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作者：CHEN, NF; KAN, R; MILLER, MH
作者单位：University of Toronto; University of Chicago; Hong Kong University of Science & Technology
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作者：UPPAL, R
摘要：We investigate, in a two-country general equilibrium model, whether a bias in consumption towards domestic goods will necessarily lead to a preference for domestic securities. We develop a model where investors are constrained to consume only from their domestic capital stock and where it is costly to transfer capital across countries. In this model, investors less risk averse than an investor with log utility bias their portfolios towards domestic assets. Investors more risk averse than log, ...
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作者：GOETZMANN, WN; JORION, P
作者单位：University of California System; University of California Irvine
摘要：This paper reexamines the ability of dividend yields to predict long-horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Ov...
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作者：HERTZEL, M; SMITH, RL
摘要：Despite selling at substantial discounts, private placements of equity are associated with positive abnormal returns. We find evidence that discounts reflect information costs borne by private investors and abnormal returns reflect favorable information about firm value. Results are consistent with the role of private placements as a solution to the Myers and Majluf underinvestment problem and with the use of private placements to signal undervaluation. We also find some evidence of anticipate...
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作者：SCHULTZ, P
作者单位：University System of Ohio; Ohio State University; University of Iowa
摘要：This paper examines the timing of, and reaction to, calls of callable warrants. Three main findings emerge. First, unlike convertible bonds or preferred stock, callable warrants are called almost as soon as possible. Second, there is a negative price reaction of about 3 percent when a call is announced. Finally, at the completion of a call, the stock price rebounds by an average of 7 percent. The total reaction from announcement through completion of the call is a positive excess return of abo...
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作者：QUIGG, L
摘要：This research is the first to examine the empirical predictions of a real option-pricing model using a large sample of market prices. We find empirical support for a model that incorporates the option to wait to develop land. The option model has explanatory power for predicting transactions prices over and above the intrinsic value. Market prices reflect a premium for the option to wait to invest that has a mean value of 6% in our sample. We also estimate implied standard deviations for indiv...
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作者：MEI, JP
摘要：This paper developes a semiautoregression (SAR) approach to estimate factors of the arbitrage pricing theory (APT) that has the advantage of providing a simple asymptotic variance-covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors. Using the extracted factors, I confirm the finding that the APT describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model. I find that not only are the factors ''pric...
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作者：FIGLEWSKI, S; WEBB, GP
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：This paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing the effect of constraints on short sales. The significantly higher average level of short interest exhibited by optionable stocks supports the argument that options facilitate short selling. We also find significant effects on option prices, related to the short interest in the underlying stock. We then present evidence that options also ...
