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作者：DeSantis, G; Gerard, B
摘要：We test the conditional capital asset pricing model (CAPM) for the worlds eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable du...
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作者：Brav, A; Gompers, PA
作者单位：Harvard University; National Bureau of Economic Research
摘要：We investigate the long-run underperformance of recent initial public offering (IPO) firms in a sample of 934 venture-backed IPOs from 1972-1992 and 3,407 nonventure-backed IPOs from 1975-1992. We find that venture-backed IPOs outperform nonventure-backed IPOs using equal weighted returns. Value weighting significantly reduces performance differences and substantially reduces underperformance for nonventure-backed IPOs. In tests using several comparable benchmarks and the Fama-French (1993) th...
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作者：Jordan, BD; Jordan, SD
摘要：Duffie (1996) examines the theoretical impact of repo ''specials'' on the prices of Treasury securities and concludes that, all else the same, an issue on special will carry a higher price than an otherwise identical issue. We examine this hypothesis and find strong evidence in support of it. We also examine whether the liquidity premium associated with ''on-the-run'' issues is due to repo specialness and find evidence of a distinct effect. Finally, we investigate whether auction tightness and...
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作者：Richards, AJ
摘要：This article examines possible explanations for ''winner-loser reversals'' in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world, While there is evidence that small markets are subject to larger reversals than large markets, perhaps due to some form of market imperfectio...
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作者：Zhang, HH
摘要：This article develops ways to endogenize the borrowing constraints used in a class of computable incomplete markets models. We allow the constraints to depend on an investor's characteristics such as time preference, risk aversion, and income streams. The proposed constraint can be interpreted as a borrowing Limit;within which an investor has no incentive to default. Using a numerical algorithm, we find that for an array of structural parameters, the endogenous borrowing constraints can be muc...
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作者：Patelis, AD
摘要：This article examines whether shifts in the stance of monetary policy can account for the observed predictability in excess stock returns. Using long-horizon regressions and short-horizon vector autoregressions, the article concludes that monetary policy variables are significant predictors of future returns, although they cannot fully account for observed stack return predictability. I undertake variance decompositions to investigate how monetary policy affects the individual components of ex...
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作者：Corrado, CJ; Ferris, SP
摘要：This article surveys the influence of research journals on finance doctoral education. Influence is measured by citations from syllabi of finance seminars: A sample of 101 distinct syllabi submitted by 33 finance doctoral programs yields a list of 1,031 articles cited by at least two schools. These 1,031 articles generate 3,273 citations referencing 17 finance, economics, and accounting journals, where multiple citations from a single school are counted as a single citation. The most notable f...
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作者：Huang, RD
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作者：Hollifield, B; Uppal, R
摘要：We examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires t...
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作者：Eleswarapu, VR
摘要：This article empirically examines the liquidity premium predicted by the Amihud and Mendelson (1986) model using Nasdaq data over the 1973-1990 period. The results support the model and are much stronger than for the New York Stock Exchange (NYSE), as reported by Chen and Kan (1989) and Eleswarapu and Reinganum (1993). I conjecture that the stronger evidence on the Nasdaq is due to the dealers' inside spreads on the Nasdaq being a better proxy for the actual cost of transacting than the quoted...
