Search results: 50.
Do Credit Spreads Reflect Stationary Leverage Ratios?
Published: 10/2001, Volume: 56, Issue: 5 | DOI: 10.1111/0022-1082.00395 | Cited by: 573
Pierre Collin‐Dufresne, Robert S. Goldstein
Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean‐reverting leverage ratios. We propose a structural model of default with stochastic interest rates that captures this mean reversion. Our model generates credit spreads that are larger for low‐leverage firms, and less sensitive to changes in firm value, both of which are more consistent with empirical findings than predictions of extant models. Further, the term structure of credit spreads can be upward sloping for speculative‐grade debt, consistent with recent empirical findings.
Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
Published: 8/2002, Volume: 57, Issue: 4 | DOI: 10.1111/1540-6261.00475 | Cited by: 260
Pierre Collin‐Dufresne, Robert S. Goldstein
Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. How ever, we find that, in practice, swap rates have limited explanatory power for returns on at‐the‐money straddles—portfolios mainly exposed to volatility risk. We term this empirical feature unspanned stochastic volatility (USV). While USV can be captured within an HJM framework, we demonstrate that bivariate models cannot exhibit USV. We determine necessary and sufficient conditions for trivariate Markov affine systems to exhibit USV. For such USV models, bonds alone may not be sufficient to identify all parameters. Rather, derivatives are needed.
Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
Published: 9/4/2007, Volume: 62, Issue: 5 | DOI: 10.1111/j.1540-6261.2007.01271.x | Cited by: 361
LUCA BENZONI, PIERRE COLLIN‐DUFRESNE, ROBERT S. GOLDSTEIN
We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes “stock‐like.” However, for older agents with shorter times‐to‐retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more “bond‐like.” Together, these effects create hump‐shaped life‐cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for.
Dividend Dynamics and the Term Structure of Dividend Strips
Published: 5/11/2015, Volume: 70, Issue: 3 | DOI: 10.1111/jofi.12242 | Cited by: 113
FREDERICO BELO, PIERRE COLLIN‐DUFRESNE, ROBERT S. GOLDSTEIN
Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their proposed dividend dynamics with processes that generate stationary leverage ratios. Under such policies, shareholders are forced to divest (invest) when leverage is low (high), which shifts risk from long‐ to short‐horizon dividend strips.
On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations
Published: 11/19/2012, Volume: 67, Issue: 6 | DOI: 10.1111/j.1540-6261.2012.01779.x | Cited by: 74
PIERRE COLLIN‐DUFRESNE, ROBERT S. GOLDSTEIN, FAN YANG
We investigate a structural model of market and firm‐level dynamics in order to jointly price long‐dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out‐of‐sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. Thus, senior tranches are nonredundant assets that provide a unique window into the pricing of catastrophic risk.
Identification of Maximal Affine Term Structure Models
Published: 4/2008, Volume: 63, Issue: 2 | DOI: 10.1111/j.1540-6261.2008.01331.x | Cited by: 101
PIERRE COLLIN‐DUFRESNE, ROBERT S. GOLDSTEIN, CHRISTOPHER S. JONES
Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation has more identifiable parameters than the “maximal” model of Dai and Singleton (2000). We implement this new representation for select three‐factor models and find that model‐independent estimates for the state vector can be estimated directly from yield curve data, which present advantages for the estimation and interpretation of multifactor models.
The Determinants of Credit Spread Changes
Published: 12/2001, Volume: 56, Issue: 6 | DOI: 10.1111/0022-1082.00402 | Cited by: 1615
Pierre Collin-Dufresn, Robert S. Goldstein, J. Spencer Martin
Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly cross‐correlated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread changes are principally driven by local supply/demand shocks that are independent of both credit‐risk factors and standard proxies for liquidity.
THE IMPLICATIONS OF TRIANGULAR ARBITRAGE FOR FORWARD EXCHANGE POLICY*
Published: 9/1964, Volume: 19, Issue: 3 | DOI: 10.1111/j.1540-6261.1964.tb02873.x | Cited by: 0
Henry N. Goldstein
SHOULD THE TREASURY AUCTION LONG‐TERM SECURITIES?*
Published: 9/1962, Volume: 17, Issue: 3 | DOI: 10.1111/j.1540-6261.1962.tb04299.x | Cited by: 2
Henry N. Goldstein
THE IMPACT OF FEDERAL INCOME DISBURSEMENTS ON THE SOUTHEASTERN STATES, 1929, 1939, 1949, AND 1957*
Published: 12/1962, Volume: 17, Issue: 4 | DOI: 10.1111/j.1540-6261.1962.tb04345.x | Cited by: 0
Harold M. Goldstein
Government Intervention and Information Aggregation by Prices
Published: 11/12/2015, Volume: 70, Issue: 6 | DOI: 10.1111/jofi.12303 | Cited by: 198
PHILIP BOND, ITAY GOLDSTEIN
Governments intervene in firms' lives in a variety of ways. To enhance the efficiency of government intervention, many researchers and policy makers call for governments to make use of information contained in stock market prices. However, price informativeness is endogenous to government policy. We analyze government policy in light of this endogeneity. In some cases, it is optimal for a government to commit to limit its reliance on market prices to avoid harming the aggregation of information into market prices. For similar reasons, it is optimal for a government to limit transparency in some dimensions.
Information Diversity and Complementarities in Trading and Information Acquisition
Published: 7/23/2015, Volume: 70, Issue: 4 | DOI: 10.1111/jofi.12226 | Cited by: 262
ITAY GOLDSTEIN, LIYAN YANG
We analyze a model in which different traders are informed of different fundamentals that affect the security value. We identify a source for strategic complementarities in trading and information acquisition: aggressive trading on information about one fundamental reduces uncertainty in trading on information about the other fundamental, encouraging more trading and information acquisition on that fundamental. This tends to amplify the effect of exogenous changes in the underlying information environment. Due to complementarities, greater diversity of information in the economy improves price informativeness. We discuss the relation between our model and recent financial phenomena and derive testable empirical implications.
Demand–Deposit Contracts and the Probability of Bank Runs
Published: 5/3/2005, Volume: 60, Issue: 3 | DOI: 10.1111/j.1540-6261.2005.00762.x | Cited by: 883
ITAY GOLDSTEIN, ADY PAUZNER
Diamond and Dybvig (1983)
show that while demand–deposit contracts let banks provide liquidity, they expose them to panic‐based bank runs. However, their model does not provide tools to derive the probability of the bank‐run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic‐based bank runs and relate it to the contract. We find conditions under which banks increase welfare overall and construct a demand–deposit contract that trades off the benefits from liquidity against the costs of runs.
Commodity Financialization and Information Transmission
Published: 7/2022, Volume: 77, Issue: 5 | DOI: 10.1111/jofi.13165 | Cited by: 106
ITAY GOLDSTEIN, LIYAN YANG
We provide a model to understand the effects of commodity futures financialization on various market variables. We distinguish between financial speculators and financial hedgers and study their separate and combined effects on the informativeness of futures prices, the futures price bias, the comovement of futures prices with other markets, and the predictiveness of financial trading. We capture the interactions between commodity futures financialization and the real economy through spot prices and production decisions. A dynamic extension illustrates how key variables change over time in a period of acute financialization in a way that is consistent with observed empirical patterns.
Credit Rating Inflation and Firms' Investments
Published: 7/29/2020, Volume: 75, Issue: 6 | DOI: 10.1111/jofi.12961 | Cited by: 84
ITAY GOLDSTEIN, CHONG HUANG
We analyze credit rating effects on firm investments in a rational bond financing game that features a feedback loop. The credit rating agency (CRA) inflates the rating, providing a biased but informative signal to creditors. Creditors' response to the rating affects the firm's investment decision and thus its credit quality, which is reflected in the rating. The CRA might reduce ex ante economic efficiency, which results solely from its strategic effect: the CRA assigns more firms high ratings and allows them to gamble for resurrection. We derive empirical predictions on the determinants of rating standards and inflation and discuss policy implications.
Directors' Ownership in the U.S. Mutual Fund Industry
Published: 11/11/2008, Volume: 63, Issue: 6 | DOI: 10.1111/j.1540-6261.2008.01410.x | Cited by: 80
QI CHEN, ITAY GOLDSTEIN, WEI JIANG
This paper empirically investigates directors' ownership in the mutual fund industry. Our results show that, contrary to anecdotal evidence, a significant portion of directors hold shares in the funds they oversee. Ownership patterns are broadly consistent with an optimal contracting equilibrium. That is, ownership is positively and significantly correlated with most variables that are predicted to indicate greater value from directors' monitoring. For example, directors' ownership is more prevalent in actively managed funds and in funds with lower institutional ownership. We also show considerable heterogeneity in ownership across fund families, suggesting family‐wide policies play an important role.
Utility Tokens as a Commitment to Competition
Published: 10/10/2024, Volume: 79, Issue: 6 | DOI: 10.1111/jofi.13389 | Cited by: 30
ITAY GOLDSTEIN, DEEKSHA GUPTA, RUSLAN SVERCHKOV
We show that utility tokens can limit the rent‐seeking activities of two‐sided platforms with market power while preserving efficiency gains due to network effects. We model platforms where buyers and sellers can meet to exchange services. Tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. Tokenizing a platform commits a firm to give up monopolistic rents associated with the control of the platform, leading to long‐run competitive prices. We show how the threat of entrants can incentivize developers to tokenize and discuss cases where regulation is needed to enforce tokenization.
TREASURY BILL AUCTION PROCEDURES: COMMENT
Published: 6/1975, Volume: 30, Issue: 3 | DOI: 10.1111/j.1540-6261.1975.tb01864.x | Cited by: 0
Henry N. Goldstein, George G. Kaufman
Quotes, Order Flow, and Price Discovery
Published: 3/1997, Volume: 52, Issue: 1 | DOI: 10.1111/j.1540-6261.1997.tb03814.x | Cited by: 106
MARSHALL E. BLUME, MICHAEL A. GOLDSTEIN
The goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes. Non‐NYSE markets attract a significant portion of their volume when they are posting inferior bids or offers, indicating they obtain order flow for other reasons, such as “payment for order flow.” Yet, when a non‐NYSE market does post a better bid or offer, it does attract additional order flow.
The Real Effects of Financial Markets: The Impact of Prices on Takeovers
Published: 5/21/2012, Volume: 67, Issue: 3 | DOI: 10.1111/j.1540-6261.2012.01738.x | Cited by: 607
ALEX EDMANS, ITAY GOLDSTEIN, WEI JIANG
Using mutual fund redemptions as an instrument for price changes, we identify a strong effect of market prices on takeover activity (the “trigger effect”). An interquartile decrease in valuation leads to a seven percentage point increase in acquisition likelihood, relative to a 6% unconditional takeover probability. Instrumentation addresses the fact that prices are endogenous and increase in anticipation of a takeover (the “anticipation effect”). Our results overturn prior literature that finds a weak relation between prices and takeovers without instrumentation. These findings imply that financial markets have real effects: They impose discipline on managers by triggering takeover threats.
SOFASIM: A Dynamic Insurance Model with Investment Structure, Policy Benefits and Taxes
Published: 5/1982, Volume: 37, Issue: 2 | DOI: 10.1111/j.1540-6261.1982.tb03581.x | Cited by: 2
ALICE B. GOLDSTEIN, BARBARA G. MARKOWITZ
Liquidity Transformation and Fragility in the U.S. Banking Sector
Published: 10/13/2024, Volume: 79, Issue: 6 | DOI: 10.1111/jofi.13390 | Cited by: 26
QI CHEN, ITAY GOLDSTEIN, ZEQIONG HUANG, RAHUL VASHISHTHA
Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so‐called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large‐scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit flows to bank performance and greater levels of uninsured deposit outflows when performance is poor. We also explore the effects of deposit insurance and systemic risk.
FACTORS AFFECTING PRICE, VOLUME AND CREDIT RISK IN THE CONSUMER FINANCE INDUSTRY
Published: 5/1970, Volume: 25, Issue: 2 | DOI: 10.1111/j.1540-6261.1970.tb00676.x | Cited by: 5
Robert W. Johnson, Robert P. Shay
Toward a National Market System for U.S. Exchange–listed Equity Options
Published: 3/25/2004, Volume: 59, Issue: 2 | DOI: 10.1111/j.1540-6261.2004.00653.x | Cited by: 102
Robert Battalio, Brian Hatch, Robert Jennings
In its response to the 1975 Congressional mandate to implement a national market system for financial securities, the Securities and Exchange Commission (SEC) initially exempted the option market. Recent dramatic changes in the structure of the option market prompted the SEC to revisit this issue. We examine a sample of actively traded, multiply listed equity options to ask whether this market's characteristics appear consistent with the goals of producing economically efficient transactions and facilitating “best execution.” We find marked changes between June 2000, when quotes are often ignored, and January 2002, when the market more closely resembles a national market.
Reputation Effects in Trading on the New York Stock Exchange
Published: 5/8/2007, Volume: 62, Issue: 3 | DOI: 10.1111/j.1540-6261.2007.01235.x | Cited by: 56
ROBERT BATTALIO, ANDREW ELLUL, ROBERT JENNINGS
Theory suggests that reputations allow nonanonymous markets to attenuate adverse selection in trading. We identify instances in which New York Stock Exchange (NYSE) stocks experience trading floor relocations. Although specialists follow the stocks to their new locations, most brokers do not. We find a discernable increase in liquidity costs around a stock's relocation that is larger for stocks with higher adverse selection and greater broker turnover. We also find that floor brokers relocating with the stock obtain lower trading costs than brokers not moving and brokers beginning trading post‐move. Our results suggest that reputation plays an important role in the NYSE's liquidity provision process.
Asset Price Volatility, Bubbles, and Process Switching
Published: 9/1986, Volume: 41, Issue: 4 | DOI: 10.1111/j.1540-6261.1986.tb04551.x | Cited by: 54
ROBERT P. FLOOD, ROBERT J. HODRICK
Evidence of excess volatilities of asset prices compared with those of market fundamentals is often attributed to speculative bubbles. This study demonstrates that bubbles could in theory lead to excess volatility, but it shows that certain variance bounds tests preclude bubbles as an explanation. The evidence ought to be attributed to model misspecification or inappropriate statistical tests. One important misspecification occurs if a researcher incorrectly specifies the time series properties of market fundamentals. A bubble‐free example economy characterized by a potential switch in government policies produces asset prices that would appear, to an unwary researcher, to contain bubbles.
POSTWAR DEVELOPMENTS IN THE MARKET FOR CONSUMER INSTALMENT CREDIT*
Published: 5/1956, Volume: 11, Issue: 2 | DOI: 10.1111/j.1540-6261.1956.tb00705.x | Cited by: 0
Robert Shay
Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality
Published: 9/14/2016, Volume: 71, Issue: 5 | DOI: 10.1111/jofi.12422 | Cited by: 152
ROBERT BATTALIO, SHANE A. CORWIN, ROBERT JENNINGS
We identify retail brokers that seemingly route orders to maximize order flow payments, by selling market orders and sending limit orders to venues paying large liquidity rebates. Angel, Harris, and Spatt argue that such routing may not always be in customers’ best interests. For both proprietary limit order data and a broad sample of trades from TAQ, we document a negative relation between several measures of limit order execution quality and rebate/fee level. This finding suggests that order routing designed to maximize liquidity rebates does not maximize limit order execution quality and thus brokers cannot have it all.
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02198.x | Cited by: 214
ROBERT JARROW
Under heterogeneous expectations, the mean–variance model of capital market equilibrium is employed to determine the effect restricting short sales has on equilibrium asset prices. Two equivalent markets differing only with respect to short sale restrictions are compared. It is shown that, in general, risky asset prices can either rise or fall due to short sale constraints. However, under a homogeneity of beliefs for the covariance matrix of future prices, short sale constraints will only increase risky asset prices.
SHORT‐RUN EFFECTS OF STOCK MARKET SERVICES ON STOCK PRICES
Published: 3/1958, Volume: 13, Issue: 1 | DOI: 10.1111/j.1540-6261.1958.tb04173.x | Cited by: 3
Robert Ferber
Error Rates in CRSP and COMPUSTAT: A Second Look
Published: 12/1980, Volume: 35, Issue: 5 | DOI: 10.1111/j.1540-6261.1980.tb02210.x | Cited by: 33
ROBERT BENNIN
A Theory of Capital Structure Relevance under Imperfect Information
Published: 12/1982, Volume: 37, Issue: 5 | DOI: 10.1111/j.1540-6261.1982.tb03608.x | Cited by: 113
ROBERT HEINKEL
Firms raise debt and equity capital to finance a positive net present value project in perfectly competitive capital markets; firm insiders know the function generating the random firm cash flow but potential capital suppliers do not. Taking into account the incentives of insiders to misrepresent their firm type, capital suppliers attempt to design financing mixes of debt and equity that eliminate the adverse incentives of insiders and correctly price securities. Necessary conditions for a costless separating equilibrium are developed to show that the amount of debt used by a firm is monotonically related to its unobservable true value.
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb05025.x | Cited by: 0
ROBERT HEINKEL
Debt Financing and Tax Status: Tests of the Substitution Effect and the Tax Exhaustion Hypothesis Using Firms' Responses to the Economic Recovery Tax Act of 1981
Published: 9/1992, Volume: 47, Issue: 4 | DOI: 10.1111/j.1540-6261.1992.tb04670.x | Cited by: 70
ROBERT TREZEVANT
This study tests the joint prediction of the substitution effect and the tax exhaustion hypothesis that an increase in non‐debt tax shields leads to a decrease in leverage. Controls are introduced for the debt securability effect, the pecking order theory of financing, and the probability of losing tax shields. Using the relationship between changes in investment tax shields and changes in debt tax shields of firms in response to the Economic Recovery Tax Act of 1981, strong empirical support is found for predictions based on the substitution effect and the tax exhaustion hypothesis.
THE INFLATIONARY IMPACT OF EIGHT FEDERAL AID AGENCIES DURING THE YEARS 1946–1950*
Published: 12/1954, Volume: 9, Issue: 4 | DOI: 10.1111/j.1540-6261.1954.tb01252.x | Cited by: 0
Robert Freedman
Quotes, Prices, and Estimates in a Laboratory Market
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05226.x | Cited by: 45
ROBERT BLOOMFIELD
This study examines the behavior of laboratory markets in which two uninformed market makers compete to trade with heterogeneously informed investors. The data provide three main results. First, market makers set quotes to protect against adverse selection and to control inventory. Second, when investors are less well‐informed, their trades are less reliable measures of their information, and market makers respond to those trades with greater skepticism. Third, errors in market makers' reactions to trades cause the time‐series behavior of quotes and prices to depend on the information environment in ways beyond those captured in extant theory.
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb02019.x | Cited by: 1
Robert Willig
Discussion
Published: 8/2000, Volume: 55, Issue: 4 | DOI: 10.1111/0022-1082.00270 | Cited by: 0
Robert Marquez
THE PRICING OF OPTIONS WITH STOCHASTIC DIVIDEND YIELD
Published: 5/1978, Volume: 33, Issue: 2 | DOI: 10.1111/j.1540-6261.1978.tb04871.x | Cited by: 40
Robert Geske
A formula is derived in discrete time for pricing options when the underlying stock has a stochastic dividend yield. The result implies that regarding the dividend yield as certain when it is not results in misestimation of the variance of the underlying stock. Comparative statics indicate that this adjustment could diminish a bias of the Black‐Scholes model. This model systematically underprices deep‐out‐of‐the‐money options. A numerical example demonstrates that this stochastic adjustment may be more important for longer‐lived options and warrants.
DISCUSSION
Published: 5/1969, Volume: 24, Issue: 2 | DOI: 10.1111/j.1540-6261.1969.tb01690.x | Cited by: 0
Robert Solomon
DISCUSSION
Published: 6/1978, Volume: 33, Issue: 3 | DOI: 10.1111/j.1540-6261.1978.tb00768.x | Cited by: 0
Robert Salomon
JUSTIFICATION FOR DIRECT REGULATION OF CONSUMER CREDIT REAPPRAISED
Published: 5/1953, Volume: 8, Issue: 2 | DOI: 10.1111/j.1540-6261.1953.tb01167.x | Cited by: 0
Robert Bartels
Potential Competition And Actual Competition In Equity Options
Published: 7/1987, Volume: 42, Issue: 3 | DOI: 10.1111/j.1540-6261.1987.tb04566.x | Cited by: 40
ROBERT NEAL
The Meaning of Internal Rates of Return
Published: 12/1981, Volume: 36, Issue: 5 | DOI: 10.1111/j.1540-6261.1981.tb01072.x | Cited by: 56
ROBERT DORFMAN
Nearly one hundred years after Irving Fisher' persuasive argument that net present value is the fundamental criterion for appraising investment projects, businessmen and bankers continue to consider the internal rate of return. Business practice is justified in some circumstances. It has long been recognized that a firm will grow asymptotically at a rate equal to the largest real positive root of an individual project' rate of return equation if the net cash flows are continually reinvested in projects of the same type. That same root also controls the firm' asymptotic growth rate if any fixed proportion of the cash flows is reinvested. The other roots of the equation are important also, since the stability of the firm' growth path depends on them.
The Relationship between Arbitrage and First Order Stochastic Dominance
Published: 9/1986, Volume: 41, Issue: 4 | DOI: 10.1111/j.1540-6261.1986.tb04556.x | Cited by: 65
ROBERT JARROW
This paper joins together two fields of research in financial economics. The first field studies stochastic dominance, while the second field studies arbitrage pricing. The two fields are linked together through the derivation and the proof of a characterization theorem. The characterization theorem gives necessary and sufficient conditions for the existence of arbitrage opportunities in terms of the existence of two assets, one of which first order stochastically dominates the other and the price of a particular contingent claim. Examples are provided to demonstrate the theorem's content.
THE CONCEPT OF YIELD ON COMMON STOCK
Published: 5/1964, Volume: 19, Issue: 2 | DOI: 10.1111/j.1540-6261.1964.tb00762.x | Cited by: 1
Robert Ortner
DISCUSSION
Published: 7/1985, Volume: 40, Issue: 3 | DOI: 10.1111/j.1540-6261.1985.tb04991.x | Cited by: 1
ROBERT SHILLER
FINANCIAL INTERMEDIARIES, CREDIT AVAILABILITY, AND AGGREGATE DEMAND*
Published: 9/1966, Volume: 21, Issue: 3 | DOI: 10.1111/j.1540-6261.1966.tb00247.x | Cited by: 0
Robert Shapiro
Benefits of Bank Diversification: The Evidence from Shareholder Returns
Published: 7/1984, Volume: 39, Issue: 3 | DOI: 10.1111/j.1540-6261.1984.tb03682.x | Cited by: 26
ROBERT A. EISENBEIS, ROBERT S. HARRIS, JOSEF LAKONISHOK
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02239.x | Cited by: 0
ROBERT S. HARRIS