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Real Options, Volatility, and Stock Returns 实物期权，波动性和股票回报
EFA 2008 Athens Meetings (Archive) Pub Date : 2012-08-01 DOI: 10.2139/ssrn.1101562
Gustavo Grullon, Evgeny Lyandres, A. Zhdanov
{"title":"Real Options, Volatility, and Stock Returns","authors":"Gustavo Grullon, Evgeny Lyandres, A. Zhdanov","doi":"10.2139/ssrn.1101562","DOIUrl":"https://doi.org/10.2139/ssrn.1101562","url":null,"abstract":"This paper provides evidence that the positive relation between firm-level stock returns and firm-level return volatility is due to real options that firms possess. Consistent with the theoretical prediction that the value of a real option should be increasing in the volatility of the underlying asset, we find that the positive volatility-return relation is much stronger for firms that are more likely to have more real options. We also find that the sensitivity of firm values to changes in volatility declines significantly after firms exercise their real options. Finally, we reconcile the aggregate-level evidence of a negative relation between returns and return volatility with the positive relation at the firm level by showing that the negative relation at the aggregate level may be due to aggregate market conditions that simultaneously affect both market returns and return volatility.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127976915","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: 217
The Firm-Level Credit Multiplier 企业信用乘数
EFA 2008 Athens Meetings (Archive) Pub Date : 2012-01-20 DOI: 10.2139/ssrn.1102683
Murillo Campello, D. Hackbarth
{"title":"The Firm-Level Credit Multiplier","authors":"Murillo Campello, D. Hackbarth","doi":"10.2139/ssrn.1102683","DOIUrl":"https://doi.org/10.2139/ssrn.1102683","url":null,"abstract":"We study the effect of asset tangibility on corporate financing and investment decisions. Financially constrained firms benefit the most from investing in tangible assets because those assets help relax constraints, allowing for further investment. Using a dynamic model, we characterize this effect — which we call firm-level credit multiplier — and show how asset tangibility increases the sensitivity of investment to Tobin’s Q for financially constrained firms. Examining a large sample of manufacturers over the 1971–2005 period as well as simulated data, we find support for our theory’s tangibility–investment channel. We further verify that our findings are driven by firms’ debt issuance activities. Consistent with our empirical identification strategy, the firm-level credit multiplier is absent from samples of financially unconstrained firms and samples of financially constrained firms with low spare debt capacity.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132049184","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: 35
Omitted Debt Risk, Financial Distress and the Cross-Section of Expected Equity Returns 省略债务风险、财务困境与预期权益回报的横截面
EFA 2008 Athens Meetings (Archive) Pub Date : 2010-09-29 DOI: 10.2139/ssrn.1082259
K. Aretz, M. Shackleton
{"title":"Omitted Debt Risk, Financial Distress and the Cross-Section of Expected Equity Returns","authors":"K. Aretz, M. Shackleton","doi":"10.2139/ssrn.1082259","DOIUrl":"https://doi.org/10.2139/ssrn.1082259","url":null,"abstract":"The study of Ferguson and Shockley (2003) shows that, if the Merton (1974) model can reflect reality, the omission of debt claims from the market portfolio proxy may explain the poor pricing ability of the CAPM in empirical tests. We critically re-assess this argument by first reviewing existing, but also new avenues through which the Merton (1974) model can point to a systematic bias in market beta estimates. However, we also show that some avenues are diversifiable, and that they all rely on excessive economy-wide default risk to create a non-negligible bias. We then use the Merton (1974) model to proxy for the total debt portfolio, but find that its application in empirical tests cannot improve pricing performance. We conclude that there are (so far) no valid theoretical reasons to believe that omitted debt claims undermine CAPM tests.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132628572","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: 9
Is Regime Switching in Stock Returns Important in Portfolio Decisions? 股票收益的制度转换在投资组合决策中重要吗?
EFA 2008 Athens Meetings (Archive) Pub Date : 2010-02-26 DOI: 10.2139/ssrn.1028445
Jun Tu
{"title":"Is Regime Switching in Stock Returns Important in Portfolio Decisions?","authors":"Jun Tu","doi":"10.2139/ssrn.1028445","DOIUrl":"https://doi.org/10.2139/ssrn.1028445","url":null,"abstract":"The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, and hence should be employed instead in portfolio decisions irrespective of concerns about model or parameter uncertainty.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116987255","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: 104
Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period 流动性与资产定价:投资者持有期作用的证据
EFA 2008 Athens Meetings (Archive) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1095226
Randi Naes, B. A. Ødegaard
{"title":"Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period","authors":"Randi Naes, B. A. Ødegaard","doi":"10.2139/ssrn.1095226","DOIUrl":"https://doi.org/10.2139/ssrn.1095226","url":null,"abstract":"We use data on actual holding periods for all investors in a stock market over a 10-year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. Average holding periods differ across different investor types. Turnover is an imperfect proxy for holding period. While both turnover and spread are related to stock returns, holding period is not.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129976931","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: 27
Speed of Learning About Firms' Profitability and Their Price Multiples: A Global Perspective 企业盈利能力及其价格倍数的学习速度:一个全球视角
EFA 2008 Athens Meetings (Archive) Pub Date : 2008-03-03 DOI: 10.2139/ssrn.1101856
P. Jain, Udomsak Wongchoti
{"title":"Speed of Learning About Firms' Profitability and Their Price Multiples: A Global Perspective","authors":"P. Jain, Udomsak Wongchoti","doi":"10.2139/ssrn.1101856","DOIUrl":"https://doi.org/10.2139/ssrn.1101856","url":null,"abstract":"We present direct global evidence of declining analyst forecast errors, return volatility, and M/B ratio with progression in a firm’s age in the context of a learning model which focuses on the positive numerator effects of uncertainty about the firm’s profitability. The convex relation between a firm’s age and its M/B is pervasive over time and across countries after controlling for future growth rate, leverage, size, dividend policy, and future return. Strict enforcement of insider trading laws, higher feasibility of short selling, and dominance of local versus foreign investors increase the learning speed and fuel quicker achievement of long run equilibrium valuations.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134194175","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
Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation 风险溢价、套利交易动态和货币投机的经济价值
EFA 2008 Athens Meetings (Archive) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.921339
C. Wagner
{"title":"Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation","authors":"C. Wagner","doi":"10.2139/ssrn.921339","DOIUrl":"https://doi.org/10.2139/ssrn.921339","url":null,"abstract":"In this paper, we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range. We show that exchange rate returns comprise a time-varying risk-premium and that uncovered interest parity (UIP) holds in a speculative sense. The often-cited ‘forward bias puzzle’ originates from the omission of the risk-premium in standard UIP tests. Consistent with its popularity among market professionals, the carry-trade strategy can be rationalized as it systematically collects risk-premia, however, the economic value generated by bilateral carry-trades is limited.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124324338","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: 15
American Options in the Heston Model With Stochastic Interest Rate 随机利率下赫斯顿模型下的美式期权
EFA 2008 Athens Meetings (Archive) Pub Date : 2007-11-19 DOI: 10.2139/ssrn.1031282
S. Boyarchenko, S. Levendorskii
{"title":"American Options in the Heston Model With Stochastic Interest Rate","authors":"S. Boyarchenko, S. Levendorskii","doi":"10.2139/ssrn.1031282","DOIUrl":"https://doi.org/10.2139/ssrn.1031282","url":null,"abstract":"We consider the Heston model with the stochastic interest rate of the CIR type and more general models with stochastic volatility and interest rates depending on two CIR - factors. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest rate and/or volatility are discretized. The result is a sequence of embedded perpetual options arising in the time - discretization of a Markov - modulated Levy model. Options in this sequence are solved using an iteration method based on the Wiener - Hopf factorization. Typical shapes of the early exercise boundary are shown, and good agreement of option prices with prices calculated with the Longstaff - Schwartz method and Medvedev - Scaillet asymptotic method is demonstrated.","PeriodicalId":244217,"journal":{"name":"EFA 2008 Athens Meetings (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115049678","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: 7
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