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最新文章

• THE ECONOMETRIC MODELING OF FINANCIAL TIME-SERIES - MILLS,TC AI翻译
  作者：LEE, BS
• INFORMATION QUALITY, PERFORMANCE-MEASUREMENT, AND SECURITY DEMAND IN RATIONAL-EXPECTATIONS ECONOMIES AI翻译
  作者：NOE, TH; RAMAMURTIE, BS
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta
  摘要：The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then we relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, we demonstrate that informational differen...
• MEAN REVERSION IN EQUILIBRIUM ASSET PRICES - EVIDENCE FROM THE FUTURES TERM STRUCTURE AI翻译
  作者：BESSEMBINDER, H; COUGHENOUR, JF; SEGUIN, PJ; SMOLLER, MM
  作者单位：University of Massachusetts System; University of Massachusetts Boston; University of Michigan System; University of Michigan; Wayne State University
  摘要：We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially l...
• STOCK VOLATILITY AND THE LEVELS OF THE BASIS AND OPEN INTEREST IN FUTURES CONTRACTS AI翻译
  作者：CHEN, NF; CUNY, CJ; HAUGEN, RA
  作者单位：Hong Kong University of Science & Technology
  摘要：This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.
• DO EXPECTED SHIFTS IN INFLATION AFFECT ESTIMATES OF THE LONG-RUN FISHER RELATION AI翻译
  作者：EVANS, MDD; LEWIS, KK
  作者单位：National Bureau of Economic Research
  摘要：Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one-for-one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long-run relationship between nominal interest rates and inflation. Interestingl...
• IMPLEMENTING OPTION PRICING-MODELS WHEN ASSET RETURNS ARE PREDICTABLE AI翻译
  作者：LO, AW; WANG, J
  摘要：The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely-sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black-Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longe...