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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：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：Zingales, L
作者单位：University of Chicago; National Bureau of Economic Research
摘要：In this paper I argue that corporate finance theory, empirical research, practical applications, and policy recommendations are deeply rooted in an underlying theory of the firm. I also argue that although the existing theories have delivered very important and useful insights, they seem to be quite ineffective in helping us cope with the new type of firms that is emerging. I outline the characteristics that a new theory of the firm should satisfy and how such a theory could change the way we ...
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作者：Sundaresan, SM
作者单位：Columbia University
摘要：I survey and assess the development of continuous-time methods in finance during the last 30 years, The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen significant progres...
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作者：Lo, AW; Mamaysky, H; Wang, J
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：Technical analysis, also known as charting, has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis-the presence of geometric shapes in historical price charts is often in the eyes of the: beholder. In this paper, we propose a systematic and automatic approach to techn...
