-
作者：Buraschi, A; Jiltsov, A
作者单位：University of London; London Business School
摘要：We study the properties of the nominal and real risk premia of the term structure of interest rates. We develop and solve the bond pricing implications of a structural monetary version of a real business cycle model, with taxes and endogenous monetary policy. We show the relation of this model with the class of essentially affine models that incorporate an endogenous state-dependent market price of risk. We characterize and estimate the inflation risk premium and find that over the last 40 yea...
-
作者：Grinblatt, M; Han, B
作者单位：University of California System; University of California Los Angeles; University System of Ohio; Ohio State University
摘要：The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental Values and the updating of reference prices, generates predictable equilibrium prices interpretable as possessing momentum. Empirically, a variable proxying for aggregate unrealized capit...
-
作者：Lesmond, DA
作者单位：Tulane University
摘要：Emerging markets are characterized by volatile, but substantial returns that can easily exceed 75% per annum. Balancing these lofty returns are liquidity costs that, using the bid-ask spread as a basis, range from 1% for the Taiwanese market to over 47% for the Russian market. However, the paucity of bid-ask spread information across countries and time requires the use of liquidity estimates in emerging markets even though little is known about the efficacy of these estimates in measuring bid-...
-
作者：Kato, HK; Lemmon, M; Luo, M; Schallheim, J
作者单位：Utah System of Higher Education; University of Utah; Kobe University
摘要：In May 1997, the Japanese Commercial Code was amended to allow firms to begin granting stock options as compensation to top management and employees. Nearly 350 firms adopted option-based compensation plans between 1997 and 2001. These options typically have five year lives and are out-of-the-money by about 5% at the grant date. Firms exhibit abnormal stock returns of about 2%, around the announcements of plan adoptions. We find improvements in operating performance and observe that dividend p...
-
作者：Khanna, N; Tice, S
作者单位：Tulane University; Michigan State University; Michigan State University's Broad College of Business
摘要：We compare pricing and exit decisions of discounters across the business cycle. Cities containing high debt and/or low efficiency firms display higher prices during non-recession years. During recessions, prices increase in cities with less efficient incumbents, but decrease in cities with a mix of high and low debt firms. High debt firms are more likely to exit cities with lower prices, and high debt exiting firms are more likely to be efficient. Apparently, low debt firms strategically lower...
-
作者：Asquith, P; Pathak, PA; Ritter, JR
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; State University System of Florida; University of Florida
摘要：Stocks are short-sale constrained when there is a strong demand to sell short and a limited Supply of shares to borrow. Using data on both short interest (a proxy for demand) and institutional ownership (a proxy for supply) we find that constrained stocks underperform during the period 1988 - 2002 by a significant 215 basis points per month on an equally weighted basis, although by only in insignificant 39 basis points per month on a value-weighted basis. For the overwhelming majority of stock...
-
作者：Cronqvist, H; Nilsson, M
作者单位：University System of Ohio; Ohio State University
摘要：We develop and test a nested logit model to examine how firms choose between a rights offering and a private equity placement. Family controlled firms avoid issue methods that dilute control benefits or subject them to more monitoring, especially when the family's control margin is small and the wedge between votes and capital is large. Control considerations also affect security design. Private placements reduce contracting and ex post holdup Costs ill new product market relationships. Finall...
-
作者：Bettis, JC; Bizjak, JM; Lemmon, ML
作者单位：Portland State University; Arizona State University; Arizona State University-Tempe; Utah System of Higher Education; University of Utah
摘要：We use a large database on ESO exercises to document characteristics of exercise behavior and calibrate a utility-based model for measuring how differences in exercise behavior are manifested in option values and incentives. Option values and incentives computed from the model calibrations are compared to those computed from models used to value tradable options. Our analysis provides guidance to both academics and practitioners about how differences in exercise behavior and model choice affec...
-
作者：Boubakri, N; Cosset, JC; Guedhami, O
作者单位：Universite de Montreal; HEC Montreal; Memorial University Newfoundland
摘要：We investigate the role of ownership structure and investor protection in postprivatization corporate governance. Using a sample of 209 privatized firms from 39 countries over the period 1980 to 2001, we find that the government relinquishes control over time to the benefit of local institutions, individuals, and foreign investors, and that private ownership tends to concentrate over time. Firm size, growth, and industry affiliation, privatization method, as well as the level of institutional ...
-
作者：Barberis, N; Shleifer, A; Wurgler, J
作者单位：Harvard University; Yale University; New York University
摘要：Building on Vijh (Rev. Financial Stud. 7 (1994)), we use additions to the S&P 500 to distinguish two views of return comovement: the traditional view, which attributes it to comovement in news about fundamental value, and an alternative view, in which frictions or sentiment delink it from fundamentals. After inclusion, a stock's beta with the S&P goes up. In bivariate regressions which control for the return of non-S&P stocks, the increase in S&P beta is even larger. These results are generall...
