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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：Jarrow, Robert A.
作者单位：Cornell University
摘要：This article investigates the structure on preferences required to derive Ross's arbitrage pricing theory (APT). It is shown that only ordinal preferences are required. In particular, the APT does not require that agents possess preferences representable as risk. averse expected utility functions. This characteristic of the APT is not shared by the standard equilibrium-based capital asset pricing models.
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作者：MacKinlay, A. Craig; Ramaswamy, Krishna
作者单位：University of Pennsylvania
摘要：This article examines intraday transaction data for S&P 500 stock index futures prices and the intraday quotes for the underlying index. The data indicate that the futures price changes are uncorrelated and that the variability of these price changes exceeds the variability of price changes in the S&P 500 index. This excess variability of the futures over the index remains even after controlling for the nonsyncbronous prices in the index quotes, which induces auto-correlation in the index chan...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Los Angeles
摘要：Trading costs, in the form either of explicit charges or of the costs of becoming informed, limit the participation of some classes of traders in commodity futures markets. When speculators face a fixed cost of participating in a futures market that is used by commodity producers to hedge their stochastic revenues, the futures risk premium deviates from the perfect markets prediction. The deviation rises in absolute value with the square root of the trading cost and with the standard deviation...
