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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：Schwert, G. William
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作者：Khorana, Ajay; Tufano, Peter; Wedge, Lei
作者单位：Harvard University; University System of Georgia; Georgia Institute of Technology; State University System of Florida; University of South Florida
摘要：We study mutual fund mergers between 1999 and 2001 to understand the role and effectiveness of fund boards. Some fund mergers-typically across-family mergers-benefit target shareholders but are costly to target fund directors. Such mergers are more likely when funds underperform and their boards have a larger percentage of independent trustees, suggesting that more-independent boards tolerate less underperformance before initiating across-family mergers. This effect is most pronounced when all...
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作者：Fan, Joseph P. H.; Wong, T. J.; Zhang, Tianyu
作者单位：Chinese University of Hong Kong; City University of Hong Kong
摘要：Almost 27% of the CEOs in a sample of 790 newly partially privatized firms in China are former or current government bureaucrats. Firms with politically connected CEOs underperform those without politically connected CEOs by almost 18% based on three-year post-IPO stock returns and have poorer three-year post-IPO earnings growth, sales growth, and change in returns on sales. The negative effect of the CEO's political ties also show up in the first-day stock return. Finally, firms led by politi...
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作者：Kale, Jayant R.; Shahrur, Husayn
作者单位：Bentley University; University System of Georgia; Georgia State University
摘要：We investigate the link between a firm's leverage and the characteristics of its suppliers and customers. Specifically, we examine whether firms use decreased leverage as a commitment mechanism to induce suppliers/customers to undertake relationship-specific investments. We find that the firm's leverage is negatively related to the R&D intensities of its suppliers and customers. We also find lower debt levels for firms operating in industries in which strategic alliances and joint ventures wit...
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作者：Coval, Joshua; Stafford, Erik
作者单位：Harvard University
摘要：This paper examines institutional price pressure in equity markets by studying mutual fund transactions caused by capital flows from 1980 to 2004. Funds experiencing large outflows tend to decrease existing positions, which creates price pressure in the securities held in common by distressed funds. Similarly, the tendency among funds experiencing large inflows to expand existing positions creates positive price pressure in overlapping holdings. Investors who trade against constrained mutual f...
