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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：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：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：WANG, K; CHAN, SH; GAU, GW
作者单位：University of Texas System; University of Texas Austin
摘要：In contrast with numerous studies that find significant underpricing for initial public offerings of industrial firms, we document a statistically significant average return of - 2.82% on the first trading day for a sample of 87 initial public offerings of real estate investment trusts during the 1971-1988 period. Our overpricing result is invariant to offer price, issue size, distribution method, offer period, and underwriter reputation. Newly issued REITs, on average, substantially underperf...
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作者：SMITH, CW; WATTS, RL
摘要：We examine explanations for corporate financing-, dividend-, and compensation-policy choices. We document robust empirical relations among corporate policy decisions and various firm characteristics. Our evidence suggests contracting theories are more important in explaining cross-sectional variation in observed financial, dividend, and compensation policies than either tax-based or signaling theories.
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作者：HAUSMAN, JA; LO, AW; MACKINLAY, AC
作者单位：University of Pennsylvania
摘要：We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly-spaced time intervals. Unlike existing models of discrete transactions prices, ordered probit can quantify the effects of other economic variables like volume, past price changes, and the time between trades on...
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作者：ECKBO, BE; MASULIS, RW
作者单位：Vanderbilt University
摘要：We develop an analytical framework to explain firm's choice of equity flotation method and the near disappearance of rights offers by U.S. exchange-listed firms. The choice between uninsured rights, rights with standby underwriting, and firm-commitment underwriting depends on information asymmetries, shareholder characteristics, and direct flotation costs. Underwriter certification and current-shareholder takeup are viewed as substitute mechanisms for minimizing wealth transfers between shareh...
