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作者：Pfleiderer, Paul
作者单位：Stanford University
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作者：Dybvig, Philip H.; Huang, Chi-fu
作者单位：Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
摘要：A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. These conclusions do not depend on whether markets are complete.
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作者：Kumar, Praveen
作者单位：Carnegie Mellon University
摘要：In a model of the firm in which insiders are privately Informed of the firm's prospects and investment is endogenous, this article shows the existence of coarse dividend-signaling equilibria: Dividends partition the space of possible prospects of the firm, and changes in dividends reflect broad, or nonincremental, changes in these prospects. These equilibria are shown to exist under general preference and technology structures, and it is argued that they closely match the following anomalous e...
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作者：Campbell, John Y.; Shiller, Robert J.
作者单位：Princeton University; Yale University
摘要：A dividend-ratio model is introduced here that makes the log of the dividend-price ratio on a stock linear in optimally forecast future one-period real discount rates and future one-period growth rates of real dividends. If ex post discount rates are observable, this model can be tested by using vector autoregressive methods. Four versions of the linearized model, differing in the measure of discount rates, are tested for U.S. time series 1871-1986 and 1926-1986: a version that imposes constan...
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作者：Dybvig, Philip H.
作者单位：Yale University; Washington University (WUSTL)
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作者：Dothan, Michael U.
作者单位：University of Minnesota System; University of Minnesota Twin Cities
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作者：Admati, Anat R.; Pfleiderer, Paul
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作者：Dybvig, Philip H.
作者单位：Yale University
摘要：A number of portfolio strategies followed by practitioners are dominated because they are incompletely diversified over time. The payoff distribution pricing model is used to compute the cost of following undiversified strategies. Simple numerical examples illustrate the technique, and computer-generated examples provide realistic estimates of the cost of some typical policies, using reasonable parameter values. The cost can be substantial and should not be ignored by practitioners. A section ...
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作者：Noe, Thomas H.
作者单位：University System of Georgia; Georgia State University; University System of Georgia; Georgia Institute of Technology
摘要：In this article we model the financing decisions of a firm as a sequential signaling game. We prove that, when insiders have perfect information regarding the firm's future cash flows, the application of refinements to the set of admissible equilibria leads to the dominance of debt over equity financing. However, we show that when insiders observe the firm's cash flows imperfectly, there may exist sequential equilibria in which this 'pecking order breaks down and some firms strictly prefer equ...
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作者：Allen, Franklin; Gale, Douglas
作者单位：University of Pennsylvania; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：How should new securities be designed? Traditional theories have little to say on this: the literature on capital structure and general equilibrium theories with incomplete markets takes the securities firms issue as exogenous. This article explicitly incorporates the transaction costs of issuing securities and develops a model in which the instruments that are traded are chosen optimally and the economy's market structure is endogenous. Among other things, it is shown that the firm's income s...
