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作者：Griffin, John M.; Harris, Jeffrey H.; Shu, Tao; Topaloglu, Selim
作者单位：University of Texas System; University of Texas Austin; University of Delaware; University System of Georgia; University of Georgia; Queens University - Canada
摘要：From 1997 to March 2000, as technology stocks rose more than five-fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive investors, but independent investment advisors and mutual funds (net of flows) actively invested the most capital in the technology sector. The technology stock reversal in March 2000 was accompanied by a broad sell-off from institutional investors but accelerated buying by individuals, particularly dis...
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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Discount-rate variation is the central organizing question of current asset-pricing research. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theorie...
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作者：Wagner, Wolf
作者单位：Tilburg University; Tilburg University
摘要：This paper proposes a portfolio choice model in which investors are subject to liquidation risk and (endogenously) face higher costs in the event of joint liquidation (as was observed during the crisis of 2008 to 2009). The risk of joint liquidation creates an incentive for investors to choose heterogeneous portfolios and to rationally forgo diversification benefits. Joint liquidation risk is also reflected in asset prices, resulting in (1) assets with high idiosyncratic risk having low expect...
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作者：Shivdasani, Anil; Wang, Yihui
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Chinese University of Hong Kong
摘要：The leveraged buyout (LBO) boom of 2004 to 2007 was fueled by growth in collateralized debt obligations (CDOs) and other forms of securitization. Banks active in structured credit underwriting lent more for LBOs, indicating that bank lending policies linked LBO and CDO markets. LBO loans originated by large CDO underwriters were associated with lower spreads, weaker covenants, and greater use of bank debt in deal financing. Loans financed through structured credit markets did not lead to worse...
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作者：Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju
作者单位：National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short-term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and a small probability of meeting a buy-to-hold investor. We then show that a small change in the asset's fundamental value can be associated with a catastrophic drop in the debt capacity, t...
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作者：Foucault, Thierry; Sraer, David; Thesmar, David J.
作者单位：Hautes Etudes Commerciales (HEC) Paris; Princeton University
摘要：We show that retail trading activity has a positive effect on the volatility of stock returns, which suggests that retail investors behave as noise traders. To identify this effect, we use a reform of the French stock market that raises the relative cost of speculative trading for retail investors. The daily return volatility of the stocks affected by the reform falls by 20 basis points (a quarter of the sample standard deviation of the return volatility) relative to other stocks. For affected...
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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...
