Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series最新文献

{"title":"Specification Test of International Asset Pricing Models","authors":"Xiaoyan Zhang","doi":"10.2139/ssrn.276495","DOIUrl":"https://doi.org/10.2139/ssrn.276495","url":null,"abstract":"The benchmark model for domestic asset pricing is the Sharpe-Lintner CAPM, which claims that the asset returns are determined by their covariances with the return on the (domestic) market portfolio. But since the late 1970's, the major developed countries have gradually rescinded capital controls and opened the domestic market to international investors. As the global risk factors become more influential, is the local benchmark the right benchmark for asset pricing? This study tries to answer this question by evaluating and comparing several domestic and international asset pricing models. The set of models includes the Sharpe-Lintner CAPM, the International single-beta CAPM (with and without exchange risk), the Fama-French three-factor model (1993), and the International Fama-French multi-factor model (1998). These models are tested on several common sets of assets, which are comprised of size and B/M portfolios both within and across individual countries. (When the investors are constrained to the local market or a fund manager wants to construct a country fund, it is useful to know how local factors and global factors affect asset returns in the single national market. But if the investors have access to foreign markets or the fund manager wants to diversify globally, it is more relevant to price portfolios from different countries.) I use the Hansen-Jagannathan (1997) distance measure (hereafter HJ-distance) to test and compare various models. In addition, this article explores the relation between the Fama-French empirical factors and the business cycle variables, and how exchange risks affect individual portfolio returns. The asset pricing models are mainly required to price the B/M spread in returns, because the size effect is absent from all countries. The asset pricing test results show that the models with constant risk prices fail to price the cross-sectional returns. By allowing the risk prices to fluctuate with business cycle variables, the local Fama-French factor models and the conditional international models are able to pass the HJ-distance test within US and UK. Since the business cycle variables are highly correlated across countries, it suggests the importance of common world risks in local asset pricing. The market integration hypothesis (with the uniform risk prices across countries) is not rejected in cross-country asset pricing, when risk prices are scaled by global industrial production. The conditioning business cycle variables greatly improve the performance of each model, and they are always significantly priced (together with the global market risk when cross-country). Both the value premiums as in Fama and French (1993, 1998) and the exchange risks are priced in unconditional models. However, these factors either are never priced or lose their significance in the presence of industrial production.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128624957","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":"Dividends, Share Repurchases, and the Substitution Hypothesis","authors":"Gustavo Grullon, Roni Michaely","doi":"10.2139/ssrn.222730","DOIUrl":"https://doi.org/10.2139/ssrn.222730","url":null,"abstract":"We show that repurchases have not only became an important form of payout for U.S. corporations, but also that firms finance their share repurchases with funds that otherwise would have been used to increase dividends. We find that young firms have a higher propensity to pay cash through repurchases than they did in the past and that repurchases have become the preferred form of initiating a cash payout. Although large, established firms have generally not cut their dividends, they also show a higher propensity to pay out cash through repurchases. These findings indicate that firms have gradually substituted repurchases for dividends. Our results also suggest that before 1983, regulatory constraints inhibited firms from aggressively repurchasing shares.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132196921","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":"Counterparty Risk and the Pricing of Defaultable Securities","authors":"R. Jarrow, F. Yu","doi":"10.2139/ssrn.183588","DOIUrl":"https://doi.org/10.2139/ssrn.183588","url":null,"abstract":"Motivated by recent financial crises in East Asia and the U.S. where the downfall of a small number of firms had an economy-wide impact, this paper generalizes existing reduced-form models to include default intensities dependent on the default of a counterparty. In this model, firms have correlated defaults due not only to an exposure to common risk factors, but also to firm-specific risks that are termed ``counterparty risks.'' Numerical examples illustrate the effect of counterparty risk on the pricing of defaultable bonds and credit derivatives such as default swaps.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130551373","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":"Errors in Estimating Accruals: Implications for Empirical Research","authors":"D. Collins, P. Hribar","doi":"10.2139/ssrn.179928","DOIUrl":"https://doi.org/10.2139/ssrn.179928","url":null,"abstract":"This paper examines the impact of measuring accruals as the change in successive balance sheet accounts, as opposed to measuring accruals directly from the statement of cash flows. Our primary finding is that studies using a balance sheet approach to test for earnings management are potentially contaminated by measurement error in accruals estimates. In particular, if the partitioning variable used to indicate the presence of earnings management is correlated with the occurrence of mergers and acquisitions or discontinued operations, tests are biased and researchers are likely to erroneously conclude that earnings management exists when there is none. Additional results show that the errors in balance sheet accruals estimation can confound returns regressions where discretionary and non‐discretionary accruals are used as explanatory variables. Moreover, we demonstrate that tests of market mispricing of accruals will be understated due to erroneous classification of “extreme” accruals firms.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"189 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117332030","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":"The HJM Model: Its Past, Present, and Future, Keynote Address Iafe 1997 Conference","authors":"R. Jarrow","doi":"10.2139/ssrn.94946","DOIUrl":"https://doi.org/10.2139/ssrn.94946","url":null,"abstract":"When I was I thinking about what to discuss in this address, my mind wandered across many topics. I first thought about discussing martingale probability measures and the topologies of asset pricing. I quickly discarded this topic for obvious reasons(and one not so obvious). The not so obvious one is that I was asked to avoid using any equations. I next thought about preaching on the evils of 'value at risk,' but learned that Steve Ross had talked about this in the past. One doesn't want to imitate a master. So, I rejected that topic. By then I was desperate. To illustrate how much so, I even thought about a banking topic=FE asset/liability management. I rejected this as well because after lunch, there is always the danger of putting everyone to sleep. Then, an inspiration hit. I remembered when I was a graduate student in the late 70s at MIT, how much I enjoyed listening to Bob Merton and Fischer Black talk about the historical development of the Black-Scholes formula. Who did what, and when? What were the stumbling blocks in the development, in particular, solving the Black-Scholes partial differential equation. To this day, I still like recounting those stories to my students. So, I thought I would share my insights and recollections on the development process of the Heath-Jarrow-Morton term structure model with you. In the process, I will take advantage of the historic progression to discuss the salient issues regarding its derivation and implementation. In addition, I will also discuss its extensions to foreign currency and credit derivatives. Finally, I will share my predictions with you on the future of research in this area, and on the future of the field of financial engineering itself.","PeriodicalId":309400,"journal":{"name":"Samuel Curtis Johnson Graduate School of Management at Cornell University Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125850841","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}