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作者：Johnson, S; Boone, P; Breach, A; Friedman, E
作者单位：Massachusetts Institute of Technology (MIT); Rutgers University System; Rutgers University New Brunswick
摘要：The Asian Crisis of 1997-98 affected all the emerging markets open to capital flows. Measures of corporate governance, particularly the effectiveness of protection for minority shareholders, explain the extent of exchange rate depreciation and stock market decline better than do standard macroeconomic measures. A possible explanation is that in countries with weak corporate governance, worse economic prospects result in more expropriation by managers and thus a larger fall in asset prices. (C)...
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Pennsylvania; University of Chicago; National Bureau of Economic Research
摘要：We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position siz...
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作者：Milne, A; Whalley, AE
作者单位：City St Georges, University of London; University of Warwick
摘要：We correct the analysis of the model of time to build in Majd and Pindyck (1987 Journal of Financial Economics 18, 7-27) for the omission of an essential optimality condition, Our analysis reveals an additional insight: long times to build reduce the effects of increased project value volatility (i,e., higher investment thresholds) in comparison to standard real option models of investment under uncertainty, where investment is instantaneous. Thus, a 'naive' NPV rule can sometimes be an approp...
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作者：Welch, I
作者单位：Yale University
摘要：The paper shows that the buy or sell recommendations of security analysts have a significant positive influence on the recommendations of the next two analysts. This influence can be traced to short-lived information in the most recent revisions. In contrast, the influence of the prevailing consensus is not stronger if the consensus accurately forecasts subsequent stock price movements. This indicates consensus herding consistent with models in which analysts herd based on little information. ...
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作者：Wurgler, J
作者单位：Yale University
摘要：Financial markets appear to improve the allocation of capital. Across 65 countries, those with developed financial sectors increase investment more in their growing industries, and decrease investment more in their declining industries, than those with undeveloped financial sectors. The efficiency of capital allocation is negatively correlated with the extent of state ownership in the economy, positively correlated with the amount of firm-specific information in domestic stock returns, and pos...
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作者：Chan, K; Fong, WM
作者单位：Hong Kong University of Science & Technology; Chinese University of Hong Kong
摘要：This paper examines the roles of the number of trades, size of trades, and order imbalance (buyer- versus seller-initiated trades) in explaining the volatility-volume relation for a sample of NYSE and Nasdaq stocks. Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility-volume relation on both markets. After controlling for the return impact of order imbalance, the volatility-volume relation becomes much weaker. For NYSE stocks, the...
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作者：Brenner, M; Sundaram, RK; Yermack, D
作者单位：New York University
摘要：We examine the practice of resetting the terms of previously-issued executive stock options. We identify properties of reset options, develop a model for valuing resettable options, and characterize the firms that have reset options. We find the vast majority of options are reset at-the-money, resulting, on average, in the strike price dropping 40%, Our valuation model suggests that resetting has only a small impact on the ex-ante value of an option award, but the ex-post gain can be substanti...
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作者：Chakrabarti, R
作者单位：University of Alberta
摘要：In this paper, I develop a theory of bid-ask quotes provided by foreign exchange dealers in the inter-bank market based on their beliefs and their inventory positions. I then build an agent-based model of the inter-dealer market where dealers learn in a Bayesian manner from quotes from other dealers. Using simulations, I find that the resulting intra-day spreads and between-quote returns largely conform to the empirically observed intra-day U-shaped pattern - a feature that has not been satisf...
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作者：Bakshi, G; Madan, D
作者单位：University System of Maryland; University of Maryland College Park
摘要：This article provides the economic foundations for valuing derivative securities. In particular, it establishes how the characteristic function (of the future uncertainty) is basis augmenting and spans the payoff universe of most, if not all, derivative assets. From the characteristic function of the state-price density, it is possible to analytically price options on any arbitrary transformation of the underlying uncertainty. By differentiating (or translating) the characteristic function, li...
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作者：Beck, T; Levine, R; Loayza, N
作者单位：The World Bank; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper evaluates the empirical relation between the level of financial intermediary development and (i) economic growth, (ii) total Factor productivity growth, (iii) physical capital accumulation, and (iv) private savings rates. We use (a) a pure cross-country instrumental variable estimator to extract the exogenous component of financial intermediary development, and (b) a new panel technique that controls for biases associated with simultaneity and unobserved country-specific effects. Af...
