-
作者：Willard, GA; Dybvig, PH
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Analysis of absence of arbitrage normally ignores payoffs in states to which the agent assigns zero probability. We extend the fundamental theorem of asset pricing to the case of no empty promises in which the agent cannot promise arbitrarily large payments in some states. There is a superpositive pricing rule that can assign positive price to claims in zero probability states important to the market as well as assigning positive prices to claims in the states of positive probability. With con...
-
作者：Duffie, D; Singleton, KJ
作者单位：Stanford University; National Bureau of Economic Research
摘要：This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the Valuation of a credit-spread option.
-
作者：Michaely, R; Womack, KL
作者单位：Cornell University; Dartmouth College
摘要：Brokerage analysts frequently comment on and sometimes recommend companies that their firms have recently taken public. We show that stocks that underwriter analysts recommend perform more poorly than buy recommendations by unaffiliated brokers prior to, at the time of and subsequent to the recommendation date. We conclude that the recommendations by underwriter analysts show significant evidence of bias. We show also that the market does not recognize the full extent of this bias. The results...
