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作者：Green, RC
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作者：Jagannathan, R; Ma, TS
作者单位：Utah System of Higher Education; University of Utah; Northwestern University; National Bureau of Economic Research
摘要：Green and Hollifield (1992) argue that the presence of a dominant factor would result in extreme negative weights in mean-variance efficient portfolios even in the absence of estimation errors. In that case, imposing no-short-sale constraints should hurt, whereas empirical evidence is often to the contrary We reconcile this apparent contradiction. We explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfolios even when the constraints are wr...
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作者：O'Hara, M
作者单位：Cornell University
摘要：This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and T argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems ...
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作者：Garvey, G; Milbourn, T
作者单位：Washington University (WUSTL); Claremont Colleges; Claremont Graduate University
摘要：Little evidence exists that firms index executive compensation to remove the influence of marketwide factors. We argue that executives can, in principle, replicate such indexation in their private portfolios. In support, we find that market risk has little effect on the use of stock-based pay for the average executive. But executives' ability to undo excessive market risk can be hindered by wealth constraints and inalienability of human capital. We replicate the standard result that there is l...
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作者：Goetzmann, WN; Ingersoll, JE; Ross, SA
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：Incentive fees for money managers are frequently accompanied by high-water mark provisions that condition the payment of the performance fee upon exceeding the previously achieved maximum share value. In this paper, we show that hedge fund performance fees are valuable to money managers, and conversely, represent a claim on a significant proportion of investor wealth. The high-water mark provisions in these contracts limit the value of the performance fees. We provide a closed-form solution to...
