New York University Stern School of Business Research Paper Series最新文献

{"title":"An Agency Costs Theory of Trust Law","authors":"Robert H. Sitkoff","doi":"10.2139/ssrn.412592","DOIUrl":"https://doi.org/10.2139/ssrn.412592","url":null,"abstract":"This Article develops an agency costs theory of the law of private trusts, focusing chiefly on donative trusts. The agency costs approach offers fresh insights into recurring problems in trust law including, among others, modification and termination, settlor standing, fiduciary litigation, trust-investment law and the duty of impartiality, trustee removal, the role of so-called trust protectors, and spendthrift trusts. The normative claim is that the law should minimize the agency costs inherent in locating managerial authority with the trustee and the residual claim with the beneficiaries, but only to the extent that doing so is consistent with the ex ante instructions of the settlor. Accordingly, the use of the private trust triggers a temporal agency problem (whether the trustee will remain loyal to the settlor's original wishes) in addition to the usual agency problem that arises when risk-bearing and management are separated (whether the trustee/manager will act in the best interests of the beneficiaries/residual claimants). The positive claim is that, at least with respect to traditional doctrines, the law conforms to the suggested normative approach. This Article draws on the economics of the principal-agent problem and the theory of the firm, and it engages the ongoing debate about whether trust law is closer to property law or contract law. Although the analysis focuses on donative trusts, it should be amenable to extension in future work to commercial and charitable trusts.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123904756","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":"Estimation Error in the Assessment of Financial Risk Exposure","authors":"Stephen Figlewski","doi":"10.2139/ssrn.424363","DOIUrl":"https://doi.org/10.2139/ssrn.424363","url":null,"abstract":"Value at Risk and similar measures of financial risk exposure require predicting the tail of an asset returns distribution. Assuming a specific form, such as the normal, for the distribution, the standard deviation (and possibly other parameters) are estimated from recent historical data and the tail cutoff value is computed. But this standard procedure ignores estimation error, which we find to be substantial even under the best of conditions. In practice, a \"tail event\" may represent a truly rare occurrence, or it may simply be a not-so-rare occurrence at a time when the predicted volatility underestimates the true volatility, due to sampling error. This problem gets worse the further in the tail one is trying to predict. Using a simulation of 10,000 years of daily returns, we first examine estimation risk when volatility is an unknown constant parameter. We then consider the more realistic, but more problematical, case of volatility that drifts stochastically over time. This substantially increases estimation error, although strong mean reversion in the variance tends to dampen the effect. Non-normal fat-tailed return shocks makes overall risk assessment much worse, especially in the extreme tails, but estimation error per se does not add much beyond the effect of tail fatness. Using an exponentially weighted moving average to downweight older data hurts accuracy if volatility is constant or only slowly changing. But with more volatile variance, an optimal decay rate emerges, with better performance for the most extreme tails being achieved using a relatively greater rate of downweighting. We first simulate non-overlapping independent samples, but in practical risk management, risk exposure is estimated day by day on a rolling basis. This produces strong autocorrelation in the estimation errors, and bunching of apparently extreme events. We find that with stochastic volatility, estimation error can increase the probabilities of multi-day events, like three 1% tail events in a row, by several orders of magnitude. Finally, we report empirical results using 40 years of daily S&P 500 returns which confirm that the issues we have examined in simulations are also present in the real world.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121552289","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":"The Cash Flow Sensitivity of Cash","authors":"Heitor Almeida, Murillo Campello, M. Weisbach","doi":"10.2139/ssrn.345840","DOIUrl":"https://doi.org/10.2139/ssrn.345840","url":null,"abstract":"We model a firm’s demand for liquidity to develop a new test of the effect of financial constraints on corporate policies. The effect of financial constraints is captured by the firm’s propensity to save cash out of cash flows (the cash flow sensitivity of cash). We hypothesize that constrained firms should have a positive cash flow sensitivity of cash, while unconstrained firms’ cash savings should not be systematically related to cash flows. We empirically estimate the cash flow sensitivity of cash using a large sample of manufacturing firms over the 1971 to 2000 period and find robust support for our theory. TWO IMPORTANT AREAS OF RESEARCH in corporate finance are the effects of financial constraints on firm behavior and the manner in which firms perform financial management. These two issues, although often studied separately, are fundamentally linked. As originally proposed by Keynes (1936), a major advantage of a liquid balance sheet is that it allows firms to undertake valuable projects when they arise. However, Keynes also argued that the importance of balance sheet liquidity is influenced by the extent to which firms have access to external capital markets (p. 196). If a firm has unrestricted access to external capital— that is, if a firm is financially unconstrained—there is no need to safeguard against future investment needs and corporate liquidity becomes irrelevant. In contrast, when the firm faces financing frictions, liquidity management may become a key issue for corporate policy. Despite the link between financial constraints and corporate liquidity demand, the literature that examines the effects of financial constraints on firm behavior has traditionally focused on corporate investment demand. 1 In an influential paper, Fazzari, Hubbard, and Petersen (1988) propose that when firms face financing constraints, investment spending will vary with the availability of internal funds, rather than just with the availability of positive net present","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122941853","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":"Stock Grants as a Commitment Device","authors":"Gian Luca Clementi, Thomas F. Cooley, Cheng Wang","doi":"10.2139/SSRN.329629","DOIUrl":"https://doi.org/10.2139/SSRN.329629","url":null,"abstract":"A large and increasing fraction of the value of executives' compensation is accounted for by security grants. However, in most models of executive compensation, the optimal allocation can be implemented through a sequence of state-contingent cash payments. Security awards are redundant. In this paper we develop a dynamic model of managerial compensation where neither the firm nor the manager can commit to long-term contracts. We show that, in this environment, if stock grants are not used, then the optimal contract collapses to a series of short term contracts. When stock grants are used, however, nonlinear intertemporal schemes can be implemented to achieve better risk-sharing and higher firm value.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131453756","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":"Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse","authors":"Ekkehart Boehmer, Gideon Saar, Lei Yu","doi":"10.2139/ssrn.368102","DOIUrl":"https://doi.org/10.2139/ssrn.368102","url":null,"abstract":"We study pre-trade transparency by looking at the introduction of NYSE’s OpenBook service that provides limit-order book information to traders off the exchange floor. We find that traders attempt to manage limit-order exposure: They submit smaller orders and cancel orders faster. Specialists’ participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre-trade transparency affects investors’ trading strategies and can improve certain dimensions of market quality. THE PROLIFERATION OF NEW EXCHANGES and trading platforms in the United States and abroad brings to the forefront many issues in market design. Should a market have at its core an electronic limit-order book? What possible roles can market makers play? What information should market participants observe about order flow and prices? These issues have implications for investor trading strategies, specialist behavior, market liquidity, the informational efficiency of prices, and ultimately for investor welfare. We investigate a key feature of market design: transparency, or the ability of market participants to observe information in the trading process. Our focus is on a particular form of transparency: the ability of market participants to observe the pending trading interests of other participants, or in other words, the content of the limit-order book. Knowledge about buying and selling interest can be used both to refine one’s inference about the value of a","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132998966","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":"Comparative Value Relevance Among German, U.S. And International Accounting Standards: A German Stock Market Perspective","authors":"Eli Bartov, Stephen R. Goldberg, Myungsun Kim","doi":"10.2139/SSRN.316525","DOIUrl":"https://doi.org/10.2139/SSRN.316525","url":null,"abstract":"In recent years, German companies report consolidated financial statements under German GAAP, U.S. GAAP, or International Accounting Standards (IAS). Market observers, researchers, and regulators have argued that financial statements prepared under the shareholder (or investor) model, such as U.S. GAAP or IAS, provide better information than financial statements prepared under the stakeholder model (German GAAP). They further have argued that U.S. GAAP is more rigorously defined and, therefore, provides superior information to IAS. We investigate comparative value relevance, measured as the slope coefficient of the returns/earnings regression. Our results are consistent with expectations. Within our sample of German companies traded on German stock exchanges, value relevance of U.S. GAAP based earnings is higher than that of IAS based earnings, which in turn is more value relevant than earnings produced under German GAAP. A major contribution of this research is that, unlike prior research, we measure stock returns for all sample firms in the German stock market only, and therefore are not reliant on the perhaps strong assumption underlying prior studies of similarity of pricing across markets domiciled in different countries.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129651029","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":"Accounting-Based Valuation and Changing Interest Rates","authors":"Dhananjay K. Gode, James A. Ohlson","doi":"10.2139/ssrn.309752","DOIUrl":"https://doi.org/10.2139/ssrn.309752","url":null,"abstract":"We generalize Ohlson's (1995) model to stochastic interest rates while making no specific assumptions about the stochastic process of interest rates. Our analysis of the case when earnings suffice for valuation yields three insights. (1) In the valuation function, the multiplier for forthcoming earnings depends on the current rate, but the multiplier for current earnings depends on the lagged rate. (2) In the residual earnings dynamic, the persistence of residual earnings increases in the current rate and decreases in the lagged rate. (3) In the earnings dynamic, the traditional random walk requires an additional term, current earnings multiplied by the percentage change in interest rates.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116966042","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":"The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality","authors":"E. Altman, Brooks Brady, Andrea Resti, A. Sironi","doi":"10.2139/ssrn.314719","DOIUrl":"https://doi.org/10.2139/ssrn.314719","url":null,"abstract":"This paper analyzes the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship. Moreover, it simulates the effects on mandatory capital requirements like those proposed in 2001 by the Basel Committee on Banking Supervision. We present the analysis and results in four distinct sections. The first section examines the literature of the last three decades of the various structural-form, closed-form and other credit risk and portfolio credit value-at-risk (VaR) models and the way they explicitly or implicitly treat the recovery rate variable. Section 2 presents simulation results under three different recovery rate scenarios and examines the impact of these scenarios on the resulting risk measures: our results show a significant increase in both expected and unexpected losses when recovery rates are stochastic and negatively correlated with default probabilities. In Section 3, we empirically examine the recovery rates on corporate bond defaults, over the period 1982-2000. We attempt to explain recovery rates by specifying a rather straightforward statistical least squares regression model. The central thesis is that aggregate recovery rates are basically a function of supply and demand for the securities. Our econometric univariate and multivariate time series models explain a significant portion of the variance in bond recovery rates aggregated across all seniority and collateral levels. Finally, in Section 4 we analyze how the link between default probability and recovery risk would affect the procyclicality effects of the New Basel Capital Accord, due to be released in 2002. We see that, if banks use their own estimates of LGD (as in the \"advanced\" IRB approach), an increase in the sensitivity of banks' LGD due to the variation in PD over economic cycles is likely to follow. Our results have important implications for just about all portfolio credit risk models, for markets which depend on recovery rates as a key variable (e.g., securitizations, credit derivatives, etc.), for the current debate on the revised BIS guidelines for capital requirements on bank credit assets, and for investors in corporate bonds of all credit qualities.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121426829","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":"A New Approach to the Duo-Factor-Model of Return and Volume","authors":"M. Cremers, J. Mei","doi":"10.2139/ssrn.303287","DOIUrl":"https://doi.org/10.2139/ssrn.303287","url":null,"abstract":"This paper introduces a recently developed consistent statistic by Bai and Ng (2002) to determine the number of factors in an approximate multifactor model. We use this new approach to study a recent work by Lo and Wang (2000), which shows that a multifactor asset-pricing model not only imposes factor restrictions on stock returns but on trading volume as well. We explicitly test their theoretical model restriction using individual stock and turnover data from NYSE and AMEX from 1962 to 1996. While we find that the duo-factor model captures a great deal of common variation of return and trading volume, the data rejects a model restriction that excess return and turnover have the same number of systematic factors. We decompose excess return and turnover into systematic and idiosyncratic components. We discover a significant increase in the variation of idiosyncratic turnover through time, analogous to the finding of a notable increase in firm-specific volatility by Campbell, Lettau, Malkiel and Xu (2001). We also find significant co-movements between volatility and turnover at the systematic levels. Our findings support the view that trading volume is not purely random but driven by trading activities associated with macroeconomic and firm news.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125233885","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":"International Trade in Services: More than Meets the Eye","authors":"L. White","doi":"10.1002/9780470757697.CH17","DOIUrl":"https://doi.org/10.1002/9780470757697.CH17","url":null,"abstract":"In this paper I present an overview of international trade in financial services. Though often intangible and \"invisible\", trade in services is important, accounting for almost a fifth of total world trade in 2000; and trade in services has been growing in both absolute and relative terms, thoughgrowth was more rapid in the 1980s than in the 1990s. The international negotiating framework for reducing barriers to trade in services the General Agreement on Trade in Services (GATS) came into existence in 1995, as part of the World Trade Organization (WTO). The GATS has thus far had only limited success in achieving reductions in barriers to trade in services, though a negotiating round among member countries is currently under way. This slow progress is largelydue to the extensive national regulation that frequently surrounds services and the entry (and trade) barriers that are often part of that regulation. The structure of the GATS document itself, as well as the WTO's post-Seattle defensiveness, reflects the political sensitivity of these national regulatory issues; but this sensitivity, unfortunately, has impeded progress in reducing trade barriers.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131734459","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}