New York University Stern School of Business Research Paper Series最新文献_第9页

New York University Stern School of Business Research Paper Series Pub Date : 2002-01-29 DOI: 10.2139/ssrn.302025

Nicolae Gârleanu, L. Pedersen

引用次数: 8

Allocations, Adverse Selection and Cascades in Ipos: Evidence from the Tel Aviv Stock Exchange ipo中的配置、逆向选择和级联:来自特拉维夫证券交易所的证据

New York University Stern School of Business Research Paper Series Pub Date : 2002-01-01 DOI: 10.2139/ssrn.293719

Y. Amihud, Shmuel Hauser, Amir Kirsh

引用次数: 211

Tree Induction Vs Logistic Regression: A Learning Curve Analysis 树归纳与逻辑回归:学习曲线分析

New York University Stern School of Business Research Paper Series Pub Date : 2001-12-01 DOI: 10.1162/153244304322972694

C. Perlich, F. Provost, J. Simonoff

{"title":"Tree Induction Vs Logistic Regression: A Learning Curve Analysis","authors":"C. Perlich, F. Provost, J. Simonoff","doi":"10.1162/153244304322972694","DOIUrl":"https://doi.org/10.1162/153244304322972694","url":null,"abstract":"Tree induction and logistic regression are two standard, off-the-shelf methods for building models for classification. We present a large-scale experimental comparison of logistic regression and tree induction, assessing classification accuracy and the quality of rankings based on class-membership probabilities. We use a learning-curve analysis to examine the relationship of these measures to the size of the training set. The results of the study show several things. (1) Contrary to some prior observations, logistic regression does not generally outperform tree induction. (2) More specifically, and not surprisingly, logistic regression is better for smaller training sets and tree induction for larger data sets. Importantly, this often holds for training sets drawn from the same domain (that is, the learning curves cross), so conclusions about induction-algorithm superiority on a given domain must be based on an analysis of the learning curves. (3) Contrary to conventional wisdom, tree induction is effective at producing probability-based rankings, although apparently comparatively less so for a given training-set size than at making classifications. Finally, (4) the domains on which tree induction and logistic regression are ultimately preferable can be characterized surprisingly well by a simple measure of the separability of signal from noise.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128277461","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}

引用次数: 375

Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structure on Investor Welfare 收费演讲:信号、风险分担及收费结构对投资者福利的影响

New York University Stern School of Business Research Paper Series Pub Date : 2001-10-01 DOI: 10.1093/RFS/15.5.1465

Sanjiv Ranjan Das, R. Sundaram

{"title":"Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structure on Investor Welfare","authors":"Sanjiv Ranjan Das, R. Sundaram","doi":"10.1093/RFS/15.5.1465","DOIUrl":"https://doi.org/10.1093/RFS/15.5.1465","url":null,"abstract":"The fee structure used to compensate investment advisers is central to the study of fund design, and affects investor welfare in at least three ways: (i) by influencing the portfolio-selection incentives of the adviser, (ii) by affecting risk-sharing between adviser and investor, and (iii) through its use as a signal of quality by superior investment advisers. In this paper, we describe a model in which all of these features are present, and use it to compare two popular and contrasting forms of fee contracts, the \"fulcrum \" and the \"incentive \" types, from the standpoint of investor welfare. While the former has some undeniably attractive features (that have, in particular, been used by regulators to justify its mandatory use in a mutual fund context), we find surprisingly that it is the latter that is often more attractive from the standpoint of investor welfare. Our model is a flexible one; our conclusions are shown to be robust to many extensions of interest. The results are also extended to consider unrestricted fee structures and competitive markets for fund managers. Copyright 2002, Oxford University Press.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"213 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132159276","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}

引用次数: 135

Geographic Diversification and Agency Costs of Debt of Multinational Firms 地域多元化与跨国公司债务的代理成本

New York University Stern School of Business Research Paper Series Pub Date : 2001-09-09 DOI: 10.2139/ssrn.282850

John A. Doukas, Christos Pantzalis

{"title":"Geographic Diversification and Agency Costs of Debt of Multinational Firms","authors":"John A. Doukas, Christos Pantzalis","doi":"10.2139/ssrn.282850","DOIUrl":"https://doi.org/10.2139/ssrn.282850","url":null,"abstract":"This paper examines the agency conflicts between shareholders and bondholders of multinational and non-multinational firms and provides an explanation for the puzzle that multinational firms use less long-term debt but more short-term debt than domestic firms. Using a sample of 6,951 firm-year observations for multinational and domestic firms over the 1988-1994 period, we find that alternative measures of agency costs have statistically significant negative effects on firm long-term leverage. The results, however, also show that the negative effects of agency costs of debt on long-term leverage are significantly greater for multinational than non-multinational firms. It is documented that the effect of the agency costs of debt on leverage are increased by the firm's degree of foreign involvement. The evidence shows that firm's increasing foreign involvement exacerbates agency costs of debt leading to lower (greater) use of long-term (short-term) debt financing. This result is also confirmed using alternative measures of foreign involvement. The evidence is consistent with the view that multinational corporations are susceptible to higher agency costs of debt than domestic corporations because geographic diversity renders active monitoring more difficult and expensive in comparison to domestic firms. The results fail to support the view that MNCs' lower long-term debt ratios are due to the advantages of the internal capital markets.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121494846","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}

引用次数: 233

Value at Risk Models in Finance 金融中的风险价值模型

New York University Stern School of Business Research Paper Series Pub Date : 2001-08-01 DOI: 10.2139/ssrn.356220

S. Manganelli, R. Engle

引用次数: 315

Art as an Investment and the Underperformance of Masterpieces 艺术作为一种投资和杰作的表现不佳

New York University Stern School of Business Research Paper Series Pub Date : 2001-08-01 DOI: 10.2139/ssrn.311701

Jiang Mei, Michael J. Moses

引用次数: 462

What S in it for Me? Ceos Whose Firms are Acquired 这对我有什么好处?公司被收购的ceo

New York University Stern School of Business Research Paper Series Pub Date : 2001-05-01 DOI: 10.1093/RFS/HHG034

Jay C. Hartzell, E. Ofek, D. Yermack

引用次数: 420

Incentives for Voluntary Disclosure 自愿披露的激励措施

New York University Stern School of Business Research Paper Series Pub Date : 2001-04-01 DOI: 10.2139/ssrn.155328

J. Ronen

引用次数: 74

Hedging Volatility Risk 对冲波动风险

New York University Stern School of Business Research Paper Series Pub Date : 2000-11-01 DOI: 10.2139/ssrn.319011

M. Brenner, Ernest Y. Ou, Jin E. Zhang

{"title":"Hedging Volatility Risk","authors":"M. Brenner, Ernest Y. Ou, Jin E. Zhang","doi":"10.2139/ssrn.319011","DOIUrl":"https://doi.org/10.2139/ssrn.319011","url":null,"abstract":"Volatility risk has played a major role in several financial debacles (for example,Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable underlying asset.The objective of this paper is to introduce a new volatility instrument, an option on a straddle, which can be used to hedge volatility risk. The design and valuation ofsuch an instrument are the basic ingredients of a successful financial product. Unlike theproposed volatility index option, the underlying of this proposed contract is a traded atthe-money-forward straddle, which should be more appealing to potential participants. In order to value these options, we combine the approaches of compound options and stochastic volatility. We use the lognormal process for the underlying asset, the Orenstein-Uhlenbeck process for volatility, and assume that the two Brownian motions are independent. Our numerical results show that the straddle option price is very sensitive to the changes in volatility which means that the proposed contract is indeed a very powerful instrument to hedge volatility risk.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131650112","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}

引用次数: 76