计量经济分析 = Econometric analysis

1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market.

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A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess stock returns better than regressions of excess returns on predictor variables. In this article, we show that many predictive regressions beat the historical average return, once weak restrictions are imposed on the signs of coefficients and return forecasts. The out-of-sample explanatory power is small, but nonetheless is economically meaningful for mean-variance investors. Even better results can be obtained by imposing the restrictions of steady-state valuation models, thereby removing the need to estimate the average from a short sample of volatile stock returns. (JEL G10, G11) Towards the end of the last century, academic finance economists came to take seriously the view that aggregate stock returns are predictable. During the 1980s, a number of papers studied valuation ratios, such as the dividend-price ratio, earnings-price ratio, or smoothed earnings-price ratio. Value-oriented investors in the tradition of Graham and Dodd (1934) had always asserted that high valuation ratios are an indication of an undervalued stock market and should predict high subsequent returns, but these ideas did not carry much weight in the academic literature until authors such as Rozeff (1984), Fama and French (1988), and Campbell and Shiller (1988a, 1988b) found that valuation ratios are positively correlated with subsequent returns and that the implied predictability of returns is substantial at longer horizons. Around the same time, several papers pointed out that yields on short- and long-term treasury and corporate bonds are correlated with subsequent stock returns (Fama and Schwert,1977;KeimandStambaugh,1986;Campbell,1987;FamaandFrench, 1989).

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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

Economics Of Discrimination

Which journal articles have had the most impact on finance research? Which articles were most cited in each of the last 30 years? Which journals dominated finance research in the 1990s? Did any finance sub-discipline stand out or lag behind in the 1990s? We answer these and similar questions using a comprehensive sample of journals, an extensive time period, and a new ranking method that avoids problems inherent in the existing literature. We find that although six of the ten articles most cited by finance journals were published in econometrics or economics journals, and Journal of Finance accounts for only one of the top ten articles, Journal of Finance still dominates with the article cited most frequently in eight of the last ten years. We also find that methodological papers such as White (1980) and Hansen (1982) are very highly ranked. We use the most influential papers to construct suggested Ph.D. course reading lists.

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Impact: What Influences Finance Research?

When portfolio managers trade the stocks of companies run by people with whom they have social connections, these trades earn better returns than trades in companies with whom they have no connections (Cohen et al., 2008). We look at the effects of social connections from the firm’s side, examining the compensation of firm executives. Executive compensation in connected firms is substantially higher than in unconnected firms. The channel through which this result occurs appears to be share voting—connected funds are more likely to vote against shareholder-initiated proposals on executive compensation, thereby protecting their cronies from the discipline of corporate governance. The evidence is consistent with higher compensation being the quid pro quo for information flow from firm to fund.

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Connected Companies' Compensation

The notice period given to convertible bondholders affects the optimal call policy for convertible bonds. After accounting for the notice period, convertible bonds in our sample would have been optimally called when the stock was at about an 11% premium (median) relative to the conversion price. We find that convertible bonds are, on average, not called later than optimal. The average (median) excess call premium is only 2.65% (1.71%) for those bonds without binding call protection. These values are statistically indistinguishable from zero and are substantially less than the 26%-44% call premium found by previous researchers.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID394060_code030506560.pdf?abstractid=394060&mirid=1&type=2

Are They Still Called Late? The Effect of Notice Period on Calls of Convertible Bonds

We document substantial variation in the effect of state-level bank branching deregulation in the United States on economic growth. We examine the sources of this variation by testing multiple channels that may link deregulation and economic growth. Using a matching method that utilizes synthetic counterfactual states, we find support for the hypothesis that economic growth was associated with states where deregulation solved a capital immobility or “dammed” credit problem. We do not find support for other channels, which posit that banks became more efficient, financed more innovative businesses, or learned by observing prior deregulations.

/pdf/credit-be-dammed-the-impact-of-banking-deregulation-on-3jd12w59xx.pdf

Credit Be Dammed: The Impact of Banking Deregulation on Economic Growth

The authors examine the effects of changes in competitive conditions on the structure of loan contracts. In particular, they present conditions in which greater loan market competition reduces the stringency of contractual collateral requirements, a prediction that is consistent with anecdotal evidence from loan markets. The authors also analyze the interaction between the degree of competition and the efficiency of contractual renegotiation. Insufficiently competitive markets may lead to bargaining difficulties that reduce the efficiency of renegotiable contracts. At low levels of competition negotiable contracts remain feasible only if collateral levels are inefficiently low.

Alexander W. Butler

Papers

Impact: What Influences Finance Research?

Connected Companies' Compensation

Are They Still Called Late? The Effect of Notice Period on Calls of Convertible Bonds

Credit Be Dammed: The Impact of Banking Deregulation on Economic Growth

Collateral and competition