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作者：Ghysels, E
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：There is now considerable evidence suggesting that estimated betas of unconditional capital asset pricing models (CAPMs) exhibit statistically significant time variation. Therefore, many have advocated the use of conditional CAPMs. If we succeed in capturing the dynamics of beta risk, we are sure to outperform constant beta models. However, if the beta risk is inherently misspecified, there is a real possibility that we commit serious pricing errors, potentially larger than with a constant tra...
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作者：Bittlingmayer, G
作者单位：University of California System; University of California Davis
摘要：Why does volatility increase when output declines? The theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though cause and effect are typically hard to separate, the transition from Imperial to Weimar Germany offers a natural experiment because major political events left clear traces on stock prices. Current and past increases in volatility are associated with output declines, consistent with U.S. experience. How...
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作者：Naranjo, A; Nimalendran, M; Ryngaert, M
作者单位：State University System of Florida; University of Florida
摘要：Using an improved measure of a common stock's annualized dividend yield, we document that risk-adjusted NYSE stack returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to Various specifications of multifactor asset pricing models that incorporate the Fama-French factors. The magnitude of the yield effect is too large to be explained by a tax penalty on dividend income and is not explained by previously documented anomalies. In...
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作者：Elton, EJ; Green, TC
作者单位：New York University
摘要：Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much sm...
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作者：Schrand, C; Unal, H
作者单位：University of Pennsylvania; University System of Maryland; University of Maryland College Park
摘要：We provide an explanation for hedging as a means of allocating rather than reducing risk. We argue that when increases in total risk are costly, firms optimally allocate risk by reducing (increasing) exposure to risks that provide zero (positive) economic rents. Our evidence shows that mutual thrifts that convert to stock institutions increase total risk, following conversion, consistent with their increased abilities and incentives for risk taking. They achieve this increase by hedging intere...
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作者：Hamao, Y; Jegadeesh, N
作者单位：Columbia University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. We find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a ne...
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作者：Taggart, RA
作者单位：Boston College
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作者：Fohlin, C
作者单位：California Institute of Technology
摘要：Close bank relationships are thought to ameliorate firms' liquidity constraints-a phenomenon frequently measured by liquidity sensitivity of investment. Using German firms during the formative years of universal banking (1903-1913), this paper shows that, even controlling for selection bias, investment is more sensitive to internal liquidity for bank-networked firms than unattached firms. The firm exhibiting the greatest liquidity sensitivity, however, faced no apparent liquidity constraint. T...
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作者：Maksimovic, V; Phillips, G
作者单位：University System of Maryland; University of Maryland College Park
摘要：This paper investigates whether Chapter 11 bankruptcy provides a mechanism by which insolvent firms are efficiently reorganized and the assets of unproductive firms are effectively redeployed. We argue that incentives to reorganize depend on the level of demand and industry conditions. Using plant-level data, me find that Chapter 11 status is much less important than industry conditions in explaining the productivity, asset sales, and closure conditions of Chapter 11 bankrupt firms. This sugge...
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作者：Rozeff, MS; Zaman, MA
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Northern Iowa
摘要：Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying also is greater after low stock returns, and lower after high stock returns. These findings are consistent with a version of overreaction which says that prices of value stocks tend to lie below fundamental values, and prices of growth stocks tend to lie above fundamental values.
