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Land Investment by Japanese Firms during and after the Bubble Period
Tachibana, Towa; Sekine; Toshitaka - Econometric Society - 2004
This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...
Persistent link: https://www.econbiz.de/10005342302
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Why Issue Mandatory Convertibles? Theory and Empirical Evidence.
Yan, An; Nandy, Debarshi; Chemmanur, Thomas - Econometric Society - 2004
, and a higher dividend yield compared to common stock. We also characterize the equilibrium design of mandatory …
Persistent link: https://www.econbiz.de/10005063613
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Interest Rates in Trade Credit Markets
Moreira, Humberto; Novaes, Walter; Barbosa, Klenio - Econometric Society - 2004
There is evidence that suppliers have private information about their customers' credit risk. Yet, interest rates in trade credit markets are usually industry-not-firm specific. Why? If the demand for intermediate products is inelastic, suppliers should raise interest rates until they reach...
Persistent link: https://www.econbiz.de/10005699601
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Do Heterogeneous Beliefs Matter for Asset Pricing?
Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...
Persistent link: https://www.econbiz.de/10005342284
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Liquidity Discovery and Asset Pricing
Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004
Most investors purchase securities knowing they will resell those securities in the future. Uncertainty about the preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural to suppose that investors are asymmetrically...
Persistent link: https://www.econbiz.de/10005130211
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Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004
``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...
Persistent link: https://www.econbiz.de/10005130216
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Long-run and Cyclical Dynamics in the US Stock Market
Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004
-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing exclusively on … for the price/dividend ratio. When the cyclical component is also taken into account, the series appear to be stationary … but to exhibit long memory with respect to both components in almost all cases. The exception is the price/dividend ratio …
Persistent link: https://www.econbiz.de/10005063571
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Media Frenzies in Markets for Financial Information
Veldkamp, Laura - Econometric Society - 2004
Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...
Persistent link: https://www.econbiz.de/10005063589
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Are Bond Covenants Priced?
Roberts, Michael R; Bradley, Michael - Econometric Society - 2004
In this paper we ask the empirical question are bond covenants priced? Consistent with the Costly Contracting Hypothesis (CCH) developed by Smith and Warner (1979), we find that they are. We document a negative relation between the promised yield on corporate debt issues and the presence of...
Persistent link: https://www.econbiz.de/10005342223
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Optimal Capital Accumulation and Embodied Technological Progress under Uncertainty
Pommeret, Aude; Cruz, Bruno - Econometric Society - 2004
This paper proposes a stochastic model of investment with embodied technological progress, in which firms invest not only to expand the capacity as in Pindyck (1988) but also to replace old machines. The scrapping decision or the age of the oldest machine is then endogenous and evolves...
Persistent link: https://www.econbiz.de/10005328919