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作者：Mele, Antonio
作者单位：University of London; London School Economics & Political Science; University of Turin
摘要：Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs if risk premia increase more in bad times than they decrease in good times, thereby inducing price-di...
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作者：Kerins, Frank; Kutsuna, Kenji; Smith, Richard
作者单位：Montana State University System; Montana State University Bozeman; Kobe University; Claremont Colleges; Claremont Graduate University
摘要：We document discretionary underpricing and partial adjustment of IPO prices in the public offer tranche of Japan's hybrid auction regime, in which investor information differences are not important, there are no roadshows, preferential allocations are negligible, institutional investing is low, and the public offer tranche cannot fail. The magnitude and variation of underpricing in our sample, which spans relatively hot and cold markets, are similar to those reported for US IPOs. The evidence ...
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作者：Miao, Jianjun; Wang, Neng
作者单位：Columbia University; National Bureau of Economic Research; Boston University; Hong Kong University of Science & Technology
摘要：Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments. We extend the standard real options approach to an incomplete markets environment and analyze the joint decisions of business investments, consumption/savings, and portfolio selection. For a lumpsum investment payoff and an agent with a sufficiently strong precautionary savings motive, an increase in volatility can accelerate investment, contrary to the standard real options analysis. When the agent c...
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作者：Chaieb, Ines; Errunza, Vihang
作者单位：University of Amsterdam; McGill University
摘要：We analyze the impact of both purchasing power parity (PPP) deviations and market segmentation on asset pricing and investor's portfolio holdings. The freely traded securities command a world market risk premium and an inflation risk premium. The securities that can be held by only a subset of investors command two additional premiums: a conditional market risk premium and a segflation risk premium. Our model is empirically supported with important implications for tests of international asset...
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作者：Barber, Brad M.; Lehavy, Reuven; Trueman, Brett
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Davis; University of Michigan System; University of Michigan
摘要：From January 1996 through June 2003, the average daily abnormal return to independent research firm buy recommendations exceeds that of investment bank buy recommendations by 3.1 basis points (almost 8 percentage points annualized). Investment bank buy recommendation underperformance is more pronounced following the NASDAQ market peak (March 10, 2000) and strikingly so for buy recommendations on firms that recently conducted equity offerings. In contrast, investment bank hold and sell recommen...
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作者：Ljungqvist, Alexander; Marston, Felicia; Starks, Laura T.; Wei, Kelsey D.; Yan, Hong
作者单位：New York University; University of Virginia; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas; University of South Carolina System; University of South Carolina Columbia; Centre for Economic Policy Research - UK
摘要：Because sell-side analysts are dependent on institutional investors for performance ratings and trading commissions, we argue that analysts are less likely to succumb to investment banking or brokerage pressure in stocks highly visible to institutional investors. Examining a comprehensive sample of analyst recommendations over the 1994-2000 period, we find that analysts' recommendations relative to consensus are positively associated with investment banking relationships and brokerage pressure...
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作者：Ait-Sahalia, Yacine; Kimmel, Robert
作者单位：Princeton University; Princeton University
摘要：We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by proxies based on the implied volatility of a short-dated at-the-money option. The approximation results in a small loss of accuracy relative to the standard...
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作者：Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing (Jeff); Whitelaw, Robert F.
作者单位：New York University; Reichman University; National Bureau of Economic Research; Barclays
摘要：The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g., at temperatures close to or below freezing, a close link exists between FCOJ prices and that fundamental. Using a simple, theoretically motivated, nonlinear, state dependent model, we can explain approximately 50% of the return variation on days ...
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作者：Gopalan, Radhakrishnan; Nanda, Vikram; Seru, Amit
作者单位：Arizona State University; Arizona State University-Tempe; Washington University (WUSTL); University of Chicago
摘要：We investigate the functioning of internal capital markets in Indian Business Groups. We document that intragroup loans are an important means of transferring cash across group firms and are typically used to support financially weaker firms. Evidence suggests that an important reason for providing support may be to avoid default by a group firm and consequent negative spillovers to the rest of the group. Consistent with such spillovers, the first bankruptcy in a group is followed by significa...
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作者：Calvet, Laurent E.; Fisher, Adial J.
作者单位：University of British Columbia; Imperial College London; Hautes Etudes Commerciales (HEC) Paris
摘要：Equity prices are driven by shocks with persistence levels ranging from intraday horizons to several decades. To accommodate this diversity, we introduce a parsimonious equilibrium model with regime shifts of heteroaeneous durations in fundamentals, and estimate specifications with up to 256 states on daily aggregate returns. The multifrequency equilibrium has higher likelihood than the Campbell and Hentschel [1992. No news is good news: an asymmetric model of changing volatility in stock retu...
