expectations equilibrium model of asset prices where the drift of fundamentals (dividends) shifts between two unobservable states at random times. I show that in equilibrium, investors' willingness to hedge against changes in their own uncertainty on the true state makes stock prices overreact to bad news in good times and underreact to good news in bad times. I then show that this model is better able than conventional models with no regime shifts to ...