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作者：Wang, J
作者单位：National Bureau of Economic Research
摘要：This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk aversion and gives closed-form solutions to bond prices. I use the model to examine the effect of preference heterogeneity on the behavior of bond yields. The model is also extended to cases of more than two classes of investors.
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作者：Bartov, E; Bodnar, GM; Kaul, A
作者单位：University of Pennsylvania; New York University; University of Rochester
摘要：We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for three ...
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作者：Gray, SF
摘要：This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate to exhibit both mean reversion and conditional heteroskedasticity and nests the popular generalized autoregressive conditional heteroskedasticity (GARCH) and square root process specifications. The conditional variance process accommodates volatility clustering and dependence on the level of the interest rate. A first-order Markov process with state-dependent transiti...
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作者：Jensen, MC; Long, JB; Mikkelson, WH; Ruback, RS; Schwert, GW; Smith, CW; Warner, JB
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作者：Bessembinder, H; Chan, K; Seguin, PJ
作者单位：University of Michigan System; University of Michigan
摘要：We investigate the relations between trading volumes and our proxies for information flows and divergences in opinions. We view S&P 500 Index futures' open interest as a useful proxy for divergences of traders' opinions, and find that volumes are higher on days when open interest increases than on days with declines. Volume in individual equities is more closely related to firm-specific information flows, while equity basket volume is more closely associated with market information. This diffe...
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作者：Booth, JR; Deli, DN
摘要：We investigate factors affecting the number of outside directorships held by CEOs. CEOs of firms with growth opportunities hold fewer outside directorships than CEOs of firms consisting primarily of assets-in-place. We find evidence consistent with CEOs holding more outside directorships as they transfer decision rights to their eventual successors. We also find that when employees (not necessarily CEOs) of two different firms sit on each other's boards, CEOs hold more outside directorships, s...
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作者：Kwan, SH
摘要：This paper examines the correlation between the returns on individual stocks and the yield changes of individual bonds issued by the same firm, and finds that they are negatively and contemporaneously correlated. This suggests that individual stocks and bonds are driven by firm-specific information that is predominantly related to the mean, rather than the variance, of the firm's underlying assets. Furthermore, I find that lagged stock returns have explanatory power for current bond yield chan...
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作者：Hasbrouck, J
摘要：This paper is an econometric analysis of the information content of automated orders arriving at the NYSE. The model captures the joint behavior of automated orders and also the return on the stock index future and the futures-spot basis. The results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades. Furthermore, program and index-arbitrage orders contain information beyond that available from the futures return ...
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作者：Lang, L; Ofek, E; Stulz, RM
作者单位：University System of Ohio; Ohio State University; Chinese University of Hong Kong; New York University; National Bureau of Economic Research
摘要：We show that there is a negative relation between leverage and future growth at the firm level and, for diversified firms, at the business segment level. This negative relation between leverage and growth holds for firms with low Tobin's q ratio, but not for high-q firms or firms in high-q industries. Therefore, leverage does not reduce growth for firms known to have good investment opportunities, but is negatively related to growth for firms whose growth opportunities are either not recognize...
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作者：Chordia, T
摘要：This paper provides an explanation for the diversity in investment strategies and fees of open-end mutual funds. Mutual funds seek to dissuade redemptions through front- and back-end load fees. The empirical evidence is consistent with model predictions that such fees dissuade redemptions in open-end funds, and that funds hold more cash when there is uncertainty about redemptions. Furthermore, funds with load and redemption fees hold less cash that their no-load counterparts. The results sugge...
