Similar Search Results

Morris, Stephen; Shin, Hyun Song - School of Management, Yale University - 2004

run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon traders … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole. …

Persistent link: https://www.econbiz.de/10005368998

Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors

Hirota, Shinichi; Sunder, Shyam - School of Management, Yale University - 2002

We experimentally explore if the absence of dividend anchors (from which investors can backward induct to arrive at the fundamental value) may help us understand the formation of security price bubbles. The fundamental value models assume that the investors (a) form rational expectations,(b)...

Persistent link: https://www.econbiz.de/10005368985

Why Do Individual Investors Hold Under-Diversified Portfolios?

GOETZMANN, WILLIAM N.; KUMAR, ALOK - School of Management, Yale University - 2005

This study examines the diversification decisions of more than 60,000 individual investors during a six year period (1991-96) in recent U.S. capital market history. The majority of investors in our sample are under-diversified and the extent of under-diversification is more severe in retirement...

Persistent link: https://www.econbiz.de/10005368993

Empirical Performance of Alternative Option Pricing Models

Cao, Charles Quanwei; Bakshi, Gurdip S.; Chen, Zhiwu - School of Management, Yale University - 1997

generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing an …-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black-Scholes formula and the ones that …) stochastic volatility and jumps.Overall, incorporating both stochastic volatility and random jumps produces the best pricing …

Persistent link: https://www.econbiz.de/10005369017

Empirical Performance of Alternative Option Pricing Models

Cao, Charles Quanwei; Bakshi, Gurdip S.; Chen, Zhiwu - School of Management, Yale University - 1997

each generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing …-series data, (2) out-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black … produces the best pricing performance and the most internally-consistent implied-volatility process. Its implied volatility …

Persistent link: https://www.econbiz.de/10005586865

Stock Price Volatility in a Multiple Security Overlapping

Spiegel, Matthew I. - School of Management, Yale University - 1997

A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This paper proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade...

Persistent link: https://www.econbiz.de/10005586918

Beauty Contests, Bubbles and Iterated Expectations in Asset Markets

Morris, Stephen; Allen, Franklin; Shin, Hyun Song - School of Management, Yale University - 2004

understand the role of higher order beliefs in a fully rational asset pricing model and explain over-reaction to (noisy) public …

Persistent link: https://www.econbiz.de/10005586926

Diversification Decisions of Individual Investors and Asset Prices

Kumar, Alok; Goetzmann, William N. - School of Management, Yale University - 2003

In this paper, we examine if the diversification decisions of individual investors influence asset prices. First, we show that a vast majority of individual investors in our sample are under-diversified and the unexpectedly high idiosyncratic risk in their portfolios results in a welfare loss -...

Persistent link: https://www.econbiz.de/10005586934

Valuation of the Debt-Tax Shield

Kemsley, Deen; Nissim, Doron - School of Management, Yale University - 2001

In this study, we use cross-sectional regressions to estimate the value of the debt-tax shield. Recognizing that debt is correlated with the value of operations along nontax dimensions, we estimate reverse regressions in which we regress future profitability on firm value and debt rather than...

Persistent link: https://www.econbiz.de/10005586943

On the Joint Pricing of Stocks and Bonds: Theory and Evidence

Mamaysky, Harry - School of Management, Yale University - 2002

to the data). Furthermore, the fact that the present model accomodates jointly the pricing of both bonds and stocks …, within the framework of the stock-bond pricing model proposed in Mamaysky (2002). The key advantage of the model …

Persistent link: https://www.econbiz.de/10005586951