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作者：BEAGLEHOLE, D; TENNEY, M
作者单位：University of Chicago
摘要：Longstaff (1989) introduces a new process for the short rate of interest. He claims to derive the zero-coupon bond pricing formula and state transition density for his model. We demonstrate that Longstaff's pricing formula is not the solution to the pricing problem which he poses. The source of his error is a failure to properly account for a boundary condition. We introduce a new model economy and derive a new endogenous interest rate process, and find the Green's function and the price of a ...
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作者：LAKONISHOK, J; SHLEIFER, A; VISHNY, RW
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Harvard University
摘要：This paper uses new data on the holdings of 769 tax-exempt (predominantly pension) funds, to evaluate the potential effect of their trading on stock prices. We address two aspects of trading by these money managers: herding, which refers to buying (selling) simultaneously the same stocks as other managers buy (sell), and positive-feedback trading, which refers to buying past winners and selling past losers. These two aspects of trading are commonly a part of the argument that institutions dest...
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作者：KOTHARI, SP; SHANKEN, J
摘要：This paper examines the extent to which aggregate stock return variation is explained by variables chosen to reflect revisions in expectations of future dividends. In effect, we decompose realized dividend growth into expected and unexpected components using information in aggregate investment, dividend yield, and future returns. A parsimonious specification accounts for over 70% of annual return variation. We also conduct a cross-sectional experiment using portfolios formed on the basis of an...
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作者：LANG, LHP; STULZ, RM
作者单位：University System of Ohio; Ohio State University; New York University; National Bureau of Economic Research
摘要：This paper investigates the effect of bankruptcy announcements on the equity value of the bankrupt firm's competitors. On average, bankruptcy announcements decrease the value of a value-weighted portfolio of competitors by 1%. This negative effect is significantly larger for highly levered industries and industries where the unconditional stock returns of the nonbankrupt and bankrupt firms are highly correlated; the effect is significantly positive for highly concentrated industries with low l...
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作者：LYS, T; SABINO, JS
摘要：With grouping, a sample is sorted by an observable variable and the mean values of the dependent variable in the extreme-ranked groups are compared. We show that test power is maximized when the two extreme groups each contain 27% of the sample, a much larger percentage than that typically used in the literature. This result is not sensitive to the distribution of the dependent variable. We also show that regression is unambiguously more powerful than grouping, even when the independent variab...
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作者：BENVENISTE, LM; MARCUS, AJ; WILHELM, WJ
作者单位：Boston College
摘要：Exchange members claim that the professional relationships that evolve on exchange floors yield benefits not easily duplicated by an anonymous exchange mechanism. We show that longstanding relationships between brokers and specialists can mitigate the effects of asymmetric information. Moreover, a specialist who actively attempts to differentiate between informed and uninformed traders can achieve equilibria that Pareto-dominate an equilibrium in which the two types of trades are pooled. Our m...
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作者：CAMPBELL, JY; HENTSCHEL, L
作者单位：National Bureau of Economic Research
摘要：It seems plausible that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. We develop a formal model of this volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model). Our model is asymmetric and helps to explain the negative skewness and excess kurtosis of U.S. monthly and daily stock returns over the period 1926-88. We find that volatility feedb...
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作者：LONGSTAFF, FA
作者单位：University System of Ohio; Ohio State University
摘要：We show the Cox, Ingersoll, and Ross term structure framework can allow a variety of alternative equilibrium solutions for discount bond prices. This is important since it allows us additional flexibility in developing models that capture the properties of the term structure. As an example, we solve for the value of a discount bond when the short-term rate is absorbed at zero. We compare the yields implied by this model to those implied by the original Cox, Ingersoll, and Ross model. We also s...
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作者：BESSEMBINDER, H; CHAN, K
摘要：We document that instrumental variables known to possess forecast power in equity and bond markets (Treasury bill yields equity dividend yields, and the 'junk' bond premium) also possess forecast power for prices in agricultural, metals, and currency futures markets. The pattern of forecastability in futures is consistent with economic equilibrium as embodied by a two-latent-variable model. We test whether the latent variables that explain these futures returns coincide with latent variables t...
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作者：SLOVIN, MB; SUSHKA, ME; POLONCHEK, JA
作者单位：Arizona State University; Arizona State University-Tempe; Oklahoma State University System; Oklahoma State University - Stillwater
摘要：We examine share-price reactions of commercial bank common stock issues and find negative effects on rival commercial and investment banking firms. In comparison, we find no such intra-industry effects for equity issues by industrial firms. Our results support theoretical models in which bank loan portfolios impound asymmetric information about client firms, so that adverse individual bank announcements generate external information effects on other banks. A policy implication of these results...
