AFA 2004 San Diego Meetings (Archive)最新文献

Tax Changes and Asset Pricing 税收变化和资产定价

AFA 2004 San Diego Meetings (Archive) Pub Date : 2008-06-30 DOI: 10.2139/ssrn.472226

Clemens Sialm

引用次数: 158

Financial Market Design and Equity Premium: Electronic Versus Floor Trading 金融市场设计与股权溢价:电子交易与场内交易

AFA 2004 San Diego Meetings (Archive) Pub Date : 2004-02-01 DOI: 10.2139/ssrn.470766

P. Jain

引用次数: 260

Auditor's Reputation, Equity Offerings, and Firm Size: The Case of Arthur Andersen 审计师的声誉、股票发行和公司规模:以安达信为例

AFA 2004 San Diego Meetings (Archive) Pub Date : 2004-01-15 DOI: 10.2139/ssrn.470771

Stephanie Yates Rauterkus, K. Song

引用次数: 9

International Asset Pricing Under Habit Formation and Idiosyncratic Consumption Risk 习惯形成与特殊消费风险下的国际资产定价

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-12-14 DOI: 10.2139/ssrn.479561

Yuming Li, M. Zhong

引用次数: 1

Commonality, Information and Return/Return Volatility - Volume Relationship 共性，信息和回报/回报波动-量的关系

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-12-10 DOI: 10.2139/SSRN.475580

Xiaojun He, R. Velu, Chun-nan Chen

{"title":"Commonality, Information and Return/Return Volatility - Volume Relationship","authors":"Xiaojun He, R. Velu, Chun-nan Chen","doi":"10.2139/SSRN.475580","DOIUrl":"https://doi.org/10.2139/SSRN.475580","url":null,"abstract":"This paper develops a common-factor model to investigate relationships between security returns/return volatility and trading volume. The model generalizes Tauchen and Pitts' (1983) MDH model by capturing possible interactions among securities. In our model, both price changes and trading volume are governed by three kinds of mutually independent variables: common factor variables, latent information variables and idiosyncratic variables. Despite its similarity to Hasbrouck and Seppi's (2001) model in terms of the form, the model extraordinarily allows us to identify the cause of interactions among securities by decomposing factor loadings into constant and random components. Three key implications are reached from our model. First, common factor structures in returns and trading volume stem from information flows. Second, returns' common factors are not related to trading volume's common factors. This implication directly opposes Hasbrouck and Seppi's (2001) assumption. Finally, cross-firm variations of returns and volume respectively rely on underlying latent information flows. The positive relation between return volatility and volume also results only from underlying latent information flows. Thus, common factor structures in returns and trading volume have no additional explanatory power in cross-firm variations and the positive return volatility-volume relationship. We fit the model for intraday data of Dow Jones 30 stocks using the EM algorithm. The results support specifications of our model. The empirical results demonstrate 3-factor structures in returns and trading volume, respectively. All 30 stocks in our sample are governed by at least one common factor. This fact implies that our model outperforms Tauchen and Pitts' (1983) model because their model is a special case of our model without the presence of common factors. We also show that after controlling the effect of information flows, persistence in return variance disappears.","PeriodicalId":414252,"journal":{"name":"AFA 2004 San Diego Meetings (Archive)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133644624","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: 3

Private Equity Performance: Returns, Persistence and Capital Flows 私募股权绩效:回报、持续性和资本流动

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-11-01 DOI: 10.2139/ssrn.473341

Benjamin N. Grosof, Terrence C. Poon

{"title":"Private Equity Performance: Returns, Persistence and Capital Flows","authors":"Benjamin N. Grosof, Terrence C. Poon","doi":"10.2139/ssrn.473341","DOIUrl":"https://doi.org/10.2139/ssrn.473341","url":null,"abstract":"This paper investigates the performance of private equity partnerships using a data set of individual fund returns collected by Venture Economics. Over the sample period, average fund returns net of fees approximately equal the S&P 500 although there is a large degree of heterogeneity among fund returns. Returns persist strongly across funds raised by individual private equity partnerships. The returns also improve with partnership experience. Better performing funds are more likely to raise follow-on funds and raise larger funds than funds that perform poorly. This relationship is concave so that top performing funds do not grow proportionally as much as the average fund in the market. At the industry level, we show that market entry in the private equity industry is cyclical. Funds (and partnerships) started in boom times are less likely to raise follow-on funds, suggesting that these funds subsequently perform worse. Aggregate industry returns are lower following a boom, but most of this effect is driven by the poor performance of new entrants, while the returns of established funds are much less affected by these industry cycles. Several of these results differ markedly from those for mutual funds.","PeriodicalId":414252,"journal":{"name":"AFA 2004 San Diego Meetings (Archive)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125956730","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: 81

Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables 具有收益可预测性和周期性可观察预测变量的投资组合选择

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-11-01 DOI: 10.2139/ssrn.471280

Hong Liu, Lixin Huang

引用次数: 1

Evolving Inflation Dynamics, Monetary Policy, and the Fisher Hypothesis 演化中的通货膨胀动态、货币政策和费雪假说

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-11-01 DOI: 10.2139/ssrn.467780

Shingo Goto, W. Torous

引用次数: 6

Identifying Factors within the Apt: A New Approach 识别Apt中的因素:一种新的方法

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-10-26 DOI: 10.2139/ssrn.462561

H. Xue

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引用次数: 3

The Predictive Power of Zero Intelligence in Financial Markets 零智能在金融市场中的预测能力

AFA 2004 San Diego Meetings (Archive) Pub Date : 2003-09-09 DOI: 10.2139/ssrn.483603

J. Farmer, P. Patelli, Ilija I. Zovko

{"title":"The Predictive Power of Zero Intelligence in Financial Markets","authors":"J. Farmer, P. Patelli, Ilija I. Zovko","doi":"10.2139/ssrn.483603","DOIUrl":"https://doi.org/10.2139/ssrn.483603","url":null,"abstract":"Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction and yields simple laws relating order-arrival rates to statistical properties of the market. We test the validity of these laws in explaining cross-sectional variation for 11 stocks. The model explains 96% of the variance of the gap between the best buying and selling prices (the spread) and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The nondimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view, because it demonstrates the existence of simple laws relating prices to order flows and, in a broader context, suggests there are circumstances where the strategic behavior of agents may be dominated by other considerations.","PeriodicalId":414252,"journal":{"name":"AFA 2004 San Diego Meetings (Archive)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114742975","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: 444