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作者：Kim, SJ
作者单位：Korea Institute for International Economic Policy (KIEP); International Monetary Fund
摘要：This paper develops a model of business groups in emerging markets where banks cannot accurately distinguish between good (high productivity) and bad (low productivity) borrower firms. For stand-alone firms, banks can infer the proportion of bad firms among those that default on contracted debt repayments, and might optimally choose to liquidate all defaulting firms in order to reduce the number of bad firms. Business groups, however, obscure the productivity of individual firms. The optimal p...
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作者：Fama, EF; French, KR
作者单位：University of Chicago
摘要：The class of firms that obtain public equity financing expands dramatically in the 1980s and 1990s. The number of new firms listed on major U.S. stock markets jumps from 156 per year for 1973-1979 to 549 per year for 1980-2001. The characteristics of new lists also change. The cross section of profitability becomes progressively more left skewed, and growth becomes more right skewed. The result is a sharp decline in survival rates. We suggest that the changes in the characteristics of new list...
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作者：Lesmond, DA; Schill, MJ; Zhou, CS
作者单位：University of Virginia; Tulane University; Peking University
摘要：Our paper re-examines the profitability of relative strength or momentum trading strategies (buying past strong performers and selling past weak performers). We find that standard relative strength strategies require frequent trading in disproportionately high cost securities such that trading costs prevent profitable strategy execution. In the cross-section, we find that those stocks that generate large momentum returns are precisely those stocks with high trading costs. We conclude that the ...
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作者：Lewellen, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite ...
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作者：Inderst, R; Müller, HM
作者单位：New York University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
摘要：We develop an equilibrium model of contracting, bargaining, and search in which the relative scarcity of venture capital affects the bargaining power of entrepreneurs and venture capitalists. This in turn affects the pricing, contracting, and value creation in start-ups. The relative scarcity of venture capital is endogenous and depends on the profitability of venture capital investments, entry costs, and transparency of the venture capital market. Supply and demand conditions also affect the ...
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作者：Teo, M; Woo, SJ
作者单位：Singapore Management University
摘要：Using CRSP stock and mutual fund data, we find strong evidence for reversals at the style level (e.g., large value, small growth, etc.). There are significant excess and risk-adjusted returns for stocks in styles characterized by the worst past returns and net inflows. We also find evidence for momentum and positive feedback trading at the style level. These value and momentum effects are driven neither by fundamental risk nor by stock-level reversals and momentum. Taken together, the results ...
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作者：Christoffersen, P; Jacobs, K
作者单位：McGill University; Universite de Montreal
摘要：Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in parameter estimation and model evaluation should be the same, otherwise suboptimal parameter estimates may be obtained. Second, when comparing models, the estimation loss function should be identical acro...
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作者：Almazan, A; Brown, KC; Carlson, M; Chapman, DA
作者单位：Boston College; University of British Columbia; University of Texas System; University of Texas Austin
摘要：We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the portfolio manager is more experienced, (iii) the fund is managed by a team rather than an individual,...
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作者：Ng, LL; Wang, QH
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee
摘要：This study provides evidence that links institutional trading behavior directly to anomalous turn-of-the-year return patterns of small stocks. We find that turn-of-the-year trading patterns of institutions reflect strategies generally consistent with window-dressing and risk-shifting behaviors. Institutions sell more loser small stocks in the last quarter of the year, but buy more small stocks, winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end...
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作者：Bae, KH; Chan, K; Ng, A
作者单位：Hong Kong University of Science & Technology; Korea University
摘要：Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation between return volatility and the investibility of individual stocks, even after controlling for country, industry, firm size, and turnover. We also find that a highly investible emerging market portfolio is...
