-
作者：Cornell, Bradford; Shapiro, Alan C.
作者单位：University of California System; University of California Los Angeles; University of Southern California
摘要：This article documents an apparent pricing anomaly involving 91/4 percent, 30-year Treasury bonds during the months of May and June 1986. During this period, the price of the 91/4s rose sharply relative to the prices of other long-term Treasury bonds and created a potential arbitrage opportunity. In addition, owners of the 91/4 bonds were able to borrow at a zero interest rate by pledging their bonds. Detailed examination reveals that this relative pricing anomaly cannot be attributed to chang...
-
作者：Boyle, Phelim P.; Evnine, Jeremy; Gibbs, Stephen
作者单位：University of California System; University of California Berkeley; University of Waterloo
摘要：We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.
-
作者：Admati, Anat R.; Pfleiderer, Paul
作者单位：Stanford University
摘要：This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
-
作者：Conrad, Jennifer; Kaul, Gautam
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan
摘要：This article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter-horizon (weekly) expected returns. The most striking aspect of our findings is that the rapid mean reversion in short-horizon expected returns implies much greater variation through time in monthly expected returns than has been documented in earlier studies. For instance, during the 1962 to 1985 period, over 25 percent of the return variance of small f...
-
作者：Sundaresan, Suresh M.
作者单位：Columbia University
摘要：In this article we construct a model in which a consumer's utility depends on the consumption history. We describe a general equilibrium framework similar to Cox, Ingersoll, and Ross (1985a). A simple example is then solved in closed form in this general equilibrium setting to rationalize the observed stickiness of the consumption series relative to the fluctuations in stock market wealth. The sample paths of consumption generated from this model imply lower variability in consumption growth r...
-
作者：Korajczyk, Robert A.; Viallet, Claude J.
作者单位：Northwestern University; University of Chicago; INSEAD Business School
摘要：We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States,Japan, the United Kingdom and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios. We find that multifactor models tend to outperform single-index models in both domestic and international forms especially in their abili...
-
作者：Madan, Dilip B.; Milne, Frank; Shefrin, Hersh
作者单位：University System of Maryland; University of Maryland College Park; Australian National University; Santa Clara University
摘要：The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is shown to result, provided jump probabilities are replaced by their corresponding Arrow-Debreu prices.
-
作者：Thakor, Anjan V.
作者单位：Indiana University System; Indiana University Bloomington
摘要：This article studies an asymmetric information game with type convergence, in which, under some realizations of a common uncertainty, inducing informed agents to reveal their types through self selection by contract choke is either costly or impossible. Under other realizations, self-selection permits costless distinctions between informed agents. I obtain sufficient conditions under which contracting with options prior to the realization of the common uncertainty leads to the existence of a p...
-
作者：Ronn, Aimee Gerbarg; Ronn, Ehud I.
作者单位：Stanford University; University of Texas System; University of Texas Austin
摘要：This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing arbitrage bounds and are tested using Chicago Board Options Exchange data.
-
作者：Bossaerts, Peter; Green, Richard C.
作者单位：Carnegie Mellon University
摘要：We derive and test a dynamic discrete-time model of asset returns. Both the risks of individual securities and equilibrium risk premia change predictably in the model but these changes can be attributed to movements in the returns and prices of only two well-diversified portfolios. Any other components of returns should be unpredictable. Using the generalized method of moments, the model is estimated and tested on portfolios of equities. We find the data supportive of the model's restrictions,...
