Results 1 - 10 of 17,462

Determining the Number of Factors in Approximate Factor Models

by Jushan Bai, Serena Ng , 2000
"... In this paper we develop some statistical theory for factor models of large dimensions. The focus is the determination of the number of factors, which is an unresolved issue in the rapidly growing literature on multifactor models. We propose a panel Cp criterion and show that the number of factors c ..."
Abstract - Cited by 561 (30 self) - Add to MetaCart
of the number of factors for configurations of the panel data encountered in practice. The idea that variations in a large number of economic variables can be modelled bya small number of reference variables is appealing and is used in manyeconomic analysis. In the finance literature, the arbitrage pricing

A yield-factor model of interest rates

by Darrell Duffie - Math. Finance , 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract - Cited by 665 (23 self) - Add to MetaCart
maturitydependent affine combination of the selected “basis ” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as wcll as numerical techniques for calculating the prices of term

Credit Cycles

by Nobuhiro Kiyotaki, John Moore - Journal of Political Economy , 1997
"... We construct a model of a dynamic economy in which lenders cannot force borrowers to repay their debts unless the debts are secured. In such an economy, durable assets play a dual role: not only are they factors of production, but they also serve as collateral for loans. The dynamic interaction betw ..."
Abstract - Cited by 1673 (38 self) - Add to MetaCart
We construct a model of a dynamic economy in which lenders cannot force borrowers to repay their debts unless the debts are secured. In such an economy, durable assets play a dual role: not only are they factors of production, but they also serve as collateral for loans. The dynamic interaction

A theory of the term structure of interest rates,

by John C Cox , Jonathan E Ingersoll Jr , Stephen A Ross , John C Cox , JR Jonathan E Ingersoll , Stephen A Ross - Econometrika, , 1985
"... Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted d ..."
Abstract - Cited by 1979 (3 self) - Add to MetaCart
of the factors traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specific formulas for bond prices which are well suited for empirical testing.

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

The relationship between return and market value of common stocks

by Rolf W. Banz - Journal of Financial Economics , 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
Abstract - Cited by 791 (0 self) - Add to MetaCart
that the capital asset pricing model is misspecttied. The size elfect is not linear in the market value; the main effect occurs for very small tirms while there is little difference m return between average sized and large firms. It IS not known whether size per se is responsible for the effect or whether size

Valuing American options by simulation: A simple least-squares approach

by Francis A. Longstaff, Eduardo S. Schwartz - Review of Financial Studies , 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
Abstract - Cited by 517 (9 self) - Add to MetaCart
-factor string model of the term structure. One of the most important problems in option pricing theory is the valuation and optimal exercise of derivatives with American-style exercise features. These types of derivatives are found in all major financial markets including the equity, commodity, foreign

Measuring the information content of stock trades

by Joel Hasbrouck - 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 ..."
Abstract - Cited by 469 (11 self) - Add to MetaCart
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 frame-work that is robust to deviations from the assumptions

Paradox lost? Firm-level evidence on the returns to information systems.

by Erik Brynjolfsson , Lorin Hitt - Manage Sci , 1996
"... T he "productivity paradox" of information systems (IS) is that, despite enormous improvements in the underlying technology, the benefits of IS spending have not been found in aggregate output statistics.One explanation is that IS spending may lead to increases in product quality or varie ..."
Abstract - Cited by 465 (23 self) - Add to MetaCart
-level data on several components of IS spending for 1987-1991. The dataset includes 367 large firms which generated approximately 1.8 trillion dollars in output in 1991.We supplemented the IS data with data on other inputs, output, and price deflators from other sources. As a result, we could assess several

Measuring security price performance

by Stephen J. Brown, Jerold B. Warner - Journal of Financial Economics , 1980
"... Event studies focus on the impact of particular types of firm-specific events on the prices of the affected firms ’ securities. In this paper, observed stock return data are employed to examine various methodologies which are used 111 event studies to measure security price performance. Abnormal per ..."
Abstract - Cited by 379 (2 self) - Add to MetaCart
Event studies focus on the impact of particular types of firm-specific events on the prices of the affected firms ’ securities. In this paper, observed stock return data are employed to examine various methodologies which are used 111 event studies to measure security price performance. Abnormal
Results 1 - 10 of 17,462