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作者：Bikhchandani, Sushil; Huang, Chi-fu
作者单位：University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
摘要：This article develops a model of competitive bidding with a resale market. The primary market is modeled as a common-value auction, in which bidders participate for the purpose of resale. After the auction the winning bidders sell the objects in a secondary markets, and the buyers in the secondary market receive information about the bids submitted in the auction. The effect of this information linkage between the primary auction and the secondary market on bidding behaviour in the primary auc...
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作者：Bagnoli, Mark; Gordon, Roger; Lipman, Barton L.
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University
摘要：We develop a model in which stock repurchases serve as a defence against takeovers by signaling the manager's private information about the value of the firm. the manager repurchases shares to block a takeover only if the cost of doing so is not too high. Since the cost is inversely related to the value of the firm under his management, a repurchase signals that the value of the stock is high, blocking a takeover. While a repurchase increases the expected value of the stock, it also makes the ...
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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...
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作者：Duffie, Darrell; Jackson, Matthew O.
作者单位：Stanford University; Northwestern University
摘要：This article presents a simple model of the innovation of new futures contracts by transaction volume-maximizing futures exchanges in incomplete markets under uncertainty, with mean-variance preferences and proportional transactions costs. We characterize the set of Nash equilibria for a number of exchanges simultaneously or sequentially choosing contracts. The optimal monopolistic contract design is shown to be Pareto-optimal. An example shows the failure of Pareto optimality for a particular...
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作者：Grinblatt, Mark; Titman, Sheridan
作者单位：University of California System; University of California Los Angeles
摘要：This article presents a model that provides insights about various measures of portfolio performance. The model explores several criticisms of these measures. These include the problem of identifying an appropriate benchmark portfolio, the possibility of overestimating risk because of market-timing ability, and the failure of informed investors to earn positive risk-adjusted returns because of increasing risk aversion. The article argues that these need not be serious impediments to performanc...
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作者：Dammon, Robert M.; Dunn, Kenneth B.; Spatt, Chester S.
作者单位：Carnegie Mellon University
摘要：This article reexamines the value of tax trading when the tax rate on long-term realizations is less than that on short-term realizations. In particular, the value of the option to realize long-term capital gains and repurchase stock in order to increase one's tax basis and restart the option to realize future losses short term is examined empirically. Our estimate of the incremental value of restarting, which is based on the results of simulations of several alternative tax trading policies o...
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作者：Connor, Gregory; Korajczyk, Robert A.
作者单位：University of California System; University of California Berkeley; Northwestern University
摘要：This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behaviour of dividends. We describe conditions under which the econometric techniques typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the st...
