Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania最新文献_第10页

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk 远期和期货价格的信息含量:市场预期和风险价格

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2004-06-01 DOI: 10.2139/ssrn.560386

S. Chernenko, Krista Schwarz, Jonathan H. Wright

{"title":"The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk","authors":"S. Chernenko, Krista Schwarz, Jonathan H. Wright","doi":"10.2139/ssrn.560386","DOIUrl":"https://doi.org/10.2139/ssrn.560386","url":null,"abstract":"Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational expectations of future actual prices. The forward and futures rates that we study under a common methodology include foreign exchange forward rates, U.S. and foreign interest rate futures and forward rates, oil futures and natural gas futures. For most, but not all, of these instruments, we find that we can reject the hypothesis that the forward or futures rates are rational expectations of actual future prices. It is well known that foreign exchange forward rates give less accurate forecasts than a random walk, but we show that this is also true for some interest rate futures and forward rates. We conclude that forward and futures prices are not generally pure measures of market expectations: they are also heavily affected by the market price of risk.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"19 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2004-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82936762","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: 90

Spatial and Temporal Heterogeneity in Founding Patterns 建立模式的时空异质性

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2003-11-01 DOI: 10.1287/orsc.14.6.640.24874

G. Cattani, J. Pennings, F. Wezel

引用次数: 71

You Only Die Once: Managing Discrete Interdependent Risks 你只死一次:管理离散的相互依赖的风险

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2003-06-01 DOI: 10.2139/ssrn.419240

G. Heal, H. Kunreuther

引用次数: 63

What Do Financial Markets Think of War in Iraq? 金融市场如何看待伊拉克战争?

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2003-03-01 DOI: 10.2139/ssrn.388762

A. Leigh, J. Wolfers, Eric Zitzewitz

{"title":"What Do Financial Markets Think of War in Iraq?","authors":"A. Leigh, J. Wolfers, Eric Zitzewitz","doi":"10.2139/ssrn.388762","DOIUrl":"https://doi.org/10.2139/ssrn.388762","url":null,"abstract":"We analyze financial market data in order to produce an ex-ante assessment of the economic consequences of war with Iraq. The novel feature of our analysis derives from the existence of a market for Saddam Securities,' a new future traded on an online betting exchange that pays only if Saddam Hussein is ousted. A variety of tests suggest that this future's price provides a plausible estimate of the probability of war. The spot oil price has moved closely with the Saddam Security, suggesting that war raises oil prices by around $10 per barrel. Futures prices imply that markets expect these large immediate disruptions to dissipate quickly, with prices returning to pre-war levels within about a year and a half. Evidence on the long-run effects is fragile, and while prices are probably expected to fall a little as a result of war, any oil dividend' will be minimal. We find large effects in equity markets: and war lowers the value of U.S. equities by around 15 percent. This effect is concentrated in the consumer discretionary sector, airlines and IT; the prospect of war bolsters the gold and energy sectors. Analyzing option prices, we find that the large estimated average effects of war reflect the market pricing in a range of different scenarios - a 70 percent probability that it will lead to market declines of 0 to 15 percent, a 20 percent chance of 15 to 30 percent declines, and a 10 percent risk of a fall in excess of 30 percent. Across countries, the most extreme effects are on the stock markets of Turkey, Israel, and several European nations. Countries that are highly enmeshed in the world economy, or net oil importers, are most likely to experience adverse effects from war.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87055210","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: 117

Does Credit Quality Matter for Homeownership? 信贷质量对房屋所有权重要吗?

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2003-01-06 DOI: 10.2139/ssrn.478603

Irina Barakova, Raphael W. Bostic, P. Calem, Susan M. Wachter

引用次数: 159

Manipulation, the Allocational Role of Prices and Production Externalities 操纵、价格的配置作用和生产外部性

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2002-08-06 DOI: 10.2139/ssrn.302207

Itay Goldstein, A. Guembel

引用次数: 16

Equity Price Pressure from the 1998 Reduction in the Capital Gains Holding Period 1998年缩减资本利得持有期对股票价格的压力

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2002-04-01 DOI: 10.2139/ssrn.369341

Jennifer L. Blouin, J. Raedy, Douglas A. Shackelford

{"title":"Equity Price Pressure from the 1998 Reduction in the Capital Gains Holding Period","authors":"Jennifer L. Blouin, J. Raedy, Douglas A. Shackelford","doi":"10.2139/ssrn.369341","DOIUrl":"https://doi.org/10.2139/ssrn.369341","url":null,"abstract":"This paper provides evidence consistent with shareholders' personal tax incentives affecting stock prices and trading volume. On June 24, 1998, the marginal tax rate on capital gains was reduced from 28 percent to 20 percent for individual investors holding shares between 12 and 18 months. This study compares firms whose initial public shareholders immediately benefited from the reduction to other IPO firms. The sample of immediately affected firms recorded mean, incremental, one‐day stock price declines of −1.3 percent amid heavy trading. The results are consistent with capital gains tax planning constraining investment portfolio management. When the constraint was lifted, enough shareholders sold that prices moved. The results imply that despite increasingly liquid capital markets, transaction costs remain large enough to prevent investors from entering the market immediately and fully offsetting downward price pressure from individual capital gains tax management.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"361 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2002-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76493863","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: 32

Company Stock and Retirement Plan Diversification 公司股票和退休计划多元化

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2002-03-26 DOI: 10.2139/SSRN.304461

O. Mitchell, Stephen Utkus

{"title":"Company Stock and Retirement Plan Diversification","authors":"O. Mitchell, Stephen Utkus","doi":"10.2139/SSRN.304461","DOIUrl":"https://doi.org/10.2139/SSRN.304461","url":null,"abstract":"This paper explores the risks and benefits of holding company stock in employer-sponsored defined contribution (DC) retirement plans. We address three questions: (1) What is the role and function of company stock in such plans? (2) Who might be affected by enhanced portfolio diversification in such plans? and (3) What mechanisms exist, or might be developed, to enhance portfolio diversification if more diversification were deemed useful? Firms offer company stock within DC plans in an effort to enhance economic performance, though evidence is mixed on productivity gains from stock ownership. We demonstrate that concentrated stock positions arise most often in larger firms' DC plans where sponsors direct employer contributions and restrict diversification. Stock concentration also arises because participants systematically underestimate the risk of employer stock and over-rely on its past performance in making investment decisions. In a retirement system with concentrated stock positions, there will always be some participants who forfeit DC plan savings to firm bankruptcy. Encouraging plan diversification mitigates this risk, but it could also induce some companies to redirect plan contributions to other forms of stock compensation or to replace stock contributions with cash compensation. We conclude by describing policy tools that might be used to encourage diversification and discuss conditions for their effective implementation.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2002-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84815772","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: 64

Habit Formation and Returns on Bonds and Stocks 习惯的形成与债券和股票的回报

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2001-03-08 DOI: 10.2139/ssrn.263031

Jessica A. Wachter

引用次数: 43

Time-Consistent No-Arbitrage Models of the Term Structure 期限结构的时间一致无套利模型

Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania Pub Date : 2001-02-01 DOI: 10.2139/ssrn.261644

A. Yaron, Michael W. Brandt

{"title":"Time-Consistent No-Arbitrage Models of the Term Structure","authors":"A. Yaron, Michael W. Brandt","doi":"10.2139/ssrn.261644","DOIUrl":"https://doi.org/10.2139/ssrn.261644","url":null,"abstract":"We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the parameters change whenever the model is recalibrated. No-arbitrage models are also sensitive to measurement errors because they fit exactly each potentially contaminated bond price in the cross-section. We overcome both problems by evaluating bond prices using the joint dynamics of the factors and calibrated parameters and by locally averaging out the measurement errors. Our empirical application illustrates the trade-off between fitting as well as possible and overfitting the cross-section of bond prices due to measurement errors. After optimizing this trade-off, our approach fits almost exactly the cross-section of bond prices at each date and produces out-of-sample forecast errors that beat a random walk benchmark and are comparable to the results in the affine term structure literature. We find that non-linearities in the pricing kernel are important, lending support to quadratic term structure models.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2001-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90166127","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: 33