◆ Convergence from discrete- to continuous-time contingent claims prices(H He)

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This article generalizes the Cox, Ross, and Rubinstein (1979) binomial option-pricing model, and establishes a convergence from discrete-time multivariate multinomial models to continuous-time multid...

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2004-08-12

◆ Asymmetric information and the medium of exchange in takeovers: theory and tests

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In a model of takeovers under asymmetric information,we identify a separating equilibrium in which the value of the bidder firm is revealed by the mix of cash and securities used as payment for the ta...

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2004-08-12

◆ A theory of the interday variations in volume, variance, and trading costs in se

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In an adverse selection model of a securities market with one informed trader and several liquidity traders, we study the implications of the assumption that the informed trader has more information...

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2004-08-12

◆ The stop-loss start-gain paradox and option valuation: a new decomposition into

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The downside risk in a leveraged stock position can be eliminated by using stop-loss orders. The upside potential of such aposition can be captured using contingent buy orders. The terminalpayoff to t...

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2004-08-11

◆ Simple binomial processes as diffusion approximations in financial models( DB Ne

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A binomial approximation to a diffusion is defined as “computationally simple” if the number of nodes grows at most linearly in the number of time intervals. It is shown how to construct computat...

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2004-08-11

◆ Shareholder-value maximization and product-market competition ( JJ Rotenberg& DS

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by Julio J. Rotemberg David S. Scharfstein Massachusetts Institute of Technology...

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2004-08-11

◆ Data-snooping biases in tests of financial asset pricing models( CB Cadsby&M Fra

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This study investigates experimental financial markets in which firms possess more information than do potential investors. Firms were given opportunities to undertake positive net present value proje...

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2004-08-11

◆ Data-snooping biases in tests of financial asset pricing models( AW Lo and AC Ma

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Data-Snooping Biases in Tests of Financial Asset Pricing Models Andrew W. Lo Sloan School of Management Massachusetts Institute of Technology A. Craig MacKinlay Wharton School University of Penns...

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2004-08-11

◆ Consistent estimation of cross-sectional models in event studies (BE Eckbo&V Mak

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Consistent Estimation of Cross-Sectional Models in Event Studies B. Espen Eckbo Vojislav Maksimovic University of British Columbia...

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2004-08-11

◆ 中国金融腐败研究：从定性到定量

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　对于我国金融领域的腐败现象，大家有心照不宣的共识，但是金融腐败到底达到了什么样的程度，它对整个经济的影响到底有多大，至今尚无深入细...

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2004-08-11

◆ The Stock Market’s Reaction to Unemployment News: Why Bad News Is Usually od For

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We find that on average, an announcement of rising unemployment is od news for stocks during economic expansions and bad news during economic contractions. Unemployment news bundles three types of p...

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2004-08-09

◆ The Geography of Equity Analysis(Christopher J. Malloy)

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I provide evidence that geographically proximate analysts are more accurate than other analysts. Stock returns immediately surrounding forecast revisions suggest that local analysts impact prices mor...

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2004-08-09

◆ Optimal Life Cycle Asset Allocation: Understanding the Empirical Evidence(Franci

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We show that a life cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation de...

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2004-08-09

◆ Do Domestic Investors Have an Information Advantage? Evidence from Indonesia(Tom

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Using transaction data from Indonesia, this paper shows that domestic investors have higher profits than foreign investors. In addition, clients of global brokerages have higher long-term and sm...

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2004-08-09

◆ Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE(Ekkehart Boe

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We study pre-trade transparency by looking at the introduction of NYSEs OpenBook service that provides limit order book information to traders o the exchange oor. We nd that traders attempt to ma...

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2004-08-09