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作者：Jones, CS; Shanken, J
作者单位：University of Southern California; Emory University
摘要：The average level and cross-sectional variability of fund alphas are estimated from a large sample of mutual funds. This information is incorporated, along with the usual regression estimate of alpha, in a (roughly) precision-weighted average measure of individual fund performance. Substantial learning across funds is documented, with significant effects on investment decisions. In a Bayesian framework, this form of learning is inconsistent with the assumption, made in the past literature, of ...
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作者：Svenstrup, M
作者单位：Aarhus University
摘要：This paper resolves the disagreement between Longstaff et al. [2001. Journal of Finance Economics 62, 39-66] and Andersen and Andreasen [2001. Journal of Financial Economics 62, 3-37] over the effectiveness of the common business practice of using best-fit single-factor term structure models to deduce exercise strategies of Bermudan swaptions. I examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multifactor world. I show t...
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作者：Ghysels, E; Santa-Clara, P; Valkanov, R
作者单位：University of California System; University of California Los Angeles; University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies the intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns, the mixed data sampling (or MIDAS) approach. Using MIDAS, we find a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process and to controlling for var...
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作者：de Jong, F; de Roon, FA
作者单位：Tilburg University; University of Amsterdam
摘要：In the last two decades, emerging stock markets have become less segmented from world stock markets. The average annual decrease in se.-mentation of 0.055, on a [0,. 1] scale, reduces the cost of capital (measured by dividend yields) by about I I basis points, and reduces stock returns by about 4.5%. The decline in expected returns is due to a decrease in two types of segmentation. A fall in local segmentation accounts for about 2/3 of the decline in expected returns. The remaining 1/3 is due ...
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作者：Childs, PD; Mauer, DC; Ott, SH
作者单位：Southern Methodist University; University of Kentucky; University of North Carolina; University of North Carolina Charlotte
摘要：We examine interactions between flexible financing and investment decisions in a model with stockholder-bondholder conflicts over investment policy. We find that financial flexibility encourages the choice of short-term debt thereby dramatically reducing the agency costs of under- and overinvestment. However, the reduction in agency costs may not encourage the firm to increase leverage, since the firm's initial debt level choice depends on the type of growth options in its investment opportuni...
