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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：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...
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作者：Hansen, Robert S.
作者单位：University of Michigan System; University of Michigan
摘要：This article suggests that the lack of use of rights offerings in the United States, a phenomenon referred to as the equity underwriting paradox, can be explained by transaction-cost conditions. A sample of underwritten rights offerings provides support for the explanation. Firms making underwritten rights offerings paid lower underwriter fees but incurred significantly larger price drops just prior to the offering than did firms making underwritten public offerings. Further analysis reveals t...
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作者：Giammarino, Ronald M.; Lewis, Tracy
作者单位：University of British Columbia; University of California System; University of California Davis
摘要：We examine the sale of equity within the context of a model of negotiation between a firm and a less well informed purchaser. We introduce a simple form of negotiation by allowing the firm to set the price of the issue and by assuming that the purchaser is a financier-underwriter who acts strategically. This transaction is analyzed as a noncooperative game, and we identify sequential equilibria that are consistent with observed behavior: namely, that negotiations occasionally fail, that market...
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作者：Nachman, David C.
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this security and that call options written on portfolios of call options on individual primitive securities appr...
