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作者：Schwert, G. William
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作者：Rosenberg, JV; Schuermann, T
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Integrated risk management for financial institutions requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. We construct the joint risk distribution for a typical large, internationally active bank using the method of copulas. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks such as skewness and fat-tails while allowing for a rich dependenc...
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作者：Bergstresser, Daniel; Philippon, Thomas
作者单位：Harvard University; New York University
摘要：We provide evidence that the use of discretionary accruals to manipulate reported earnings is more pronounced at firms where the CEO's potential total compensation is more closely tied to the value of stock and option holdings. In addition, during years of high accruals, CEOs exercise unusually large numbers of options and CEOs and other insiders sell large quantities of shares. (c) 2005 Elsevier B.V. All rights reserved.
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作者：Liu, Weimin
作者单位：University of Manchester
摘要：Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama-French three-factor model and shows that liquidity is an important source of priced risk. A two-factor (market and liquidity) model well explains the cross-section of stock returns, describing the liquidity premium, subsuming documented anomalies associated with size, long-term contrarian investment, and fundamental (cashflow, earnings, and dividend) to price ratios. In partic...
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作者：Bandi, FM; Russell, JR
作者单位：University of Chicago
摘要：There are two variance components embedded in the returns constructed using high frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high frequency return data recorded at different frequencies, we provide a simple and robust technique to identify both variance components. In the context of a volatility-timing trading strate...
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作者：Brown, WO Jr; Burdekin, RCK; Weidenmier, MD
作者单位：Claremont Colleges; Claremont McKenna College; Claremont Graduate University; National Bureau of Economic Research
摘要：Although it has been well established that financial volatility is related to news and macroeconomic shocks, less emphasis has been placed on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic Wars in 1815 until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced volatility. ...
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作者：Flannery, MJ; Rangan, KP
作者单位：State University System of Florida; University of Florida; University System of Ohio; Case Western Reserve University
摘要：The empirical literature provides conflicting assessments about how firms choose their capital structures. Distinguishing among the three main hypotheses (tradeoff, pecking order, and market timing) requires that we know whether firms have long-run leverage targets and (if so) how quickly they adjust toward them. Yet many previous researchers have applied empirical specifications that fail to recognize the potential for incomplete adjustment. A more general, partial-adjustment model of firm le...
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作者：Johnson, Shane A.; Lin, Ji-Chai; Song, Kyojik Roy
作者单位：Texas A&M University System; Texas A&M University College Station; Mays Business School; Louisiana State University System; Louisiana State University; Sungkyunkwan University (SKKU)
摘要：We test the predictions of dividend signaling models using closed-end equity funds that adopt explicit policies committing them to pay minimum dividend yields. These policies represent deliberate attempts to reduce share price undervaluation relative to NAV. Funds that adopt minimum dividend policies experience reductions in their share price discounts, trade at smaller discounts than other funds, earn greater excess returns following policy adoption, and their managers survive longer than oth...
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作者：Whited, Toni M.
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Do external finance constraints affect the timing of large investment projects? Simulations of a model with fixed capital-stock adjustment costs establish the hypothesis that external finance constraints lower a firm's investment hazard: the probability of undertaking a large project today as a function of the time since the last project. Hazard model estimation that controls for productivity and adjustment costs supports this hypothesis. Small firms that distribute cash to shareholders have h...
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作者：Kothari, SP; Lewellen, J; Warner, JB
作者单位：University of Rochester; Massachusetts Institute of Technology (MIT); Dartmouth College; National Bureau of Economic Research
摘要：We study the stock market's reaction to aggregate earnings news. Prior research shows that, for individual firms, stock prices react positively to earnings news but require several quarters to fully reflect the information in earnings. We find a substantially different pattern in aggregate data. First, returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Second, aggregate returns correlate negatively with concurrent earning...
