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作者：Boyle, PP; Lin, XS
作者单位：University of Waterloo; University of Iowa
摘要：In 1987, Lo derived an upper bound on the price of a European call option on a single asset. Lo's bound depends only on the mean and variance of the terminal asset price and is termed a semi-parametric bound. This paper derives similar semi-parametric bounds on a European call on the maximum of any number of assets. A distribution-free bound for the price of this option is obtained. The bound depends only on the means and covariance matrix of the returns on n underlying assets. The bound is ob...
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作者：Nawalkha, SK
作者单位：Indiana University System; Indiana University Bloomington
摘要：This paper derives a multibeta representation theorem for pricing assets using arbitrary reference variables that are not necessarily the true factors. Under this theorem, the upper bound on pricing deviations depends upon the correlations not only between the reference variables and the factors but also between the reference variables and the residual risks. A new concept of a well-diversified variable is introduced, which though free of residual risk, may be less than perfectly correlated wi...
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作者：Houston, J; James, C; Marcus, D
作者单位：State University System of Florida; University of Florida; Cornerstone Research
摘要：The extent to which banking firms face external financing costs when funding new loans has important implications for the role of banks in the corporate capital acquisition process, for the effectiveness of monetary policy and for the impact of capital requirements. We investigate this issue by examining the cash-flow sensitivity of loan growth at bank holding companies, and by examining the extent to which holding companies establish an internal capital market to allocate capital among their ...
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作者：Bekaert, G; Hodrick, RJ; Marshall, DA
作者单位：National Bureau of Economic Research; Columbia University; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We document extreme bias and dispersion in the small-sample distributions of four standard regression-based tests of the expectations hypothesis of the term structure of interest rates. The biases arise because of the extreme persistence in short interest rates. We derive approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate. We then conduct Monte Carlo experiments based on a bias-adjusted first-order autoregressive...
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作者：Tufano, P; Sevick, M
作者单位：Harvard University
摘要：This study uses a new database to describe the composition and compensation of boards of directors of U.S. open-end mutual funds. We use these data to examine the relation between board structure and the fees charged by a fund to its shareholders. We find that shareholder fees are lower when fund boards are smaller, have a greater fraction of independent directors, and are composed of directors who sit on a large fraction of the fund sponsor's other boards. We find some evidence that funds who...
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作者：Bohren, O; Eckbo, BE; Michalsen, D
作者单位：Stockholm School of Economics; BI Norwegian Business School; Norwegian School of Economics (NHH)
摘要：We examine rights issues on the Oslo Stock Exchange, where seasoned public offerings now take place almost exclusively through use of the relatively expensive standby underwriting method rather than unsinsured rights. We show that the propensity to use standby underwriting increases as expected shareholder takeup decreases, that the market reaction to uninsured rights offers is significantly positive, and that standbys elicit the least favorable market reaction to the public issue announcement...
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作者：Kandel, E; Marx, LM
摘要：Because of its institutional features, the Nasdaq market does not fit the standard competitive model. We construct a model that reflects the distinguishing characteristics of the Nasdaq market. This model implies that in dealer markets with a minimum price increment, competition among market-makers does not necessarily drive spreads down to the level of marginal cost. Using this result, we provide an explanation for the odd-eighth avoidance documented in Christie and Schultz (1994). We show th...
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作者：Lewellen, WG; Badrinath, SG
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Camden
摘要：We examine the methods commonly employed to estimate Tobin's q ratios and find them to be flawed in design and arbitrary in implementation. We propose an alternative procedure which is both simpler and more accurate. The key to the procedure is an improved measure of fixed asset replacement costs, through the proper identification of the vintages of fixed assets that are in place for a firm. Application of this procedure to a large sample of nonfinancial corporations indicates that existing me...
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作者：Kole, SR
摘要：Management compensation is often categorized as either sensitive or insensitive to firm performance. This one-dimensional treatment ignores the variation in the types and terms of compensation contracts. Through a cross-sectional examination of shareholder-authorized compensation arrangements, this paper demonstrates that the terms of stock option and restricted stock plans, and the flexibility afforded the board of directors in negotiating with managers, vary systematically with the character...
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作者：Ling, DC; Ryngaert, M
摘要：Unlike operating company IPOs, Real Estate Investment Trust (REIT) IPOs in the 1970s and 1980s were initially overpriced and subsequently underperformed other REIT securities in the 100 trading days after initial issuance. In contrast, equity REIT IPOs in the 1990s have been underpriced, on average by 3.6%, and have moderately outperformed seasoned equity REITs in the 100 trading days after issuance. We attribute the initial-day underpricing of recent REIT IPOs to greater valuation uncertainty...
