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AFA 2002 Atlanta Meetings (Archive)最新文献

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Common Liquidity Risk and Market Collapse: Lessons from the Market for Perps 共同的流动性风险和市场崩溃:来自伪币市场的教训
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2006-07-01 DOI: 10.2139/ssrn.283194
Chitru S. Fernando, R. Herring, A. Subrahmanyam
{"title":"Common Liquidity Risk and Market Collapse: Lessons from the Market for Perps","authors":"Chitru S. Fernando, R. Herring, A. Subrahmanyam","doi":"10.2139/ssrn.283194","DOIUrl":"https://doi.org/10.2139/ssrn.283194","url":null,"abstract":"We study the collapse of the market for perpetual floating rate notes (perps). The perp market was launched in 1984, and its first two years were characterized by explosive growth in which issues by high quality borrowers were placed with institutional investors and traded in liquid secondary markets. However, the perp market began collapsing precipitously in December 1986, due to the withdrawal of market intermediaries prompted by large order imbalances. Although most of the original perps remain outstanding, prices and liquidity have not recovered. We develop a model to explain the events observed in the perp market and to draw lessons on how commonality in liquidity can affect market performance and intermediary incentives. We provide new insights into how markets can collapse even in the absence of information asymmetry or bubbles. We also contribute to the corporate governance literature by providing a new rationale for placing securities with a broad investor base -- to minimize the possibility that common liquidity shocks will cause a market to fail.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"47 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130607780","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
The Illusory Nature of Momentum Profits 动量利润的虚幻本质
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2004-02-01 DOI: 10.2139/ssrn.256926
David A. Lesmond, Michael J. Schill, Chunsheng Zhou
{"title":"The Illusory Nature of Momentum Profits","authors":"David A. Lesmond, Michael J. Schill, Chunsheng Zhou","doi":"10.2139/ssrn.256926","DOIUrl":"https://doi.org/10.2139/ssrn.256926","url":null,"abstract":"In markets with trading friction, the incorporation of information into market prices can be substantially delayed through a weakening of the arbitrage process. We re-examine the profitability of relative-strength, or momentum, trading strategies (buying past strong performers and selling past weak performers). We find that standard relative-strength strategies require frequent trading in disproportionately high-cost securities so that trading costs prevent profitable strategy execution. In the cross section, we find that those stocks that generate large momentum returns are precisely those stocks with high trading costs. We conclude that the magnitude of the abnormal returns associated with these trading strategies creates an illusion of profit opportunity when, in fact, none exists.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128854663","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: 687
Bubbles in Experimental Asset Markets: Irrational Exuberance No More 实验性资产市场的泡沫:不再是非理性繁荣
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2002-12-01 DOI: 10.2139/ssrn.287097
Lucy F. Ackert, N. Charupat, Bryan K. Church, Richard Deaves
{"title":"Bubbles in Experimental Asset Markets: Irrational Exuberance No More","authors":"Lucy F. Ackert, N. Charupat, Bryan K. Church, Richard Deaves","doi":"10.2139/ssrn.287097","DOIUrl":"https://doi.org/10.2139/ssrn.287097","url":null,"abstract":"The robustness of bubbles and crashes in markets for finitely lived assets is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders will pay even higher prices for the asset with lottery characteristics, i.e., a claim on a large, unlikely payoff. However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"1525 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114099783","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: 46
Fundamental Properties of Bond Prices in Models of the Short-Term Rate 短期利率模型中债券价格的基本性质
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2002-06-01 DOI: 10.2139/ssrn.287099
A. Melé
{"title":"Fundamental Properties of Bond Prices in Models of the Short-Term Rate","authors":"A. Melé","doi":"10.2139/ssrn.287099","DOIUrl":"https://doi.org/10.2139/ssrn.287099","url":null,"abstract":"This paper develops restrictions that arbitrage-constrained bond prices impose on the short-term rate process in order to be consistent with given dynamic properties of the term-structure of interest rates. The central focus is the relationship between bond prices and the short-term rate volatility. In both scalar and multidimensional diffusion settings, typical relationships between bond prices and volatility are generated by joint restrictions on the risk-neutralized drift functions of the state variables and convexity of bond prices with respect to the short-term rate. The theory is illustrated by several examples and is partially extended to accommodate the occurrence of jumps and default.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128767481","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: 19
Characteristics, Contracts, and Actions: Evidence from Venture Capitalist Analyses 特征、契约与行为:来自风险资本家分析的证据
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2002-01-01 DOI: 10.2139/ssrn.295109
S. Kaplan, P. Strömberg
{"title":"Characteristics, Contracts, and Actions: Evidence from Venture Capitalist Analyses","authors":"S. Kaplan, P. Strömberg","doi":"10.2139/ssrn.295109","DOIUrl":"https://doi.org/10.2139/ssrn.295109","url":null,"abstract":"We study the investment analyses of 67 portfolio investments by 11 venture capital (VC) firms. VCs consider the attractiveness and risks of the business, management, and deal terms as well as expected post-investment monitoring. We then consider the relation of the analyses to the contractual terms. Greater internal and external risks are associated with more VC cash flow rights, VC control rights; greater internal risk, also with more contingencies for the entrepreneur; and greater complexity, with less contingent compensation. Finally, expected VC monitoring and support are related to the contracts. We interpret these results in relation to financial contracting theories.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129287884","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: 1027
On Measuring the Economic Significance of Asset Return Predictability 论资产收益可预测性的经济意义度量
AFA 2002 Atlanta Meetings (Archive) Pub Date : 2001-09-07 DOI: 10.2139/ssrn.293422
Murray D. Carlson, Hongjun Yan, David A. Chapman, Ron Kaniel
{"title":"On Measuring the Economic Significance of Asset Return Predictability","authors":"Murray D. Carlson, Hongjun Yan, David A. Chapman, Ron Kaniel","doi":"10.2139/ssrn.293422","DOIUrl":"https://doi.org/10.2139/ssrn.293422","url":null,"abstract":"A number of recent studies have measured the quantitative effect of excess return predictability on the optimal consumption and portfolio choices of a rational investor, and they have used the utility costs of ignoring predictability as a natural measure of economic significance. We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. We find that conditional rules based on ordinary least squares estimates of excess returns are severely biased, and they have a large variance across multiple simulated histories of the model. In this experiment, we find the estimation issues to be so severe that the simple unconditional consumption and portfolio rules, from Merton (1969), actually outperform (in a utility cost sense) both simple and bias-corrected empirical estimates of conditionally optimal policies.","PeriodicalId":432341,"journal":{"name":"AFA 2002 Atlanta Meetings (Archive)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127619364","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: 4
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