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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：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...
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作者：Bunch, DS; Johnson, H
作者单位：University of California System; University of California Davis; University of California System; University of California Riverside
摘要：We derive an expression for the critical stock price for the American put. We start by expressing the put price as an integral involving first-passage probabilities. This approach yields intuition for Merton's result for the perpetual put. We then consider the finite-lived case. Using (1) the fact that the put value ceases to depend on time when the critical stock price is reached and (2) the result that an American put equals a European put plus an early-exercise premium, we derive the critic...
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作者：Park, C
作者单位：Hong Kong University of Science & Technology
摘要：This paper presents a theory of optimal debt structure when the moral hazard problem is severe. The main idea is that the optimal debt contract delegates monitoring. to a single senior lender and that seniority allows the monitoring senior lender to appropriate the full return from his monitoring activities. The theory explains (i) why debt contracts are prioritized, (ii) why short-term debt is senior to long-term debt, and (iii) why financial intermediaries usually hold short-term senior debt...
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作者：Lee, CMC; Swaminathan, B
作者单位：Cornell University
摘要：This study shows that past trading volume provides an important link between momentum and value strategics. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically price momentum effects reverse over the n...
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作者：Graham, JR
作者单位：Duke University
摘要：I integrate under firm-specific benefit functions to estimate that the capitalized tax benefit of debt equals 9.7 percent of firm value (or as low as 4.3 percent, net of personal taxes). The typical firm could double tax benefits by issuing debt until the marginal tax benefit begins to decline. I infer how aggressively a firm uses debt by observing the shape of its tax benefit Function. Paradoxically, large, liquid, profitable Firms with low expected distress costs use debt conservatively. Pro...
