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作者：Campbell, JY
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the Economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts abou...
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作者：La Porta, R; Lopez-de-Silanes, F; Shleifer, A; Vishny, RW
作者单位：Harvard University; University of Chicago
摘要：This paper outlines and tests two agency models of dividends. According to the outcome model, dividends are paid because minority shareholders pressure corporate insiders to disgorge cash. According to the substitute model, insiders interested in issuing equity in the future pay dividends to establish a reputation for decent treatment of minority shareholders. The first model predicts that stronger minority shareholder rights should be associated with higher dividend payouts; the second model ...
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作者：Ané, T; Geman, H
作者单位：Universite PSL; Universite Paris-Dauphine
摘要：The goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change. Clark (1973) addressed this issue by representing the price process as a subordinated process with volume as the lognormally distributed subordinator. We extend Clark's results and find the following: (i) stochastic time chang-es are mathematically much less constraining than subordinators; (ii) the cumulative number of trades is a better stochastic clock than the volume for gen...
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作者：Wermers, R
作者单位：University System of Maryland; University of Maryland College Park; University of Colorado System; University of Colorado Boulder
摘要：We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions costs. Thus, funds Dick stocks well enough to cover their costs. Also, high-turnover funds beat the Van...
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作者：Conroy, RM; Eades, KM; Harris, RS
作者单位：University of Virginia
摘要：We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations from analysts' forecasts, we find that share price reactions are significantly affected by earnings surprises, especially management forecasts of next year's earnings. The information content of dividends ...
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作者：Davis, JL; Fama, EF; French, KR
作者单位：Kansas State University; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：The Value premium in U.S. stock returns is robust. The positive relation between average return and beak-to-market equity is as strong for 1929 to 1963 as for the subsequent period studied in previous papers. A three-factor risk model explains the value premium better than the hypothesis that the book-to-market characteristic is compensated irrespective of risk loadings.
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作者：Chapman, DA; Pearson, ND
作者单位：University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Ait-Sahalia (1996) and Stanton (1997). Combined with the results of a weig...
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作者：Ellis, K; Michaely, R; O'Hara, M
作者单位：Cornell University; Tel Aviv University
摘要：This paper examines aftermarket trading of underwriters and unaffiliated market makers in the three-month period after an IPO. We find that the lead underwriter is always the dominant market maker; he takes substantial inventory positions in the aftermarket trading, and co-managers play a negligible role in aftermarket trading. The lead underwriter engages in stabilization activity for less successful IPOs, and uses the overallotment option to reduce his inventory risk. Compensation to the und...
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作者：Balvers, R; Wu, YR; Gilliland, E
作者单位：West Virginia University; Rutgers University System; Rutgers University New Brunswick
摘要：For U.S. stock prices, evidence of mean reversion over long horizons is mixed, possibly due to lack of a reliable long time series. Using additional cross-sectional power gained from national stock index data of 18 countries during the period 1969 to 1996, we find strong evidence of mean reversion in relative stock index prices. Our findings imply a significantly positive speed of reversion with a half-life of three to three and one-half years. This result is robust to alternative specificatio...
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作者：Hendershott, T; Mendelson, H
作者单位：University of Rochester; Stanford University
摘要：This paper studies the interaction between dealer markets and a relatively new form of exchange, passive crossing networks, where buyers and sellers trade directly with one another We find that the crossing network is characterized by both positive (liquidity) and negative (crowding) externalities, and we analyze the effects of its introduction on the dealer market. Traders who use the dealer market as a market of last resort can induce dealers to widen their spread and can lead to more effici...
