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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...
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作者：Volpin, PF
作者单位：University of London; London Business School
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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：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：Lamont, OA; Polk, C
作者单位：University of Chicago; National Bureau of Economic Research; Northwestern University
摘要：Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary to draw inferences about the causal effect. We examine changes in the within-firm dispersion of industry investment, or diversity. We find that exogenous changes in diversity, due to changes in industry investment, are negatively related to firm value. Thus diversification destroys value, consistent with the inefficient internal capital mark...
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作者：Lo, AW; MacKinlay, AC; Zhang, J
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive to the limit price, but are not sensitive to limit size. Hypothetical limit-order executions, constr...
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作者：DeAngelo, H; DeAngelo, L; Wruck, KH
作者单位：University of Southern California; University System of Ohio; Ohio State University
摘要：A hot growth stock in the 1980s, L.A. Gear's equity fell from $1 billion in market value in 1989 to zero in 1998. For over six years as revenues declined precipitously, management tried a series of radical strategy shifts while subsidizing the firm's large losses through working-capital liquidations. The L.A. Gear case illustrates that asset liquidity (broadly construed, not limited to excess cash) can give managers substantial operating discretion during financial distress. It also shows (1) ...
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作者：Chordia, T; Roll, R; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy or sell orders, reduce liquidity. Market-wide returns are strongl...
