New York University Stern School of Business Research Paper Series最新文献_第7页

Dealing with Cash, Cross Holdings and Other Non-Operating Assets: Approaches and Implications 处理现金、交叉持股和其他非经营性资产:方法和影响

New York University Stern School of Business Research Paper Series Pub Date : 2005-09-30 DOI: 10.2139/ssrn.841485

A. Damodaran

引用次数: 45

The Value of Control: Implications for Control Premia, Minority Discounts and Voting Share Differentials 控制权的价值:控制权溢价、少数股权折扣和有表决权股份差异的含义

New York University Stern School of Business Research Paper Series Pub Date : 2005-06-30 DOI: 10.2139/ssrn.837405

A. Damodaran

引用次数: 30

Bottom-Up Corporate Governance 自下而上的公司管治

New York University Stern School of Business Research Paper Series Pub Date : 2005-03-01 DOI: 10.1093/ROF/RFS020

Augustin Landier, D. Sraer, D. Thesmar

引用次数: 123

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium 为什么长线股票风险较低?基于期限的价值溢价解释

New York University Stern School of Business Research Paper Series Pub Date : 2005-01-01 DOI: 10.2139/ssrn.661346

Jessica A. Wachter, M. Lettau

{"title":"Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium","authors":"Jessica A. Wachter, M. Lettau","doi":"10.2139/ssrn.661346","DOIUrl":"https://doi.org/10.2139/ssrn.661346","url":null,"abstract":"We propose a dynamic risk-based model that captures the value premium. Firms are modeled as long-lived assets distinguished by the timing of cash flows. The stochastic discount factor is specified so that shocks to aggregate dividends are priced, but shocks to the discount rate are not. The model implies that growth firms covary more with the discount rate than do value firms, which covary more with cash flows. When calibrated to explain aggregate stock market behavior, the model accounts for the observed value premium, the high Sharpe ratios on value firms, and the poor performance of the CAPM. THIS PAPER PROPOSES A DYNAMIC RISK-BASED MODEL that captures both the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. The value premium, first noted by Graham and Dodd (1934), is the finding that assets with a high ratio of price to fundamentals (growth stocks) have low expected returns relative to assets with a low ratio of price to fundamentals (value stocks). This finding by itself is not necessarily surprising, as it is possible that the premium on value stocks represents compensation for bearing systematic risk. However, Fama and French (1992) and others show that the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965) cannot account for the value premium: While the CAPM predicts that expected returns should rise with the beta on the market portfolio, value stocks have higher expected returns yet do not have higher betas than growth stocks. To model the difference between value and growth stocks, we introduce a cross-section of long-lived firms distinguished by the timing of their cash flows. Firms with cash flows weighted more to the future endogenously have high price ratios, while firms with cash flows weighted more to the present have low price ratios. Analogous to long-term bonds, growth firms are high-duration ∗ Lettau is at the Stern School of Business at New York University. Wachter is at the Wharton","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124409838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 509

'Long Term Debt with Hidden Borrowing' “隐藏借款的长期债务”

New York University Stern School of Business Research Paper Series Pub Date : 2005-01-01 DOI: 10.2139/ssrn.724023

Heski Bar-Isaac, V. Cuñat

引用次数: 2

Semiparametric Estimation of Fractional Cointegrating Subspaces 分数阶协整子空间的半参数估计

New York University Stern School of Business Research Paper Series Pub Date : 2004-11-01 DOI: 10.1214/009053606000000894

Willa W. Chen, C. Hurvich

{"title":"Semiparametric Estimation of Fractional Cointegrating Subspaces","authors":"Willa W. Chen, C. Hurvich","doi":"10.1214/009053606000000894","DOIUrl":"https://doi.org/10.1214/009053606000000894","url":null,"abstract":"We consider a common components model for multivariate fractional cointegration, in which the s ¸ 1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces suchthat vectors from distinct subspaces yield cointegrating errors with distinct memory parameters, denoted by dk, for k = 1; : : : ; s. We estimate each cointegrating subspace separately using appropriate sets ofeigenvectors of an averaged periodogram matrix of tapered, differenced observations. The averaging uses the first m Fourier frequencies, with m fixed. We will show that any vector in the k th estimatedcointegrating subspace is, with high probability, close to the k th true cointegrating subspace, in the sensethat the angle between the estimated cointegrating vector and the true cointegrating subspace convergesin probability to zero. This angle is Op(ni®k ), where n is the sample size and ®k is the shortest distance between the memory parameters corresponding to the given and adjacent subspaces. We show that the cointegrating residuals corresponding to an estimated cointegrating vector can be used to obtain a consistent and asymptotically normal estimate of the memory parameter for the given cointegrating subspace, using a univariate Gaussian semiparametric estimator with a bandwidth that tends to 1 more slowly than n. We also show how these memory parameter estimates can be used to test for fractional cointegration and to consistently identify the cointegrating subspaces.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115873236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 60

Turning Over Turnover 营业额

New York University Stern School of Business Research Paper Series Pub Date : 2004-11-01 DOI: 10.1093/RFS/HHM038

M. Cremers, J. Mei

引用次数: 48

Generalized Method of Moments for Samples of Unequal Length 不等长度样本的广义矩法

New York University Stern School of Business Research Paper Series Pub Date : 2004-05-19 DOI: 10.2139/ssrn.649422

A. Lynch, Jessica A. Wachter

{"title":"Generalized Method of Moments for Samples of Unequal Length","authors":"A. Lynch, Jessica A. Wachter","doi":"10.2139/ssrn.649422","DOIUrl":"https://doi.org/10.2139/ssrn.649422","url":null,"abstract":"This paper extends the generalized method of moments technique of Hansen (1982) to cases where moment conditions are observed over different sample periods. Many applications in financial economics use data series that have different starting dates, or, more rarely, different ending dates. Common practice is to take the intersection of the sample periods over which the data are observed; the intersection then becomes the sample period for the study and the rest of the data are ignored. This paper describes an alternative that allows the researcher to make use of all of the data available for each moment condition. We describe two asymptotically equivalent estimators that are consistent, asymptotically normal, and more efficient asymptotically than standard GMM. The first uses sample averages over the full sample to estimate the moments for which full-sample data are available, and sample averages over the short sample to estimate moments for which only the short-sample data are available, and then adjusts the short-sample moment using coefficients from a regression of the short-sample moments on the full-sample moments. The second uses the non-overlapping segment of the data available for the full-sample moments to form an additional set of moment conditions. We extend both of these estimators to settings with more general patterns of missing data. We show that the extended estimators are asymptotically equivalent, consistent, asymptotically normal, and asymptotically more e±cient than estimators that ignore a portion of the sample, whether or not it is observed for all series. By implication, the extended estimators are more efficient than standard GMM.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129871406","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Multinationals as Arbitrageurs: The Effect of Valuations on Foreign Direct Investment 跨国公司作为套利者:估值对外国直接投资的影响

New York University Stern School of Business Research Paper Series Pub Date : 2004-05-01 DOI: 10.2139/ssrn.556127

Malcolm P. Baker, C. Foley, Jeffrey Wurgler

引用次数: 100

External Constraints on Monetary Policy and the Financial Accelerator 货币政策的外部约束与金融加速器

New York University Stern School of Business Research Paper Series Pub Date : 2003-09-01 DOI: 10.2139/ssrn.959669

M. Gertler, Simon Gilchrist, Fabio Natalucci

引用次数: 726