This paper performs lower boundary condition tests based on rational pricing of call options and an implied standard deviation test based on the bid/ask prices of options. These efficiency tests attempt to closely approximate conditions in the option markets to avoid the pitfalls indicated by Phillips and Smith (1980). The tests use transactions data and account for the effects of stock and option bid/ask prices, simultaneity of stock and option prices, depth of market, execution lag and transaction costs. The small and relatively infrequent profits due to market mispricing disappear in the lower boundary tests when transaction costs are taken into account. Frequent violations of the tighter boundary conditions in the implied standard deviation test are reported, but the estimated profits cannot be unambiguously attributed to option market inefficiency. 相似文献
We develop a span-of-control model where managerial skills are endogenous and the outcome of investments over the life cycle of managers. We calibrate this model to U.S. plant-size data to quantify the effects of distortions that are correlated with the size of production units, and how these effects are amplified by managerial investments. We find a quantitatively important role for managerial investments. Distortions that consist of a tax rate of 20% on the top 50% managers reduce steady-state output by about 14.6% in our benchmark model. When skills are exogenous the reduction is about 9.2%. 相似文献
Using the daily data on SENSEX and NASDAQ from January to October of 2000, the paper attempts to find out to what extent the “news” on NASDAQ helps price formation at the beginning and at the end of a trading day at the Indian bourses. The possible impact of NASDAQ on SENSEX is analyzed through OLS equations under cointegration and error correction framework. The results indicate that the “news” on NASDAQ plays an important role in price formation at the beginning of a trading day at the Indian bourses. However, as the impact of NASDAQ fades a lot during the trading hours when the Indian market remains open and the US market remains closed, the closing figures at SENSEX could not be predicted well with this information.
We construct and implement a test of rational consumer behavior in a high-stakes financial market. In particular, we test whether consumers make systematic mistakes in perceiving their mortality risks. We implement this test using data from secondary life insurance markets where consumers with a life-threatening illness sell their life insurance policies to firms in return for an up-front payment. We compare predictions from two models: one with consumers who correctly perceive their mortality risk, and one with consumers who are misguided about their life expectancy, and find that our data are most consistent with the predictions made by the second model. 相似文献
We examine various determinants of property and violent crimes by using police force area level (PFA) data on England and Wales over the period of 1992–2008. Our list of potential determinants includes two law enforcement variables namely crime-specific detection rate and prison population, and various socio-economic variables such as unemployment rate, real earnings, proportion of young people and the Gini Coefficient. By adopting a fixed effect dynamic GMM estimation methodology we attempt to address the potential bias that arises from the presence of time-invariant unobserved characteristics of a PFA and the endogeneity of several regressors. There is a significant positive effect of own-lagged crime rate. The own-lagged effect is stronger for property crime, on an average, than violent crime. We find that, on an average, higher detection rate and prison population leads to lower property and violent crimes. This is robust to various specifications. However, socio-economic variables with the exception of real earnings play a limited role in explaining different crime types. 相似文献
The study examines how firm size, market structure, profitability and growth influence innovative activity in small to medium sized Australian manufacturing businesses, using the recently released Confidentialised Unit Record File drawn from the Business Longitudinal Survey of the Australian Bureau of Statistics. Regression analysis is conducted to determine the factors that effect subsequent innovative activity for the full sample of businesses, as well as for sub-samples of firms from high and low-technological opportunity industries. Most variables, including size, R&D intensity, market structure and trade shares are found to be conducive to further innovative activity for the full sample and for high-tech firms. For low-tech industries, fewer variables are significant. 相似文献
Although it is well established that financial liberalization leads to a positive ‘quantity effect’ with higher levels of investment, it remains uncertain whether it also improves the efficacy with which such investment funds are allocated. This paper contributes to this sparely researched aspect of liberalization (‘quality effect’) by carefully examining if the financial reforms in India have led to an improvement in the allocation of resources. Since one of the premises of better allocation is that funds are channelled to firms with higher marginal returns to capital (measured by Tobin’s Q), we propose three unique measures to track the efficiency of resource allocation: (a) dispersion-based measures; (b) the allocative efficiency index; and (c) the relative value of allocation. Contrary to the prevalent assumption that financial liberalization leads to higher capital allocation efficiency, this study’s findings could not establish a direct correlation between the opening up of markets and higher allocation efficiency, except for the latter part of the reform period. Further, this paper draws attention to the greater misallocation of funds in the post-reform period, as the increase in funds availability leads to excess capacity creation in some industries without consideration of the need for concurrent return or demand. The authors of this paper recommend that any financial liberalization needs to be accompanied by the setting up of institutions for corporate control, particularly in an emerging market like India.
In a 40‐plus year career notable for path‐breaking work on capital structure and innovations in capital budgeting and valuation, MIT finance professor Stewart Myers has had a remarkable influence on both the theory and practice of corporate finance. In this article, two of his former students, a colleague, and a co‐author offer a brief survey of Professor Myers's accomplishments, along with an assessment of their relevance for the current financial environment. These contributions are seen as falling into three main categories:
? Work on “debt overhang” and the financial “pecking order” that not only provided plausible explanations for much corporate financing behavior, but can also be used to shed light on recent developments, including the reluctance of highly leveraged U.S. financial institutions to raise equity and the recent “mandatory” infusions of capital by the U.S. Treasury.
? Contributions to capital budgeting that complement and reinforce his research on capital structure. By providing a simple and intuitive way to capture the tax benefits of debt when capital structure changes over time, his adjusted present value (or APV) approach has not only become the standard in LBO and venture capital firms, but accomplishes in practice what theorists like M&M had urged finance practitioners to do some 30 years earlier: separate the real operating profitability of a company or project from the “second‐order” effects of financing. And his real options valuation method, by recognizing the “option‐like” character of many corporate assets, has provided not only a new way of valuing “growth” assets, but a method and, indeed, a language for bringing together the disciplines of corporate strategy and finance.
? Starting with work on estimating fair rates of return for public utilities, he has gone on to develop a cost‐of‐capital and capital allocation framework for insurance companies, as well as a persuasive explanation for why the rate‐setting process for railroads in the U.S. and U.K. has created problems for those industries.
This research is the first comparative attempt incorporating the role of economic, demographic, sectoral contribution, government and trade in explaining financial development for India and China. Using time-series estimations, we establish that institutional quality and government size impede financial development, whereas urbanization, industrialization and service sector growth help in financial development for both countries. Trade openness also enhances Indian financial development but hinders Chinese financial development. We suggest that the policy advisers should not underestimate the role of urbanization, industrialization and service sector growth in implementing financial development. Finally, we find that the institutions and governments will play a key role for both economies in enhancing finance and growth. 相似文献
