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8,840
Riskmanagement: coordinating corporate investment and financing policies
, 1993
"... This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent that it ..."
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Cited by 540 (15 self)
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This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent that it helps ensure that a corporation has sufficient internal funds available to take advantage of attractive investment opportunities. We then argue that this simple observation has wide ranging implications for the design of risk management strategies. We delineate how these strategies should depend on such factors as shocks to investment and financing opportunities. We also discuss exchange rate hedging strategies for multinationals, as well as strategies involving "nonlinear" instruments like options.
Liquidity Risk and Expected Stock Returns
, 2002
"... This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related crosssectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individualsto ..."
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Cited by 590 (4 self)
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This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related crosssectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individualstock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 % annually, adjusted for exposures to the market return as well as size, value, and momentum factors.
Wireless Communications
, 2005
"... Copyright c ○ 2005 by Cambridge University Press. This material is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University ..."
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Cited by 1129 (32 self)
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Copyright c ○ 2005 by Cambridge University Press. This material is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University
A NoArbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
, 2002
"... ..."
Measuring the information content of stock trades
 Journal of Finance
, 1991
"... This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE is ..."
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Cited by 456 (11 self)
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This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms. CENTRALTO THE ANALYSIS of market microstructure is the notion that in a market with asymmetrically informed agents, trades convey information and therefore cause a persistent impact on the security price. The magnitude of the price effect for a given trade size is generally held to be a positive function of the proportion of potentially informed traders in the population, the probability that such a trader is in fact informed (i.e., the probability that a private information signal has in fact been observed), and the precision of the private information. The close dependence of the price impact on these factors, which may be referred to as the extent of the information asymmetry, provides a strong motivation for the empirical determination of this impact. This paper strives to achieve such a determination in a framework that is robust to deviations from the assumptions of the formal models. In the process, the framework establishes a rich characterization of the dynamics by which trades and quotes interact. The market considered here is a specialist market in which a designated marketmaker exposes bid and ask quotes to the trading public. An extensive theory has evolved that analyzes the marketmaker's exposure to traders with superior information. ' Concerning the extent of the information asymmetry, this body of theory yields two important empirical predictions: first,
Stable Distributions, Pseudorandom Generators, Embeddings and Data Stream Computation
, 2000
"... In this paper we show several results obtained by combining the use of stable distributions with pseudorandom generators for bounded space. In particular: ffl we show how to maintain (using only O(log n=ffl 2 ) words of storage) a sketch C(p) of a point p 2 l n 1 under dynamic updates of its coo ..."
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Cited by 325 (15 self)
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In this paper we show several results obtained by combining the use of stable distributions with pseudorandom generators for bounded space. In particular: ffl we show how to maintain (using only O(log n=ffl 2 ) words of storage) a sketch C(p) of a point p 2 l n 1 under dynamic updates of its coordinates, such that given sketches C(p) and C(q) one can estimate jp \Gamma qj 1 up to a factor of (1 + ffl) with large probability. This solves the main open problem of [10]. ffl we obtain another sketch function C 0 which maps l n 1 into a normed space l m 1 (as opposed to C), such that m = m(n) is much smaller than n; to our knowledge this is the first dimensionality reduction lemma for l 1 norm ffl we give an explicit embedding of l n 2 into l n O(log n) 1 with distortion (1 + 1=n \Theta(1) ) and a nonconstructive embedding of l n 2 into l O(n) 1 with distortion (1 + ffl) such that the embedding can be represented using only O(n log 2 n) bits (as opposed to at least...
Conditional skewness in asset pricing tests
 Journal of Finance
, 2000
"... If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the crosssectional variation of expect ..."
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Cited by 323 (6 self)
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If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the crosssectional variation of expected returns across assets and is significant even when factors based on size and booktomarket are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios. THE SINGLE FACTOR CAPITAL ASSET PRICING MODEL ~CAPM! of Sharpe ~1964! and Lintner ~1965! has come under recent scrutiny. Tests indicate that the crossasset variation in expected returns cannot be explained by the market beta alone. For example, a growing number of studies show that “fundamental” variables such as size, booktomarket value, and price to earnings ratios
Results 1  10
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8,840