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作者：Vayanos, D
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper studies a dynamic model of a financial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rate over time or by selling and then buying back some of the shares sold. When the time between trade...
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作者：Booth, L; Aivazian, V; Demirguc-Kunt, A; Maksimovic, V
作者单位：University of Toronto; University of Toronto; The World Bank; University System of Maryland; University of Maryland College Park
摘要：This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from m...
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作者：Conrad, JS; Johnson, KM; Wahal, S
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Emory University
摘要：Proprietary data allow us to distinguish between institutional investors' orders directed to soft-dollar brokers and those directed to other types of brokers. We find that soft-dollar brokers execute smaller orders in larger market Value stocks. Allowing for differences in order characteristics, we estimate the incremental implicit cost of soft-dollar execution at 29 (24) basis points for buyer- (seller-) initiated orders. Far large orders, incremental implicit costs are 41 (30) basis points f...
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作者：Elton, EJ; Gruber, MJ; Agrawal, D; Mann, C
作者单位：New York University
摘要：The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Bath our time series and cross-sectional tests support the exist...
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作者：Fleming, J; Kirby, C; Ostdiek, B
作者单位：Rice University
摘要：Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimati...
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作者：Huberman, G; Regev, T
作者单位：Columbia University
摘要：A Sunday Neu, York Times article on a potential development of new cancer-curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. It closed above 30 in the three following weeks. The enthusiasm spilled over to other biotechnology stocks. The potential breakthrough in cancer research already had been reported, however, in the journal Nature, and in various popular newspapers (including the Times) more than five months earlie...
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作者：Lim, T
作者单位：Dartmouth College
摘要：This paper proposes and tests a quadratic-loss utility function for modeling corporate earnings forecasting, where financial analysts trade off bias to improve management access and forecast accuracy. Optimal forecasts with minimum expected error are optimistically biased and exhibit predictable cross-sectional variation related to analyst and company characteristics. Empirical evidence from individual analyst forecasts is consistent with the model's predictions. These results suggest that pos...
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作者：Campbell, JY; Lettau, M; Malkiel, BG; Xu, YX
作者单位：Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University; University of Texas System; University of Texas Dallas
摘要：This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility me...
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作者：Backus, DK; Foresi, S; Telmer, CI
作者单位：New York University; National Bureau of Economic Research; Carnegie Mellon University
摘要：One of the most puzzling features of currency prices is the forward premium anomaly: the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties o...
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作者：Dichev, LD; Piotroski, JD
作者单位：University of Michigan System; University of Michigan; University of Chicago
摘要：Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low-credit-quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnin...
