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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：Williams, Joseph
作者单位：New York University
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作者：Lo, Andrew W.; MacKinlay, A. Craig
作者单位：University of Pennsylvania
摘要：In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at ferent frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-...
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作者：Admati, Anat R.; Pfleiderer, Paul
作者单位：Stanford University
摘要：This article develops a theory in which concentrated-trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.
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作者：Bagnoli, Mark; Lipman, Barton L.
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University
摘要：While most takeover models assume atomistic stockholders, we analyze a single-raider model with finitely many stockholders. Because the raider can always make some stockholders pivotal, be can overcome the free-rider problem identified by Grossman and Hart (1980) and others in atomistic-stockholder models and profitably take over even without exclusion. One might expect that it would be harder for the raider to make stockholders of more widely held firms pivotal and that exclusion would thus b...
