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作者：Grinblatt, M; Keloharju, M
作者单位：University of California System; University of California Los Angeles; Aalto University
摘要：This paper documents that investors are more likely to hold, buy, and sell the stocks of Finnish firms that are located close to the investor, that communicate in the investor's native tongue, and that have chief executives of the same cultural background. The influence of distance, language, and culture is less prominent among the most investment-savvy institutions than among both households and less savvy institutions. Regression analysis indicates that the marginal effect of distance is les...
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作者：Peria, MSM; Schmukler, SL
作者单位：The World Bank
摘要：This paper empirically investigates two issues largely unexplored by the literature on market discipline. We evaluate the interaction between market discipline and deposit insurance and the impact of banking crises on market discipline. We focus on the experiences of Argentina, Chile, and Mexico during the 1980s and 1990s. We find that depositors discipline banks by withdrawing deposits and by requiring higher interest rates. Deposit insurance does not appear to diminish the extent of market d...
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作者：Poteshman, AM
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper investigates options market reaction to changes in the instantaneous Variance of the underlying asset. There are three main findings. First, options market investors underreact to individual daily changes in instantaneous variance. Second, these same investors overreact to periods of mostly increasing or mostly decreasing daily changes in instantaneous variance. Third, they tend to underreact (overreact) to current daily changes in instantaneous variance that are preceded mostly by ...
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作者：Christoffersen, SEK
作者单位：McGill University
摘要：Over half of money fund managers Voluntarily waive fees they have a contractual right to claim. Moreover, as a consequence of fee waivers, funds on average collect one half of reported expense ratios. Variation in fee waivers is significant and relates to differences in relative performance. Both low-performing retail and institutional funds waive fees to improve their net performance. More interestingly, high-performing retail, but not institutional, funds use fee waivers to strategically adj...
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作者：Bollen, NPB; Busse, JA
作者单位：Utah System of Higher Education; University of Utah; Emory University
摘要：Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mut...
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作者：Collin-Dufresne, P; Solnik, B
作者单位：Carnegie Mellon University; Hautes Etudes Commerciales (HEC) Paris
摘要：Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relation between corporate yields and swap rates (the LIBOR-swap spread), they imply that the term structure of corporate yields and swap rates should be identical. As documented previously (e.g., in Sun, Sundaresan, and Wang (1993)) this is counte...
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作者：Gervais, S; Kaniel, R; Mingelgrin, DH
作者单位：University of Pennsylvania; University of Texas System; University of Texas Austin; University of Pennsylvania
摘要：The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autoc...
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作者：Lettau, M; Ludvigson, S
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper studies the role of fluctuations in the aggregate consumption-wealth ratio for predicting stock returns. Using U.S, quarterly stock market data, we find that these fluctuations in the consumption-wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other po...
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作者：Daniel, KD; Hirshleifer, D; Subrahmanyam, A
作者单位：Northwestern University; University System of Ohio; Ohio State University; University of California System; University of California Los Angeles
摘要：This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios). With many securities, mispricing of idiosyncratic value components diminishes but systematic mispricing does not. The theory offers untested empirical implications about volume, volatility, fundamental/pr...
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作者：Benink, H; Bossaerts, P
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We attempt to translate Neo-Austrian ideas about the workings of financial markets, as originally advanced by F.A. Hayek, into the standard probabilistic language of modern finance. We focus on an apparent paradox, namely the insistence of Neo-Austrians on order (i.e., stationarity) together with ever-reemerging inefficiencies. The paper's findings have implications beyond Neo-Austrian theory: They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to dis...
