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Thomas Gilbert Christopher Hrdlicka Avraham Kamara 《Journal of Financial Economics》2018,127(3):546-566
We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism’s empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML’s seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to-market, exposures to SMB and HML vary with firms’ earnings announcement month. 相似文献
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We study a dynamic model where uncertainty about interim outputadjustments causes producers to face price, cost and outputuncertainty. Stochastically separable production decisions areindependent of the producer's risk preferences and expectationsand are based on the prevailing futures price as a certain outputprice. Conditions under which futures contracts achieve stochasticseparation are established. Optimal hedging and maturity structureof futures contracts, equilibrium futures prices, and the effectsof futures trading on output are studied. The systematic riskpremium depends on the product of the futures beta and the covarianceof the market return with production revenues. 相似文献
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This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963–2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with similar patterns in systematic risk. Our analysis also indicates that the ability to diversify systematic risk and aggregate liquidity shocks by holding large-cap stocks has declined. The evidence suggests that the fragility of the US equity market to unanticipated events has increased over the past few decades. 相似文献
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To tackle challenges from derivatives trading and illiquidity, reduce manipulation and improve price discovery, many exchanges have started opening at random times. We investigate how randomization has affected the performance of the Tel Aviv Stock Exchange at trade opening and at the expiration of stock-index derivatives. Randomization has improved price discovery and reduced excess volatility and price distortion, especially on expiration dates. Although preopening prices do not converge to full information values, post-randomization, opening prices on expiration days are at least as accurate as on other days. Spot market trading systems significantly impact the effects of derivatives on spot prices. 相似文献
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This paper uses a simultaneous system of three equations to model housing choices for female-headed households (FHH). The system includes housing demand, the probability of owning, and the probability of marriage. Also, a wealth gap variable related to the downpayment constraint is measured and included in the tenure choice estimation. The probability of owning is lower for female householders anticipating marriage. The wealth gap significantly affects the home-ownership decision for all households, and wealth constrained FHHs are significantly more responsive to changes in the relative price of owning. 相似文献
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The semi-arid and arid rangelands of Sub-Saharan Africa arecharacterised by high variability and by heavy reliance of herderson access to common resources, predominantly pasture and water.In these systems, the capacity of the community to co-operateover resource management is critical and the effectiveness ofmanagement has a direct impact on exploitation rates and landallocation patterns. In this paper, we develop a model to capturethe impact of climatic variability on capacity to co-operateand on resulting land use and allocation patterns, and applythe model to data collected from communities located on theBorana Plateau in southern Ethiopia. Results indicate that rainfallvariability has a negative impact on stock densities, consistentwith risk-averse producer behaviour, but has no statisticallysignificant impact on land allocation patterns in this marginalarea. Furthermore, co-operation has a direct negative impacton stock densities and land allocated to private pastures. Theresults support the hypothesis that individual incentives toovergraze and encroach on common pastures can be mitigated incommunities with high co-operative capacity. 相似文献