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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：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：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：Gompers, P; Lerner, J
作者单位：Harvard University
摘要：We show that inflows of capital into venture funds increase the valuation of these funds' new investments. This effect is robust to (i) controlling for firm characteristics and public market valuations, (ii) examining first differences, and (iii) using inflows into leveraged buyout funds as an instrumental variable. Interaction terms suggest that the impact of venture capital inflows on prices is greatest in states with the most venture capital activity. Changes in valuations do not appear rel...
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作者：Bertsimas, D; Kogan, L; Lo, AW
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：Continuous-time stochastic processes are approximations to physically realizable phenomena. We quantify one aspect of the approximation errors by characterizing the asymptotic distribution of the replication errors that arise from delta-hedging derivative securities in discrete time, and introducing the notion of temporal granularity which measures the extent to which discrete-time implementations of continuous-time models can track the payoff of a derivative security. We show that granularity...
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作者：Song, MH; Walkling, RA
作者单位：University System of Ohio; Ohio State University; California State University System; San Diego State University
摘要：We develop and test the Acquisition Pvobability Hypothesis, which asserts that rivals of initial acquisition targets earn abnormal returns because of the increased probability that they will be targets themselves. On average, rival firms earn positive abnormal returns regardless of the form and outcome of acquisition. These returns increase significantly with the magnitude of surprise about the initial acquisition, Moreover, the cross-sectional variation of rival abnormal returns in the announ...
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作者：Liew, J; Vassalou, M
作者单位：Columbia University; Center for Economic & Policy Research (CEPR)
摘要：We test whether the profitability of HML, SMB, and WML can be linked to future Gross Domestic Product (GDP) growth. Using data from ten countries, we find that HML and SMB contain significant information about future GDP growth. This information is to a large degree independent of that in the market factor. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some countries. Our results support a risk-based explanation ...
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作者：Gupta, A; Subrahmanyam, MG
作者单位：New York University; University System of Ohio; Case Western Reserve University
摘要：This paper examines the convexity bias, caused by the non-linearity of payoffs, in the pricing of interest rate swaps off the Eurocurrency futures curve. The evidence from four major currencies - $, pound, DM and Yen - during 1987-1996 suggests that swaps were initially being priced off the futures curve (ignoring the convexity adjustment); subsequently, the market swap rates drifted below the rates implied by futures prices. After rejecting alternative explanations, we use alternative term st...
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作者：Gillan, SL; Starks, LT
作者单位：University of Texas System; University of Texas Austin; U.S. Securities & Exchange Commission (SEC)
摘要：We study shareholder proposals across a period of substantial activity and find systematic differences both across sponsor identity and across time. To measure the success of shareholder activism, we examine voting outcomes and short-term market reactions conditioned on proposal type and sponsor identity. The voting analysis documents that sponsor identity, issue type, prior performance and time period are important influences on the voting outcome. Proposals sponsored by institutions or coord...
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作者：Brav, A; Geczy, C; Gompers, PA
作者单位：Harvard University; Duke University; University of Pennsylvania
摘要：We examine whether a distinct equity issuer underperformance anomaly exists. In a sample of initial public offering (IPO) and seasoned equity offering (SEO) firms from 1975 to 1992, we find that underperformance is concentrated primarily in small issuing firms with low book-to-market ratios. SEO firms, that underperform these standard benchmarks have time series returns that covary with factor returns constructed from nonissuing firms. We conclude that the stock returns following equity issues...
