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作者：Stambaugh, Robert F.
作者单位：University of Pennsylvania
摘要：During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index-like investing. I develop an equilibrium model linking these investment trends to the decline in individual ownership, interpreting the latter as a reduction in noise trading. Active management corrects most noise trader-induced mi...
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作者：Boyer, Brian H.; Vorkink, Keith
作者单位：Brigham Young University
摘要：We investigate the relationship between ex ante total skewness and holding returns on individual equity options. Recent theoretical developments predict a negative relationship between total skewness and average returns, in contrast to the traditional view that only coskewness is priced. We find, consistent with recent theory, that total skewness exhibits a strong negative relationship with average option returns. Differences in average returns for option portfolios sorted on ex ante skewness ...
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作者：Lemmon, Michael; Liu, Laura Xiaolei; Mao, Mike Qinghao; Nini, Greg
作者单位：Hong Kong University of Science & Technology; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Drexel University
摘要：Contrary to recent accounts of off-balance-sheet securitization by financial firms, we show that asset securitization by nonfinancial firms provides a valuable form of financing for shareholders without harming debtholders. Using data from firms' SEC filings, we find that securitization is attractive to firms in the middle of the credit quality distribution, which are the firms with the most to gain. Upon initiation, firms experience positive abnormal stock returns and zero abnormal bond retur...
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作者：Schallheim, Jim
