1993

最新文章

• WHERE DO BETAS COME FROM - ASSET PRICE DYNAMICS AND THE SOURCES OF SYSTEMATIC-RISK AI翻译
  作者：CAMPBELL, JY; MEI, JP
  作者单位：New York University; Princeton University
  摘要：In this article we break assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected retu...
• ASSESSING THE QUALITY OF A SECURITY MARKET - A NEW APPROACH TO TRANSACTION-COST MEASUREMENT AI翻译
  作者：HASBROUCK, J
  摘要：I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices. The approach decomposes security transaction prices into random-walk and stationary components. The random-walk component may be identified with the efficient price. The stationary component, the difference between the efficient price and the actual transaction price, is termed the pricing error. Its dispersion is a natural measure of market quality. I describe practical strateg...
• RETURN AUTOCORRELATIONS AROUND NONTRADING DAYS AI翻译
  作者：BESSEMBINDER, H; HERTZEL, MG
  摘要：We document a pattern in the serial dependence of security returns around nontrading days. The correlation of return the second day after a weekend or holiday with returns the first day after is unusually low, and in many return series is negative, implying a reversal of price movements. We also document unusually large positive return autocorrelations the last day before and the first day after weekends and holidays. The pattern has existed in equity returns for over 100 years, and also exist...