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作者：Halim, Edward; Riyanto, Yohanes E.; Roy, Nilanjan
作者单位：City University of Hong Kong; Nanyang Technological University
摘要：We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics in a financial market. Social communication crowds out information production as a result of an agent's temptation to free ride on the signals purchased by her neighbors. Although information exchange among traders increases trading volume, improves liquidity, and enhances the ability of asset prices to re...
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作者：Adrian, Tobias; Crump, Richard K.; Vogt, Erik
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross-section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight-to-safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasurie...
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作者：Demarzo, Peter M.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade-off setting with shareholder-debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani-Miller-like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade-off theory must depend on the commitment technology. In this context, collateral is valuab...
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作者：Martin, Ian W. R.; Wagner, Christian
作者单位：University of London; London School Economics & Political Science; Copenhagen Business School
摘要：We derive a formula for the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been a...
