Gabelli School of Business最新文献

{"title":"Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn from Data?","authors":"P. McNelis, Salih N. Neftçi","doi":"10.2139/ssrn.1008218","DOIUrl":"https://doi.org/10.2139/ssrn.1008218","url":null,"abstract":"This paper examines financial market data to assess the likelihood of renminbi revaluation and its implications for Chinese share price increases, given the continuing appreciation of the Euro against the U.S. dollar. We find that the 3-month non-deliverable forward premia are key series linking these variables. The forward premia predict series A share-price changes, while Euro/US dollar exchange rates in turn predict foreward-premia. Bayesian models outperform standard linear models for forecasting performance.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121497177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Linux vs. Windows: A Comparison of Innovation Incentives and a Case Study","authors":"N. Economides, Evangelos Katsamakas","doi":"10.2139/ssrn.2323440","DOIUrl":"https://doi.org/10.2139/ssrn.2323440","url":null,"abstract":"The paper analyzes and compares the investment incentives of platform and application developers for Linux and Windows. We find that the level of investment in applications is larger when the operating system is open source rather than proprietary. The comparison of the levels of investment in the operating systems depends, among others, on reputation effects and the number of developers. The paper also develops a short case study comparing Windows and Linux and identifies new directions for open source software research.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115710727","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Corporate Control Contests and the Disciplining Effect of Spin-Offs: A Theory of Performance and Value Improvements in Spin-Offs","authors":"Thomas J. Chemmanur, An Yan","doi":"10.2139/ssrn.296984","DOIUrl":"https://doi.org/10.2139/ssrn.296984","url":null,"abstract":"We develop a new rationale for the performance and value improvements of firms following corporate spin-offs. We consider a situation of a firm with multiple divisions, where incumbent management may have differing abilities for managing various divisions. Giving up control to a rival with better ability in managing the firm, while it benefits equity holders (including incumbent management) by increasing the firm's equity market value, also involves losing the incumbent's benefits from control. Due to this trade-off, the incumbent, while willing to relinquish control to extremely high ability rivals, may not wish to do so for rivals who have only moderately higher management ability relative to him. Spin-offs increase the chance of loss of control to potential rivals in two ways: First, it reduces the ability of the incumbent to use firm size strategically against the rival in a control contest (after the spin-off, the rival can invest to the full extent of his wealth in the equity of the firm more vulnerable to a takeover). Second, it increases the probability that passive investors will vote with the rival in a contest for control for at least one division (in a joint firm, the superior management ability of any rival with respect to one division may be neutralized by inferior ability with respect to another one). This increased chance of loss of control following a spin-off, in turn, motivates the incumbent to work harder (despite his disutility for effort) in equilibrium in an attempt to maintain control. Thus, the increase in equity market value of the firm upon spin-off announcements arises not only from market participants incorporating in their valuations the increased probability of a takeover by a more able rival for control, but also from their anticipating the increase in managerial efficiency arising from the disciplining effect of the spin-off on firm management. Our analysis predicts that, in addition to positive announcement effects, the equity of a sample of spun-off firms will also exhibit long-term positive abnormal returns under certain conditions. Our model also explains a wide variety of other recently documented empirical regularities, and provides hypotheses for further empirical work.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"6 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125290582","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Incentive Fees and Mutual Funds","authors":"E. Elton, M. Gruber, Christopher R. Blake","doi":"10.2139/ssrn.275912","DOIUrl":"https://doi.org/10.2139/ssrn.275912","url":null,"abstract":"This paper examines the effect of incentive fees on the behavior of mutual fund managers. Funds with incentive fees exhibit positive stock selection ability, but a beta less than one results in funds not earning positive fees. From an investor's perspective, positive alphas plus lower expense ratios make incentive-fee funds attractive. However, incentive-fee funds take on more risk than non-incentive-fee funds, and they increase risk after a period of poor performance. Incentive fees are useful marketing tools, since more new cash flows go into incentive-fee funds than into non-incentive-fee funds, ceteris paribus.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133569015","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Valuing Investment Management Fees, Active Portfolio Management, and Closed-End Fund Discounts","authors":"R. Ferguson, Dean Leistikow","doi":"10.2139/ssrn.2738100","DOIUrl":"https://doi.org/10.2139/ssrn.2738100","url":null,"abstract":"Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers’ expected performance and contract renewal issues. A managed portfolio’s economic value is shown to differ from its net asset value. A better foundation for computing fair closed-end fund discounts and a partial explanation of equilibrium in the markets for open and closed-end mutual funds are provided. Tests on the behavior of net redemptions following closed-end fund open-endings and the relation between premiums and investment performance around IPOs strongly support the paper’s theory.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121416889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Executive Stock Option Repricing, Internal Governance Mechanisms, and Management Turnover","authors":"Btst 8YstR8R, stI 8sts, 8t ZtB, W. YIs8Asst, V. 38st, Biz Bt","doi":"10.2139/ssrn.236090","DOIUrl":"https://doi.org/10.2139/ssrn.236090","url":null,"abstract":"We analyze characteristics of firms that reprice their executive stock options (ESOs). We document that repricings are economically significant compensation events but there is little else unusual about compensation levels or changes in repricers. Cross-sectionally, repricers are rapidly growing firms that experience a deep, sudden shock to growth and profitability. Repricers are likely to be smaller, younger, more concentrated in technology, trade or service industry sectors, and have smaller boards of directors relative to firms that did not reprice ESOs despite similar return shocks. Repricers have abnormally high CEO turnover rates, and do not show low institutional ownership or more diffuse ownership of their equity. Over 40% of repricers do not include the CEO in the list of executives repriced. Collectively, our evidence provides little support for the view that repricing primarily reflects managerial entrenchment or ineffective governance in firms.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122305716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Survivorship Bias and Mutual Fund Performance","authors":"E. Elton, M. Gruber, Christopher R. Blake","doi":"10.1093/RFS/9.4.1097","DOIUrl":"https://doi.org/10.1093/RFS/9.4.1097","url":null,"abstract":"Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all funds that existed at the end of 1976. When a fund merges we calculate the return, taking into account the merger terms. This allows a precise estimate of survivorship bias. In addition, we examine characteristics of both mutual funds that merge and their partner funds. Estimates of survivorship bias over different horizons and using different models to evaluate performance are provided. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127816191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Money in the United Kingdom: 1833-1880","authors":"W. Huffman, J. Lothian","doi":"10.2307/1991769","DOIUrl":"https://doi.org/10.2307/1991769","url":null,"abstract":"No abstract available.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"135 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1980-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124602484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}