2002

最新文章

• Investor protection and equity markets AI翻译
  作者：Shleifer, A; Wolfenzon, D
  作者单位：Harvard University; New York University
  摘要：We present a simple model of an entrepreneur going public in an environment with poor legal protection of outside shareholders. The model incorporates elements of Becker's (J. Political Econ. 106 (1968) 172) crime and punishment framework into a corporate finance environment of Jensen and Meckling (J. Financial Econ. 3 (1976) 305). We examine the entrepreneur's decision and the market equilibrium. The model is consistent with a number of empirical regularities concerning the relation between i...
• The jump-risk premia implicit in options: evidence from an integrated time-series study AI翻译
  作者：Pan, J
  作者单位：Massachusetts Institute of Technology (MIT)
  摘要：This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia Uncovered from the joint data respond quickly to market volatility, becoming more prominent during volatile markets. This form of jump-risk premia is important not only in reconciling the dynamics implied by the joint data, but also in explaining the volatility smirks of cross-sectional options...
• Dating the integration of world equity markets AI翻译
  作者：Bekaert, G; Harvey, CR; Lumsdaine, RL
  作者单位：Duke University; Columbia University; Deutsche Bank; National Bureau of Economic Research
  摘要：Regulatory changes that appear comprehensive will have little impact on the functioning of a developing market if they fail to lead to foreign portfolio inflows. We specify a reduced-form model for a number of financial time series and search for a common, endogenous break in the data generating process. We also estimate a confidence interval for the break. Our endogenous break dates are accurately estimated but do not always correspond closely to dates of official capital market reforms. Inde...
• Do after-tax returns affect mutual fund inflows? AI翻译
  作者：Bergstresser, D; Poterba, J
  作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
  摘要：This paper explores the relationship between the after-tax returns that taxable investors earn on equity mutual funds and the subsequent cash inflows to these funds. Previous studies have documented that funds with high pretax returns attract greater inflows. This paper presents evidence, based on a large sample of retail equity mutual funds over the period 1993-1999, that after-tax returns have more explanatory power than pretax returns in explaining inflows. In addition, funds with large ove...
• Investing in equity mutual funds AI翻译
  作者：Pástor, L; Stambaugh, RF
  作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
  摘要：We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill, By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal port...
• Equilibrium and welfare in markets with financially constrained arbitrageurs AI翻译
  作者：Gromb, D; Vayanos, D
  作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
  摘要：We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In our model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to take a socially optimal lev...
• IPO allocations: discriminatory or discretionary? AI翻译
  作者：Ljungqvist, AP; Wilhelm, WJ Jr
  作者单位：New York University; Centre for Economic Policy Research - UK; University of Oxford; University of Virginia
  摘要：We estimate the structural links between IPO allocations, pre-market information production, and initial underpricing and find that (1) allocation policies favor institutional investors, both in the US and worldwide; (2) increasing institutional allocations results in offer prices that deviate more from the pre-marketing price range; (3) constraints on bankers' discretion reduce institutional allocations and result in smaller price revisions, indicating diminished information production; and (...
• Governance with poor investor protection: evidence from top executive turnover in Italy (vol 64, pg 61, 2002) AI翻译
  作者：Volpin, PF
  作者单位：University of London; London Business School
• Untitled AI翻译
  作者：Green, R; O'Hara, M; Schwert, GW
• When a buyback isn't a buyback: open market repurchases and employee options AI翻译
  作者：Kahle, KM
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
  摘要：This paper examines how stock options affect the decision to repurchase shares. Firms announce repurchases when executives have large numbers of options outstanding and when employees have large numbers of options currently exercisable. Once the decision to repurchase is made, the amount repurchased is positively related to total options exercisable by all employees but independent of managerial options. These results are consistent with managers repurchasing both to maximize their own wealth ...