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作者：Lee, CLMC; Myers, J; Swaminathan, B
作者单位：Cornell University; University of Washington; University of Washington Seattle
摘要：We model the time-series relation between price and intrinsic Value as a cointegrated system, so that price and Value are long-term convergent. In this framework, we compare the performance of alternative estimates of intrinsic Value for the Dow 30 stocks. During 1963-1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income Valuation model, has statistically reliable predictive power. Further a...
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作者：Jones, DM
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作者：Pástor, L; Stambaugh, RF
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return departs significantly from the pricing model's prediction. Uncertainty about which pricing model to use is less important, on average, than within-model parameter uncertainty. In the absence of misprici...
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作者：Hong, H; Stein, JC
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We model a market populated by two groups of boundedly rational agents: news-watchers and momentum traders. Each newswatcher observes some private information, but fails to extract other newswatchers' information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trend-chasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrag...
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作者：Barclay, MJ; Christie, WG; Harris, JH; Kandel, E; Schultz, PH
作者单位：University of Rochester; Vanderbilt University; University of Notre Dame; University System of Ohio; Ohio State University; Hebrew University of Jerusalem
摘要：The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measure...
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作者：Ritchken, P; Trevor, R
作者单位：University System of Ohio; Case Western Reserve University; Macquarie University
摘要：In this paper, we develop an efficient lattice algorithm to price European and American options under discrete time GARCH processes. We show that this algorithm is easily extended to price options under generalized GARCH processes, with many of the existing stochastic volatility bivariate diffusion models appearing as limiting cases. We establish one unifying algorithm that can price options under almost all existing GARCH specifications as well as under a large family of bivariate diffusions ...
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作者：Graham, JR; Smith, CW
作者单位：Duke University; University of Rochester
摘要：For corporations facing tax-function convexity, hedging lowers expected tax liabilities, thereby providing an incentive to hedge. We use simulation methods to investigate convexity induced by tax-code provisions. On average, the tax function is convex (although in approximately 25 percent of cases it is concave). Carrybacks and carryforwards increase the range of income with incentives to hedge; other tax-code provisions have minor impacts. Among firms facing convex tax functions, average tax ...
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作者：Ball, CA; Torous, WN
作者单位：Vanderbilt University; University of California System; University of California Los Angeles
摘要：This paper estimates a stochastic volatility model of short-term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns, interest rate volatility exhibits faster mean-reverting behavior and innovations in interest rate volatility are negligibly correlated with innovations in interest rates. The less persistent behavior of interest rate vol...
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作者：Ferson, WE; Harvey, CR
作者单位：University of Washington; University of Washington Seattle; National Bureau of Economic Research
摘要：Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and oth...
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作者：Wermers, R
作者单位：University of Colorado System; University of Colorado Boulder
摘要：We analyze the trading activity of the mutual fund industry from 1975 through 1994 to determine whether funds herd when they trade stocks and to investigate the impact of herding on stock prices. Although we find little herding by mutual funds in the average stock, we find much higher levels in trades of small stocks and in trading by growth-oriented funds. Stocks that herds buy outperform stocks that they sell by 4 percent during the following six months; this return difference is much more p...
