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作者：De Santis, G; Gerard, B
作者单位：University of Southern California
摘要：We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support a model which includes both market and foreign exchange risk. However, both sources of risk are only detected when their prices are allowed to change over time. The evidence also indicates that, with t...
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作者：Black, BS; Gilson, RJ
作者单位：Columbia University; Stanford University
摘要：The United States has many banks that are small relative to large corporations and play a limited role in corporate governance, and a well developed stock market with an associated market for corporate control. In contrast, Japanese and German banks are fewer in number but larger in relative size and are said to play a central governance role. Neither country has an active market for corporate control. We extend the debate on the relative efficiency of bank-and stock market-centered capital ma...
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作者：Cole, RA; Mehran, H
作者单位：Northwestern University
摘要：Restrictions on stock ownership may harm a company's performance, because restrictions prevent owners from choosing an optimal structure. We examine the stock-price performance and ownership structure of a sample of thrift institutions that converted from mutual to stock ownership. We find that after conversion and the expiration of ownership-structure restrictions, firm performance improves significantly, and the portions of the firm owned by managers and the firm's employee stock ownership p...
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作者：Barberis, N; Shleifer, A; Vishny, R
作者单位：Harvard University; University of Chicago
摘要：Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of para...
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作者：Berkman, H; Eleswarapu, VR
作者单位：University of Auckland
摘要：The abolition and reinstatement of the forward trading facility (Badla) on the Bombay Stock Exchange is used to study the effect of short-term traders on share prices and liquidity, The reactions of stock prices to the ban reveal an average negative abnormal return of 15% on Badla stocks as compared to the non-Badla stocks. The ensuing period shows a significant decline in the liquidity of the Badla Stocks related to the announcement period CARs. Our results suggest that the market perceives s...
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作者：Wang, ZY
作者单位：Columbia University
摘要：This paper examines the degree of portfolio inefficiency subject to various constraints on portfolio weights. When portfolio weights are unconstrained, the posterior loss in expected return on the NYSE-AMEX market portfolio is over 20% (annualized). In contrast, when portfolio weights are constrained to be nonnegative, the posterior loss in expected return is only about 4% (annualized). In addition, short-sale constraints greatly reduce uncertainty in inferences about portfolio efficiency. (C)...
