【本期主题】Active Monetary or Fiscal Policy and Stock-Bond CorrelationWe propose a New Keynesian model with monetary-fiscal policy regime switch to explain the time-varying correlation between returns on the market portfolio and nominal Treasury bonds found in the data. In the active monetary and passive fiscal policy (AMPF) regime, neutral technology (NT) and marginal efficiency of investment...
【本期主题】Stock Dividends, Gambling Clientele, and Cost of Equity【摘要】What are the benefits to a firm of having retail-gambling investors as shareholders? Motivated by studies showing that gambling clientele requires a lower rate of return to take risk, we hypothesize that firms can use stock dividends to attract investors with gambling preference to share risk and to lower cost of equity....
【本期主题】Compound Utility Theory and Asset Pricing【摘要】Compound utility theory (Zou, 2006 AEF) proposes a two-stage process for decision making under risk. In the first stage, the decision maker evaluates his expected utility EU for upside reward and expected disutility ED to downside risk of all feasible actions. He then chooses in the second stage the action that offers the best utility...
【本期主题】Dividend-Price Dynamics and Structural Estimation of Market Return【摘要】Standard predictability regressions use return as dependent variable, which is the sum of change in dividend-price (dp) ratio and dividend growth, even though dividend growth is known to be noisy. We construct a new predictor based solely on the dp dynamics and show it outperforms the historical aver-age. Ou...
【金融高端论坛】第九十四期【本期主题】Job Security and Earnings ManagementCEO dismissal risk may have disciplinary or opportunistic effect on earnings management. The disciplinary effect incentivizes CEOs to undertake actions to improverealperformance, which reduces the need for earnings management, especially for the need of overstating firm performance, while CEOs with opportunistic motives m...