Bubbles or Convenience Yields? A Theoretical Explanation with Evidence from Technology Company Equity Carve-Outs
نویسنده
چکیده
This paper offers an alternative explanation for what is typically referred to as an asset pricing bubble. We develop a model that formalizes the Cochrane (2002) convenience yield theory of technology company stocks to explain why a rational agent would buy an “overpriced” security. Agents have a desire to trade but short-sale restrictions and other frictions limit their trading strategies and enable prices of two similar securities to be different. Thus, divergent prices for similar securities can be sustained in a rational expectations equilibrium. The paper also provides empirical support for the model using a sample of 1996 2000 equity carve-outs. (JEL: G10, G12, D50)
منابع مشابه
Economic aspects of mental health carve-outs.
BACKGROUND: Recent empirical research has found behavioral health carve-outs in the US to reduce costs immediately and considerably, compared to indemnity insurance and HMOs. Carve-outs have quickly captured a large part of the organized market in US behavioral health. At the same time, market concentration has increased significantly. METHODS: The current paper uses concepts and results from t...
متن کاملTowards a new model of speculative bubbles: nonparametric test with an application to the Tunisian Stock Index
Bubbles in asset prices have fascinated researchers in finance. Identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. On a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents Burmeiste...
متن کاملEmpirical evidence on the demand for carve-outs in employment group mental health coverage.
BACKGROUND AND AIMS OF THE STUDY: The use of specialized behavioral health companies to manage mental/health benefits has become widespread in recent years. Recent studies have reported on the cost and utilization impacts of behavioral health carve-outs. Yet little previous research has examined the factors which lead employer-based health plans to adopt a carve-out strategy for mental health b...
متن کاملThe Choice of Going Pubiic; Spin-offs vs. Carve-outs
Roni Michaely is Assistant Professor of Finance at the Johnson Graduate School of Management, Cornell University, Ithaca, NY. Wayne H. Shaw is Professor of Accounting at the University of Colorado at Boulder, Boulder, CO. This study analyzes how firms choose between a spin-off and an equity carve-out as a way to divest assets. Using a sample of 91 master limited partnerships that were issued to...
متن کاملManaging an IT carve-out at a multi-national enterprise teaching case description
Mergers, acquisitions and divestments, including the carve-outs of business units or parts of them, are standard strategies used by multi-divisional organizations to adjust their business portfolios. Carve-out projects are critically dependent on their management of IT. Systems, which have been integrated in order to deliver seamless and efficient IT operations, must now be pulled apart under d...
متن کامل