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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：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：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...
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作者：Keim, DB; Madhavan, A
作者单位：University of Pennsylvania; University of Southern California
摘要：This paper examines the magnitude and determinants of transactions costs for a sample of institutional traders with different investment styles. Using order-level data for recent equity transactions totaling $83 billion, we find that trading costs are economically significant and increase with trade difficulty. In addition, costs vary with trader-specific factors such as investment style and order submission strategy, as well as stock-specific factors such as exchange listing. We find evidence...
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作者：Bessembinder, H; Kaufman, HM
作者单位：Arizona State University; Arizona State University-Tempe
摘要：We examine execution costs for trades in NYSE issues completed on the NYSE, the NASD dealer market, and the regional stock exchanges during 1994. We find that effective bid-ask spreads are only slightly smaller at the NYSE. However, realized bid-ask spreads, which measure market-making revenue net of losses to better-informed traders but gross of inventory or order-processing costs, are lower on the NYSE by a factor of two to three. This differential is attributable to the successful 'cream sk...
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作者：Mikkelson, WH; Partch, MM; Shah, K
作者单位：University of Oregon; Southern Methodist University
摘要：Going public typically leads to a separation of managerial control and stock ownership, and potentially worsens managerial incentives. We document that the median ownership stake of officers and directors declines significantly from the year before going public to ten years later. Median operating return on assets also declines from the year before the offering to the end of the first year of public trading, but performance declines no further in ten years. In general, operating performance bo...
