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作者：Lynch, Anthony W.; Tan, Sinan
作者单位：New York University; Fordham University
摘要：Constantinides (1986) documents how the impact of transaction costs on per-annum liquidity premia in the standard dynamic allocation problem with i.i.d. returns is an order of magnitude smaller than the cost rate itself. Recent papers form portfolios sorted on liquidity measures and find spreads in expected per-annum return that are the same order of magnitude as the transaction cost spread. When we allow returns to be predictable and introduce wealth shocks calibrated to labor income, transac...
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作者：Constantinides, George M.; Czerwonko, Michal; Jackwerth, Jens Carsten; Perrakis, Stylianos
作者单位：University of Chicago; National Bureau of Economic Research; Concordia University - Canada; McGill University; University of Konstanz
摘要：American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out-of-sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk-averse inv...
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作者：Acharya, Viral V.; Myers, Stewart C.; Rajan, Raghuram G.
作者单位：Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); University of Chicago
摘要：We develop a model of internal governance where the self-serving actions of top management are limited by the potential reaction of subordinates. Internal governance can mitigate agency problems and ensure that firms have substantial value, even with little or no external governance by investors. External governance, even if crude and uninformed, can complement internal governance and improve efficiency. This leads to a theory of investment and dividend policy, in which dividends are paid by s...
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作者：Dinc, I. Serdar; Gupta, Nandini
作者单位：Massachusetts Institute of Technology (MIT); Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：We investigate the influence of political and financial factors on the decision to privatize government-owned firms. The results show that profitable firms and firms with a lower wage bill are likely to be privatized early. We find that the government delays privatization in regions where the governing party faces more competition from opposition parties. The results also suggest that political patronage is important as no firm located in the home state of the minister in charge is ever privat...
