EFA 2002 Submissions最新文献

{"title":"An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy","authors":"Michael Gallmeyer, Burton Hollifield","doi":"10.2139/ssrn.302809","DOIUrl":"https://doi.org/10.2139/ssrn.302809","url":null,"abstract":"We study the effects of a market-wide short-sale constraint in a dynamic general equilibrium economy populated by optimistic and pessimistic investors. Imposing the constraint reduces the stock price if the optimist's intertemporal elasticity of substitution is less than one and increases the stock price if the optimist's intertemporal elasticity of substitution is greater than one. In all cases, the presence of the constraint implies that the pessimist's stock price marginal valuation is lower than the equilibrium price. In parameterized examples, the pessimist finds the stock most overvalued when the optimist's intertemporal elasticity of substitution is greater than one which is exactly when imposing the constraint reduces the equilibrium stock price. Additionally, the optimist's market price of risk falls and the instantaneous interest rate rises when the short-sale constraint is imposed. Imposing the constraint leads to a higher stock volatility when the optimist's intertemporal elasticity of substitution is less than one and a lower stock volatility when the optimist's intertemporal elasticity of substitution is greater than one.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123500656","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}

{"title":"Who is Afraid of Reg Fd? The Behavior and Performance of Sell-Side Analysts Following the Sec's Fair Disclosure Rules","authors":"Anup Agrawal, Mark A. Chen, Sahiba Chadha","doi":"10.2139/ssrn.738685","DOIUrl":"https://doi.org/10.2139/ssrn.738685","url":null,"abstract":"We examine Regulation FD's impact on the accuracy and dispersion of sell-side analysts' earnings forecasts. Using a large sample of quarterly forecasts made over a nearly 10-year period surrounding FD's adoption, we uncover two main sets of findings. First, individual and consensus forecasts become less accurate post-FD, particularly for early forecasts and for smaller companies. Second, forecast dispersion increases post-FD. This effect is stronger for early forecasts and has increased with the passage of time. These results, which are quite robust to alternative empirical methodologies, suggest that there has been a reduction in both selective guidance and forecast quality post-FD.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115177000","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}

{"title":"Asymmetric Option Price Distribution and Bid-Ask Quotes: Consequences for Implied Volatility Smiles","authors":"Lars Norden","doi":"10.2139/ssrn.302129","DOIUrl":"https://doi.org/10.2139/ssrn.302129","url":null,"abstract":"This study presents a model for estimating the asymmetry of option values with respect to option bid-ask spreads. The model does not require knowledge of the actual option value to evaluate the asymmetry. Using data from the Swedish equity options market, several interesting results emerge. First, there is evidence of asymmetry in call and put values, where values are closer to bid than to ask quotes. Second, in- and out-of-the-money calls and puts show a higher degree of asymmetry than at-the-money options. Third, taking asymmetry into account in the estimation of option-implied volatility, produces a less pronounced volatility smile.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127430136","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}

{"title":"Intraday Market Dynamics Around Public Information Arrivals","authors":"A. Ranaldo","doi":"10.2139/ssrn.301823","DOIUrl":"https://doi.org/10.2139/ssrn.301823","url":null,"abstract":"I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that the news impact depends on which type of news bulletin is released. Only news items causing extreme price disruptions such as earnings announcements enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets in which liquidity provision dynamically adapts to market conditions and information events. Limit order traders sustain liquidity even when facing extreme news impacts.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114578794","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}

{"title":"Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis","authors":"Nicole Branger","doi":"10.2139/ssrn.400060","DOIUrl":"https://doi.org/10.2139/ssrn.400060","url":null,"abstract":"This paper analyses two implied methods to determine the pricing function for derivatives when the market is incomplete. First, we consider the choice of an equivalent martingale measure with minimal cross-entropy relative to a given benchmark measure. We show that the choice of the numeraire has an impact on the resulting pricing function, but that there is no sound economic answer to the question which numeraire to choose. The ad-hoc choice of the numeraire introduces an element of arbitrariness into the pricing function, thus contradicting the motivation of this method as the least prejudiced way to choose the pricing operator. Second, we propose two new methods to select a pricing function: the choice of the stochastic discount factor (SDF) with minimalextendedcross-entropy relative to a given benchmark SDF, and the choice of the Arrow–Debreu (AD) prices with minimal extended cross-entropy relative to some set of benchmark AD prices. We show that these two methods are equivalent in that they generate identical pricing functions. They avoid the dependence on the numeraire and replace it by the dependence on the benchmark pricing function. This benchmark pricing function, however, can be chosen based on economic considerations, in contrast to the arbitrary choice of the numeraire.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127781315","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}

{"title":"Investment Timing Under Incomplete Information","authors":"J. Décamps, Thomas Mariotti, Stéphane Villeneuve","doi":"10.2139/ssrn.301960","DOIUrl":"https://doi.org/10.2139/ssrn.301960","url":null,"abstract":"We study the decision of when to invest in a project whose value is perfectly observable but driven by a parameter that is unknown to the decision maker ex ante. This problem is equivalent to an optimal stopping problem for a bivariate Markov process. Using filtering and martingale techniques, we show that the optimal investment region is characterized by a continuous and nondecreasing boundary in the value-belief state space. This generates path-dependency in the optimal investment strategy. We further show that the decision maker always benefits from an uncertain drift relative to an average drift situation and that the value of the option to invest is not globally increasing with respect to the volatility of the value process.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115174206","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}

{"title":"Managers, Workers, and Corporate Control","authors":"M. Pagano, P. Volpin","doi":"10.2139/ssrn.299923","DOIUrl":"https://doi.org/10.2139/ssrn.299923","url":null,"abstract":"If management has high private benefits and owns a small equity stake, managers and workers are natural allies against a takeover threat. Two forces are at play. First, managers can transform employees into a \"shark repellent\" through long-term labor contracts and thereby reduce the firm's attractiveness to a raider. Second, employees can act as ``white squires'' for the incumbent managers: to protect their high wages, they resist hostile takeovers, by refusing to sell their shares to the raider or by lobbying against the takeover. The model predicts that wages are inversely correlated with the incumbent's equity stake, and decline after a takeover","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134387894","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}

{"title":"Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach","authors":"Abhay Abhyankar, D. Basu, A. Stremme","doi":"10.2139/ssrn.301859","DOIUrl":"https://doi.org/10.2139/ssrn.301859","url":null,"abstract":"In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the framework of Hansen and Richard (1987) to obtain new characterizations of the efficient portfolio frontier and variance bounds on discount factors, as functions of the conditioning information. We introduce a covariance-orthogonal representation of the asset return space, which allows us to derive several new results, and provide a portfolio-based interpretation of existing results. Our analysis is inspired by, and extends the recent work of Ferson and Siegel (2001,2002), and Bekaert and Liu (2004). Our results have several important applications in empirical asset pricing, such as the construction of portfolio-based tests of asset pricing models, conditional measures of portfolio performance, and tests of return predictability.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114119140","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}

{"title":"Common Risk Factors vs. Mispricing Factor of Tokyo Stock Exchange Firms: Inquries into the Fundamental Price Derived from Analysts' Earnings Forecasts","authors":"Keiichi Kubota, K. Suda, Hitoshi Takehara","doi":"10.2139/ssrn.301906","DOIUrl":"https://doi.org/10.2139/ssrn.301906","url":null,"abstract":"In this paper we try to find common factors that can explain the stock returns of Tokyo stock exchange firms with multivariate asset-pricing framework. Specifically, we explore the nature of risk contained in the size and the HML factor variables and their information content. For this purpose we utilize Edwards-Bell-Ohlson model to derive accounting based fundamental price and divide this value by the actual market price, whereas we call \"value- to-price ratio\" as Frankel and Lee did. By comparing the returns of the portfolios ranked by this candidate variable, we find that this value-to-price ratio variable contains new information content that is not yet reflected in the conventional book-to-price ratio, while its explanatory power is slightly inferior to the book-to-price ratio. The portfolio strategy based on the value-to-price ratios can earn abnormal cumulative returns for some subset of the sample portfolios and for a larger fraction of portfolios during a later sub-period of the sampling period. Some of the return differences are significant based on the t-test whose method initially proposed by Daniel and Titman (1997). To test for whether this variable can be a significant explanatory variable in a multivariate asset pricing model, we construct return difference portfolios ranked by the value-to-price ratio, whose method is identical to Fama and French (1993) method in their constructing the HML return difference portfolios. We call this factor variable as \"UMO\" (underestimating-minus-overestimating) factor variable. We conduct Fama and MacBeth test with this UMO factor as one of the candidate factor variables. Under the null hypothesis of the existence of the risk premium on each possible factor, we find that the risk premium of for UMO factor is significant. However, the degree of the significance is not universal unlike the case for the HML factor. Accordingly, we test for the characteristic hypothesis raised by Daniel and Titman (1997), and we conclude that this factor is rather a characteristic rather than a risk factor and cannot be a good substitute for the book-to-price ratio variable.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122526300","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}

{"title":"Rational Bounds and the Robust Risk Management of Derivatives","authors":"A. Neuberger, S. Hodges","doi":"10.2139/ssrn.301977","DOIUrl":"https://doi.org/10.2139/ssrn.301977","url":null,"abstract":"The risk management of derivative portfolios is vulnerable to model error. This paper explores risk management strategies based on no-arbitrage bounds, which are independent of any model. In particular, we determine the bounds on the price of a general barrier option given the price of a set of European call options and identify the hedging strategy that enforces the bounds. The strategy puts a floor on the maximum loss that can be incurred by the writer of the barrier option. We show how the strategy can be made dynamic and the floor raised over time. The distribution of hedge errors under the strategy is compared with that under alternative strategies.","PeriodicalId":151935,"journal":{"name":"EFA 2002 Submissions","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114618011","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}