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作者：Schwert, GW
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作者：Bandi, FM
作者单位：University of Chicago
摘要：We use new fully functional methods to describe and study the dynamics of the short-term interest rate process in continuous-time. The suggested procedure exploits the spatial properties, embodied in the local time process, of the diffusion of interest, and is robust against deviations from stationarity. Our results indicate that the misspecification of a standard constant elasticity of variance model with linear mean-reverting drift cannot be attributed to the nonlinear behavior of the infini...
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作者：Baker, M; Savasoglu, S
作者单位：Harvard University; Morgan Stanley
摘要：A diversified portfolio of risk arbitrage positions produces an abnormal return of 0.6 0.9% per month over the period from 198 1 to 1996. We trace these profits to practical limits on risk arbitrage. In our model of risk arbitrage, arbitrageurs' risk-bearing capacity is constrained by deal completion risk and the size of the position they hold. Consistent with this model, we document that the returns to risk arbitrage increase in an ex ante measure of completion risk and target size. We also e...
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作者：Abreu, D; Brunnermeier, MK
作者单位：Princeton University
摘要：We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk-which is distinct from noise trader risk and fundamental risk-arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs. We show that rational arbitrageurs time the market rather than correct mispricing right away. This leads to delayed arbitrage. The analysis suggests that behav...
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作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：INSEAD Business School; Stanford University; New York University
摘要：We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline. This price decline is to be anticipated, for example, after an initial public offering, and is increasing in the degree of heterogeneity of beliefs about the future value of the security. The prospect of lending fees may push the ini...
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作者：Chen, J; Hong, H; Stein, JC
作者单位：Harvard University; University of Southern California; Stanford University
摘要：We develop a stock market model with differences of opinion and short-sales constraints. When breadth is low-i.e., when few investors have long positions-this signals that the short-sales constraint is binding tightly, and that prices are high relative to fundamentals. Thus reductions in breadth should forecast lower returns. Using data on mutual fund holdings, we find that stocks whose change in breadth in the prior quarter is in the lowest decile of the sample underperform those in the top d...
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作者：Cohen, RB; Gompers, PA; Vuolteenaho, T
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：A large body of literature suggests that firm-level stock prices underreact to news about future cash flows; i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Institutions buy shares from (sell shares to) individuals in response to positive (negative) cash-flow news, thus exploiting the underreaction phenomenon. Instituti...
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作者：Hatch, BC; Johnson, SA
作者单位：Louisiana State University System; Louisiana State University; University System of Ohio; University of Cincinnati
摘要：Acquisitions among New York Stock Exchange specialist firms can increase specialist firm size, capitalization, and market concentration, and thereby affect the market quality of the stocks they trade. We find that while traded stocks show significant improvement in several market quality measures following acquisitions, similar changes are evident in matched control stocks not involved in acquisitions. We conclude that specialist firm acquisitions either do not improve market quality, or impro...
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作者：Greene, JT; Hodges, CW
作者单位：University System of Georgia; Georgia State University; University System of Georgia; University of West Georgia
摘要：We examine how mutual fund flows that are correlated with subsequent fund returns can have a dilution impact on the performance of open-end funds. Active trading of open-end funds has a meaningful economic impact on the returns of passive, nontrading shareholders, particularly in U.S.-based international funds. The overall sample of domestic equity funds shows no dilution impact, but we find an annualized negative impact of 0.48% in international funds (and nearly 1% for a subsample of funds w...
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作者：Choi, JJ; Laibson, D; Metrick, A
作者单位：University of Pennsylvania; Harvard University; National Bureau of Economic Research
摘要：We analyze the impact of a Web-based trading channel on trader behavior and performance in two large corporate 401(k) plans. After 18 months of Web access, trading frequency at sample firms doubles relative to a control group of firms without a Web channel. Web trades tend to be smaller than trades made through other channels and Web traders tend to have smaller portfolios than other traders, so the Web's impact on portfolio turnover is substantially smaller than its effect on trading frequenc...
