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作者：MellaBarral, P; Perraudin, W
作者单位：University of London; Birkbeck University London
摘要：When firms experience financial distress, equity holders may act strategically, forcing concessions from debtholders and paying less than the originally-contracted interest payments. This article incorporates strategic debt service in a standard, continuous time asset pricing model, developing simple closed-form expressions for debt and equity values. We find that strategic debt service can account for a substantial proportion of the premium on risky corporate debt. We analyze the efficiency i...
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作者：Thorbecke, W
作者单位：George Mason University
摘要：Financial economists have long debated whether monetary policy is neutral. This article addresses this question by examining how stock return data respond to monetary policy shocks. Monetary policy is measured by innovations in the federal funds rate and nonborrowed reserves, by narrative indicators, and by an event study of Federal Reserve policy changes. In every case the evidence indicates that expansionary policy increases ex-post stock returns. Results from estimating a multi-factor model...
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作者：Bakshi, G; Cao, C; Chen, ZW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Ohio; Ohio State University
摘要：Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by-how much each generalization improves option pricing and hedging. We fill this gap by first deriving an option model that allows volatility, interest rates and jumps' to be stochastic. Using S&P 500 options, we examine several alternative models from three perspectives: (1) internal consistency of implied parameters/volatility with relevant time-series dat...
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作者：Andrade, Gregor; Kaplan, Steven N.
作者单位：University of Chicago
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作者：Brennan, Michael J.; Cao, H. Henry
作者单位：University of California System; University of California Berkeley
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作者：Gande, Amar
作者单位：New York University
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作者：MackieMason, JK; Gordon, RH
作者单位：National Bureau of Economic Research
摘要：The double taxation of corporate income should discourage firms from incorporating. We investigate the extent to which the aggregate allocation of assets and taxable income in the United States between corporate and noncorporate firms responds to the size of this tax distortion during the period 1959-1986. In theory, profitable firms should shift out of the corporate sector when the tax distortion is large, and conversely for firms with tax losses. Our empirical results provide strong support ...
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作者：Kyle, AS; Wang, FA
作者单位：Columbia University
摘要：In a duopoly model of informed speculation, we show that overconfidence may strictly dominate rationality since an overconfident trader may not only generate higher expected profit and utility than his rational opponent, but also higher than if he were also rational. This occurs because overconfidence acts Like a commitment device in a standard Cournot duopoly. As a result, for some parameter values the Nash equilibrium of a two-fund game is a Prisoner's Dilemma in which both funds hire overco...
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作者：Dewenter, KL; Malatesta, PH
作者单位：Washington University (WUSTL)
摘要：We compare initial offer prices in privatizations to initial prices in public offerings of private companies. The evidence indicates that government officials in the United Kingdom underprice IPOs significantly more than their private company counterparts. In Canada and Malaysia, however, the opposite is true. There does not appear to be a general tendency for privatizations to be underpriced to a greater degree than private company IPOs. We provide additional evidence on the determinants of p...
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作者：Duan Jin-Chuan
作者单位：Hong Kong University of Science & Technology
