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作者：BESSEMBINDER, H
摘要：I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject complete integration of futures and asset markets. As predicted, estimates of the zero-beta rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures va...
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作者：SHANKEN, J
作者单位：Carnegie Mellon University
摘要：An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptoti...
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作者：KAZEMI, HB
摘要：A testable single-beta model of asset prices is presented. If state variables have a long-run stationary joint density function, then the rate return on a very long-term default-free discount bond will be perfectly correlated with the representative investor's marginal utility of consumption. Thus, the covariance of an asset's return with the return on such a bond will be an appropriate measure of the asset's riskiness. The model can be, therefore, applied or tested even though the market port...
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作者：SEPPI, DJ
摘要：I investigate the empirical importance of information revelation in the pricing of block trades. In particular, I examine whether block prices are correlated with the unexpected part of firms' quarterly earnings. For my sample of block trades, information revelation does indeed appear to be a significant factor shortly before earnings announcements.
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作者：GIVOLY, D; HAYN, C; OFER, AR; SARIG, O
作者单位：University of Pennsylvania; Tel Aviv University
摘要：While the theoretical relation between taxes and capital structure has been extensively analyzed, the empirical evidence on this issue has thus far been inconclusive. One of the main difficulties confronting previous empirical studies of the cross-sectional relationship between taxes and leverage was the control of intervening variables. The Tax Reform Act of 1986 (TRA), which drastically changed the tax regime, provides a unique opportunity to assess the interaction between taxes and leverage...
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作者：HODRICK, RJ
摘要：Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980)procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1991), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) ...
