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作者：Pollet, Joshua M.; Wilson, Mungo
作者单位：Michigan State University; University of Oxford
摘要：If the Roll critique is important, changes in the variance of the stock market may be only weakly related to changes in aggregate risk and subsequent stock market excess returns. However, since individual stock returns share a common sensitivity to true market return shocks, higher aggregate risk can be revealed by higher correlation between stocks. In addition, a change in stock market variance that leaves aggregate risk unchanged can have a zero or even negative effect on the stock market ri...
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作者：Beber, Alessandro; Breedon, Francis; Buraschi, Andrea
作者单位：Imperial College London; University of Amsterdam
摘要：This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices. We focus on currency markets, where the absence of short-selling constraints allows us to perform sharper tests of theoretical predictions. Using a unique data set with detailed information on foreign-exchange forecasts, we construct an empirical proxy for differences in beliefs. We show that this proxy has a strong effect on the implied volatility of currency options beyond the volatility of macroecon...
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作者：Degeorge, Francois; Derrien, Francois; Womack, Kent L.
作者单位：University of Toronto; Hautes Etudes Commerciales (HEC) Paris; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：Between 1999 and 2007, WR Hambrecht completed 19 initial public offerings (IPOs) in the US using an auction mechanism. We analyze investor behavior and mechanism performance in these auctioned IPOs using detailed bidding data. The existence of some bids posted at high prices suggests that some investors (mostly retail) try to free-ride on the mechanism. But institutional demand in these auctions is very elastic, suggesting that institutional investors reveal information in the bidding process....
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作者：Qi, Yaxuan; Roth, Lukas; Wald, John K.
作者单位：University of Texas System; University of Texas at San Antonio; Concordia University - Canada; University of Alberta
摘要：We examine the impact of country-level political rights on the cost of debt for corporate bonds issued by firms incorporated in 39 countries. Similar to, but separate from, the relation for creditor rights, greater political rights are associated with lower yield spreads. A one standard deviation increase in political rights is associated with an 18.6% decline in bond spreads. We find evidence that political and legal institutions are substitutes; marginal improvements in political rights prod...
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作者：Fahlenbrach, Ruediger; Low, Angie; Stulz, Rene M.
作者单位：University System of Ohio; Ohio State University; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Nanyang Technological University; National Bureau of Economic Research; European Corporate Governance Institute
摘要：Companies actively seek to appoint outside CEOs to their boards. Consistent with our matching theory of outside CEO board appointments, we show that such appointments have a certification benefit for the appointing firm. CEOs are more likely to join boards of large established firms that are geographically close, pursue similar financial and investment policies, and have comparable governance to their own firms. The first outside CEO director appointment has a higher stock-price reaction than ...
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作者：Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay
作者单位：Dartmouth College; Stanford University; Emory University
摘要：It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used in the literature. We argue that asset pricing tests are often highly misleading, in the sense that apparently strong explanatory power (high cross-sectional R(2)s and small pricing errors) can provide quite weak ...
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作者：Medvedev, Alexey; Scaillet, Olivier
作者单位：University of Geneva; University of Geneva
摘要：We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit ...
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作者：Veronesi, Pietro; Zingales, Luigi
作者单位：University of Chicago; National Bureau of Economic Research
摘要：We calculate the costs and benefits of the largest ever US government intervention in the financial sector announced during the 2008 Columbus-day weekend. We estimate that this intervention increased the value of banks' financial claims by $130 billion (bn) at a taxpayers' cost of $21-$44 billion with a net benefit between $86 and $109 bn. By looking at the limited cross section, we infer that this net benefit arises from a reduction in the probability of bankruptcy, which we estimate would de...
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作者：Patton, Andrew J.; Timmermann, Allan
作者单位：University of California System; University of California San Diego; Duke University; University of Oxford
摘要：Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work,...
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作者：Hoshi, Takeo; Kashyap, Anil K.
作者单位：University of Chicago; University of California System; University of California San Diego; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：During the financial crisis that started in 2007, the U.S. government has used a variety of tools to try to rehabilitate the U.S. banking industry. Many of those strategies were also used in Japan to combat its banking problems in the 1990s. There are also a surprising number of other similarities between the current U.S. crisis and the recent Japanese crisis. The Japanese policies were only partially successful in recapitalizing the banks until the economy finally started to recover in 2003. ...
