# Статьи

**Всего статей в данном разделе :**34

Опубликовано на портале: 03-10-2003

*Richard Roll*Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.

Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
are explained.

**A Further Study of Depreciation**[статья]

Опубликовано на портале: 03-10-2003

*Harold Jr. Bierman*The Accounting Review. 1966. Vol. 41. No. 2. P. 271-274.

"In that article I suggested that the depreciation charge for a period is related
to the expectations at the time of purchase and that the purchase of an asset is
actually the purchase of future cash proceeds. These cash proceeds then become the
basis for the depreciation calculation. This paper will refine the definition of
"cash proceeds" with the objective of making the accounting for the events consistent
with the decision-making procedures..."

Опубликовано на портале: 15-11-2004

*Richard Roll*,

*Stephen A. Ross*Journal of Finance. 1980. Vol. 35. No. 5. P. 1073-1103.

Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using
data for individual equities during the 1962-72 period, at least three and probably
four "priced" factors are found in the generating process of returns. The theory
is supported in that estimated expected returns depend on estimated factor loadings,
and variables such as the "own" standard deviation, though highly correlated (simply)
with estimated expected returns, do not add any further explanatory power to that
of the factor loadings.

**A New Look at the Monday Effect**[статья]

Опубликовано на портале: 25-10-2007

*Ko Wang*,

*John Erickson*,

*Yuming Li*Journal of Finance. 1997. Vol. 52. No. 5. P. 2171-2186.

It is well documented that expected stock returns vary with the day-of-the-week (the
Monday or weekend effect). In this article we show that the well-known Monday effect
occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In
addition, the mean Monday return of the first three weeks of the month is not significantly
different from zero. This result holds for most of the subperiods during the 1962-1993
sampling period and for various stock return indexes. The monthly
effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain
this phenomenon.

**An intertemporal asset pricing model with stochastic consumption and investment opportunities**[статья]

Опубликовано на портале: 02-10-2003

*Douglas T. Breeden*Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.

This paper derives a single-beta asset pricing model in a multi-good, continuous-time
model with uncertain consumption-goods prices and uncertain investment opportunities.
When no riskless asset exists, a zero-beta pricing model is derived. Asset betas
are measured relative to changes in the aggregate real consumption rate, rather than
relative to the market. In a single-good model, an individual's asset portfolio results
in an optimal consumption rate that has the maximum possible correlation with changes
in aggregate consumption. If the capital markets are unconstrained Pareto-optimal,
then changes in all individuals' optimal consumption rates are shown to be perfectly
correlated.

Опубликовано на портале: 02-11-2007

*Andrew B. Abel*American Economic Review. 1990. Vol. 80. No. 2. P. 38-42.

This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States

Опубликовано на портале: 02-11-2007

*Chris I. Telmer*Journal of Finance. 1993. Vol. 48. No. 5. P. 1803-32.

The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory

Опубликовано на портале: 25-10-2007

*Jacob Boudoukh*,

*Matthew Richardson*,

*Robert Whitelaw*Review of Financial Studies. 1994. Vol. 7. No. 3. P. 539-573.

This article reexamines the autocorrelation patterns of short-horizon stock returns.
We document empirical results which imply that these autocorrelations have been overstated
in the existing literature. Based on several new insights, we provide support for
a market efficiency-based explanation of the evidence. Our analysis suggests that
institutional factors are the most likely source of the autocorrelation patterns.

Опубликовано на портале: 02-11-2007

*John Y. Campbell*,

*John H. Cochrane*Journal of Political Economy. 1999. Vol. 107. No. 2. P. 205-251.

We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution

Опубликовано на портале: 03-10-2003

*William F. Sharpe*Journal of Finance. 1964. Vol. 19. No. 3. P. 425-442.

One of the problems which has plagued thouse attempting to predict the behavior
of capital marcets is the absence of a body of positive of microeconomic theory dealing
with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional
model of investment under conditions of certainty, the pervasive influense of risk
in finansial transactions has forced those working in this area to adobt models of
price behavior which are little more than assertions. A typical classroom explanation
of the determinationof capital asset prices, for example, usually begins with a carefull
and relatively rigorous description of the process through which individuals preferences
and phisical relationship to determine an equilibrium pure interest rate. This is
generally followed by the assertion that somehow a market risk-premium is also determined,
with the prices of asset adjusting accordingly to account for differences of their
risk.

**Churning Bubbles**[статья]

Опубликовано на портале: 14-03-2005

*Franklin Allen*,

*Gary Gorton*Review of Economic Studies. 1993. Vol. 60. No. 4. P. 813-836.

Are stock prices determined by fundamentals or can "bubbles" exist? An important
issue in this debate concerns the circumstances in which deviations from fundamentals
are consistent with rational behaviour. When there is asymmetric information between
investors and portfolio managers, portfolio managers have an incentive to churn;
their trades are not motivated by changes in information, liquidity needs or risk
sharing but rather by a desire to profit at the expense of the investors that hire
them. As a result, assets can trade at prices which do not reflect their fundamentals
and bubbles can exist.

Опубликовано на портале: 21-06-2006

*Jeffrey MacIntosh*Journal of Business Venturing. 2005. Vol. Volume 21. Issue 5. P. Pages 569-609.

In this paper, we examine a Canadian tax-driven venture capital vehicle known as
the “Labour Sponsored Venture Capital Corporation” (LSVCC). As a theoretical
matter, we suggest that the LSVCCs can be expected to have higher agency costs and
lower profitability than private venture capital funds. We present data that is consistent
with this view. The central question that we analyze, however, is whether the tax
advantages conferred on LSVCCs have resulted in LSVCCs “crowding out,”
or displacing other types of venture capital funds. Empirical analysis of our data
(which covers the 1977–2001 period) is highly consistent with crowding out.
The data suggest that crowding out has been sufficiently energetic as to lead to
a reduction in the aggregate pool of venture capital in Canada, frustrating one of
the key governmental goals underlying the LSVCC programs; namely, the expansion of
the aggregate pool of capital. In the course of our analysis, we confirm the importance
of macroeconomic factors (the performance of the stock market, real interest rates,
and changes in real gross domestic product) in affecting the supply of and demand
for venture capital. We also generate evidence that is consistent with the proposition
that entrepreneurs in the market for venture capital prefer to incorporate their
businesses federally, rather than provincially.

Опубликовано на портале: 22-10-2007

*Anat R. Admati*,

*Paul Pfleiderer*Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.

This article develops a model in which pattern in buy and sell volume, order imbalances,
and expected price changes arise endogenously. The model covers cases in which the
market maker is competitive and is a monopolist. Our results provide an explanation
for the existence of patterns in mean returns within the trading day and across trading
days.

**Explaining Monday Returns**[статья]

Опубликовано на портале: 25-10-2007

*Paul Draper*,

*Krishna Paudyal*The Journal of Financial Research. 2002. Vol. 15. No. 4. P. 507-520.

The Monday effect is reexamined using two stock indexes and a sample of 452 individual
stocks that trade on the London Stock Exchange. The results based on conventional
test methods reveal a negative average return on Monday. Extending the analysis to
examine the effects of various possible influences simultaneously, the average Monday
return becomes positive and does not differ significantly from the average returns
of most other days of the week. Fortnight, ex-dividend day, account period, (bad)
news flow, trading activity, and bid-ask spread effects are all controlled for. The
results broadly support the trading time hypothesis.

Опубликовано на портале: 25-10-2007

*Wilson Tong*The Journal of Financial Research. 2000. Vol. 13. No. 4. P. 495-522.

Recent studies on the U.S. market find that the Monday effect is observed mainly
when the rettim on the previous Friday is negative or when the Monday falls within
the last two weeks of the month. I look for international evidence and examine whether
such properties of the Monday effect are related to another anomalous phenomenon—high
weekend correlation. By examining
twenty-three equity market indexes, I find that the negative Friday is, in general,
important to the Monday effect. Furthermore, Monday returns tend to be lowest on
the fourth week of the month. Although high weekend correlation is also common to
these markets, it seems not related to the bad-Friday factor and shows no seasonality
across weeks of the month.