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SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB the Rock Center.
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Liberalization in the Japanese Financial Markets
Abstract not available.
Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?
Multibeta asset pricing models are examined in a framework which exploits time-varying, conditional expected returns to estimate conditional betas. Examples include multiple-consumption-beta moels and models where common stock “size portfolios”…
Changes in Expected Security Returns, Risk, and the Level of Interest Rates
Regressions of security returns on treasury bill rates implicitly indicate the behavior of conditional covariances with benchmark pricing variables. The information in one-month rates is sufficient to detect variation in the covariances for…
Direct Financing, Intermediation and Credit Rationing
The coexistence of direct financing and intermediation is shown in a model with asymmetrically informed borrowers and lenders. Using a game theoretic approach we first prove the existence of optimal contracts between (a) firms and intermediaries…
Going Public
One explanation for the empirically observed underpricing of new issues is the existence of an adverse selection problem faced by uninformed investors in the presence of informed investors. Rather than excluding informed investors from initial…
Seasonality in Consumption-Based Asset Pricing: An Analysis of Linear Models
This paper examines linear asset pricing models using aggregate consumption data which are not seasonally-adjusted. Portfolio returns exhibit more diverse and often stronger consumption correlations and the parameters of representativ-agent…
Tests of Asset Pricing Models with Changing Expectations
This paper studies time-variation in the expected returns of common stocks, using linear models with constant “beta” coefficients and the methodology of Gibbons and Ferson. We examine individual stocks and portfolios formed on the basis of firm…
The Learning Curve, Technology Barriers to Entry, and Competitive Survival in the Chemical Processing Industries
This paper evaluates entry and survival rates in a sample of 39 chemical product industries. The analysis focuses on learning-based cost advantages potentially held by incumbent firms. A logit model of entry gives no evidence that entry decisions…
Existence of Competitive Equilibria for Option Markets
In a general equilibrium model with options, Polemarchakis and Ku (1986) give an example of an economy where no competitive equilibrium exists. Their model is robust in the sense that slight changes of the parameters of the economy does not lead…
An Empirical Analysis of the Effect of Exchange Rate Changes on Goods Prices
It is widely believed that changes in foreign currency exchange rates can affect the prices of goods in domestic markets as well as the prices of traded goods. A question of interest to economists, businesses and policymakers is: What determines…
Empirical Tests of the Consumption-Oriented CAPM
The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a market portfolio-oriented capital asset pricing model. Measurement problems associated with reported…
Equilibrium and the Role of the Firm in Incomplete Markets
This paper studies the role of the firm in incomplete markets. Stock market equilibria are shown to exist generically in economies with “smooth” preferences and production sets. The set of equilibrium allocations is generically infinite. The…
Financial Implications of Divestment of South Africa-Related Stocks
Abstract not available.
On Timing and Selectivity
The dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement. This paper discusses the conceptual and econometric problems associated with defining and…
On the Term Structure of Interest Rates
This is a brief review of the theory of the term structure of interest rates, and includes a discrete-time example that parallels the continuous-time model of the term structure due to Cox, Ingersoll, and Ross.
Stochastic Production-Exchange Equilibria
This paper examines the role of production and stock markets in a continuous-time stochastic economy. The results include sufficient conditions for the existence of general equilibria: spot price processes and security price processes under which…
A Test of the Efficiency of a Given Portfolio
A test for the ex ante efficiency of a given portfolio of assets is developed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice…
Aspiration Level Effects: An Empirical Investigation
A sample of 10000 quarterly earnings announcements by publicly held companies listed on the COMPUSTAT and CRSP data bases is examined. Four models from the current accounting literature ar used to generate ‘forecast’ errors for each of these…