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作者：Backus, David; Chernov, Mikhail; Zin, Stanley
作者单位：New York University; National Bureau of Economic Research; University of California System; University of California Los Angeles; Center for Economic & Policy Research (CEPR)
摘要：We propose two data-based performance measures for asset pricing models and apply them to models with recursive utility and habits. Excess returns on risky securities are reflected in the pricing kernel's dispersion and riskless bond yields are reflected in its dynamics. We measure dispersion with entropy and dynamics with horizon dependence, the difference between entropy over several periods and one. We compare their magnitudes to estimates derived from asset returns. This exercise reveals t...
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作者：Ahern, Kenneth R.; Sosyura, Denis
作者单位：University of Southern California; University of Michigan System; University of Michigan
摘要：Firms have an incentive to manage media coverage to influence their stock prices during important corporate events. Using comprehensive data on media coverage and merger negotiations, we find that bidders in stock mergers originate substantially more news stories after the start of merger negotiations, but before the public announcement. This strategy generates a short-lived run-up in bidders' stock prices during the period when the stock exchange ratio is determined, which substantially impac...
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作者：Berkman, Henk; Koch, Paul D.; Westerholm, P. Joakim
作者单位：University of Auckland; University of Kansas; University of Sydney
摘要：This study shows that the guardians behind underaged accounts are successful at picking stocks. Moreover, they tend to channel their best trades through the accounts of children, especially when they trade just before major earnings announcements, large price changes, and takeover announcements. Building on these results, we argue that the proportion of total trading activity through underaged accounts (labeled BABYPIN) should serve as an effective proxy for the probability of information trad...
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作者：Leary, Mark T.; Roberts, Michael R.
作者单位：Washington University (WUSTL); University of Pennsylvania; National Bureau of Economic Research
摘要：We show that peer firms play an important role in determining corporate capital structures and financial policies. In large part, firms' financing decisions are responses to the financing decisions and, to a lesser extent, the characteristics of peer firms. These peer effects are more important for capital structure determination than most previously identified determinants. Furthermore, smaller, less successful firms are highly sensitive to their larger, more successful peers, but not vice ve...
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作者：Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea
作者单位：University of Chicago; Imperial College London; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); University of London; London School Economics & Political Science
摘要：We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge between index and individual volatility risk premia, (ii) the different slope of the smile of index and individual options, and (iii) the correlation risk premium. Priced disagreement risk also explains returns of option volat...
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作者：Alti, Aydogan; Tetlock, Paul C.
作者单位：University of Texas System; University of Texas Austin; Columbia University
摘要：We structurally estimate a model in which agents' information processing biases can cause predictability in firms' asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biasesoverconfidence and overextrapolation of trendsthat distort agents' expectations of firm productivity. Our model's predictions closely match empirical data on asset pricing and firm behavior. The estimated bias parameters are well identified and exhibit plausible m...
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作者：Szymanowska, Marta; De Roon, Frans; Nijman, Theo; Van den Goorbergh, Rob
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tilburg University
摘要：We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high-minus-low portfolio from basis sorts, explain...
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作者：Rytchkov, Oleg
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：This paper provides a novel theoretical analysis of how endogenous time-varying margin requirements affect capital market equilibrium. I find that margin requirements, when there are no other market frictions, reduce the volatility and correlation of returns as well as the risk-free rate, but increase the market price of risk, the risk premium, and the price of risky assets. Furthermore, margin requirements generate a strong cross-sectional dispersion of stock return volatilities. The results ...
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作者：Basak, Suleyman; Makarov, Dmitry
作者单位：University of London; London Business School; New Economic School
摘要：This paper analyzes the dynamic portfolio choice implications of strategic interaction among money managers who compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performance is close. We also examine multiple and mixed-strategy equilibria. Equilibrium policy of ...
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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuitythe risk-free payoffand a long-run mean-variance efficient payoff. 'Long-run' moments sum over time as well as states of nature. In equilibrium, long-run expected r...
