2007

最新文章

• Model specification and risk premia: Evidence from futures options AI翻译
  作者：Broadie, Mark; Chernov, Mikhail; Johannes, Michael
  作者单位：Columbia University; University of London; London Business School
  摘要：This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop a time series test to detect the presence of jumps in volatility, and find strong evidence in support of their presence. Next, using the cross section of option prices, we find strong evidence for jumps in prices and modest evidence for jumps in volatility based on model fit. The evidence points toward economically and statistically sig...
• The value of corporate risk management AI翻译
  作者：MacKay, Peter; Moeller, Sara B.
  作者单位：Hong Kong University of Science & Technology; Wake Forest University
  摘要：We model and estimate the value of corporate risk management. We show how risk management can add value when revenues and costs are nonlinearly related to prices and estimate the model by regressing quarterly firm sales and costs on the second and higher moments of output and input prices. For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. We validate our approach by regressing Tobin's q on th...
• Vote trading and information aggregation AI翻译
  作者：Christoffersen, Susan E. K.; Geczy, Christopher C.; Musto, David K.; Reed, Adam V.
  作者单位：McGill University; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
  摘要：The standard analysis of corporate governance assumes that shareholders vote in ratios that firms choose, such as one share-one vote. However, if the cost of unbundling and trading votes is sufficiently low, then shareholders choose the ratios. We document an active market for votes within the U.S. equity loan market, where the average vote sells for zero. We hypothesize that asymmetric information motivates the vote trade and find support in the cross section. More trading occurs for higher-s...
• Momentum and credit rating AI翻译
  作者：Avramov, Doron; Chordia, Tarun; Jostova, Gergana; Philipov, Alexander
• Short-sales constraints and price discovery: Evidence from the Hong Kong market AI翻译
  作者：Chang, Eric C.; Cheng, Joseph W.; Yu, Yinghui
• Limits of arbitrage: Theory and evidence from the mortgage-backed securities market AI翻译
  作者：Gabaix, Xavier; Krishnamurthy, Arvind; Vigneron, Olivier
  作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University; BNP Paribas
  摘要：Limits of Arbitrage theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner prepayment, which is a wash in the aggregate, is priced in the MBS market. The covariance of prepayment risk with aggregate wealth implies the wrong sign to match the observed prices of prepayment risk. The price of ...