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作者：Lamoureux, CG; Witte, HD
作者单位：University of Arizona; University of Missouri System; University of Missouri Columbia
摘要：This paper uses recent advances in Bayesian estimation methods to exploit fully and efficiently the time-series and cross-sectional empirical restrictions of the Cox, Ingersoll, and Ross model of the term structure. We examine the extent to which the cross-sectional data (five different instruments) provide information about the model. We find that the time-series restrictions of the two-factor model are generally consistent with the data. However, the model's cross-sectional restrictions are ...
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作者：Dittmar, A
作者单位：Indiana University System; Indiana University Bloomington
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作者：La Porta, R; Lopez-De-Silanes, F; Shleifer, A; Vishny, R
作者单位：Harvard University; Yale University; University of Chicago
摘要：We present a model of the effects of legal protection of minority shareholders and of cash-flow ownership by a controlling shareholder on the valuation of firms. We then test this model using a sample of 539 large firms from 27 wealthy economies. Consistent with the model, we find evidence of higher valuation of firms in countries with better protection of minority shareholders and in firms with higher cash-flow ownership by the controlling shareholder.
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作者：Bessembinder, H; Lemmon, ML
作者单位：Utah System of Higher Education; University of Utah; Emory University
摘要：Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage-based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk is moderate. However, the equilibrium forward premium increases when either expected demand or demand variance is high, because of positive...
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作者：Lowry, M; Schwert, GW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester
摘要：Both IPO volume and average initial returns are highly autocorrelated. Further, more companies tend to go public following periods of high initial returns. However, we find that the level of average initial returns at the time of filing contains no information about that company's eventual underpricing. Both the cycles in initial returns and the lead-lag relation between initial returns and IPO volume are predominantly driven by information learned during the registration period. More positive...
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作者：Aggarwal, R; Prabhala, NR; Puri, M
作者单位：Georgetown University; University System of Maryland; University of Maryland College Park; Stanford University; National Bureau of Economic Research
摘要：We analyze institutional allocation in initial public offerings (IPOs) using a new data set of U.S. offerings between 1997 and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly explained by the practice of giving institutions more shares in IPOs with strong premarket demand, consistent with book-building theories. However, institutional allocation also contains private information about first-day IPO returns not reflected in prem...
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作者：Brennan, MJ; Xia, YH
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania
摘要：We develop a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio, When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bo...
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作者：Christie, WG; Corwin, SA; Harris, JH
作者单位：Vanderbilt University; University of Notre Dame; University of Delaware
摘要：We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following halts and volatility increases to more than nine times normal levels. In contrast, halts that reopen the following day with a longer 90-minute quotation period are associated with insignificant spread eff...
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作者：Andersen, TG; Benzoni, L; Lund, J
作者单位：Northwestern University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our ana...
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作者：Berkowitz, J; O'Brien, J
作者单位：University of California System; University of California Irvine
摘要：In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk (VaR) forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literatur...
