Baruch College Zicklin School of Business Research Paper Series最新文献_第2页

Should Management Earnings Guidance be Pooled? Classifying Management Earnings Guidance into Capital Market, Opportunistic, and Disclose or Abstain Rationales: Implications for Research 管理层盈利指引应该集中吗?将管理层盈余指引分类为资本市场、机会主义和披露或弃权理由:研究意义

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2012-10-24 DOI: 10.2139/ssrn.1978968

E. Li, Charles E. Wasley, J. Zimmerman

{"title":"Should Management Earnings Guidance be Pooled? Classifying Management Earnings Guidance into Capital Market, Opportunistic, and Disclose or Abstain Rationales: Implications for Research","authors":"E. Li, Charles E. Wasley, J. Zimmerman","doi":"10.2139/ssrn.1978968","DOIUrl":"https://doi.org/10.2139/ssrn.1978968","url":null,"abstract":"Prior studies identify several motives for why firms release management earnings forecasts (MFs). A common feature of such studies is they pool MFs when drawing inferences about a specific motive. By ignoring the heterogeneous rationales managers have to issue MFs, pooling could lead to biased inferences. To address the issue, we develop an approach that classifies MFs into one of the three rationales: capital market incentives, compliance with Rule 10b-5 to disclose material nonpublic information or abstain from trading, or managerial opportunism. Our classification scheme indicates that 65% of MFs are released for capital market incentives, 22% are issued to comply with Rule 10b-5, and 13% are opportunistic. Four sets of empirical tests provide construct validity for the classification scheme. Such tests include replications of earlier studies where we find that our MF classification scheme increases power and changes prior inferences regarding MFs. Classifying MFs into our three categories will aid future researchers in constructing better specified and more powerful tests of the economic determinants and consequences of management's decision to issue MFs.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126035849","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: 20

Pricing of Firm Specific Jump Risk 企业特定跳跃风险的定价

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2012-10-23 DOI: 10.2139/ssrn.2148239

Marius Ascheberg, H. Kraft, Yildiray Yildirim

引用次数: 0

Tracking Variation in Systemic Risk at Us Banks During 1974-2013 1974-2013年美国银行系统性风险变化追踪

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2012-05-01 DOI: 10.2139/ssrn.2642852

Armen Hovakimian, E. Kane, L. Laeven

{"title":"Tracking Variation in Systemic Risk at Us Banks During 1974-2013","authors":"Armen Hovakimian, E. Kane, L. Laeven","doi":"10.2139/ssrn.2642852","DOIUrl":"https://doi.org/10.2139/ssrn.2642852","url":null,"abstract":"This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data. The measure models the credit enhancement taxpayers provide to individual banks in the Merton tradition (1974) as a combination put option for the deep tail of bank losses and a knock-in stop-loss call on bank assets. This model expresses the value of taxpayer loss exposure from a string of defaults as the value of this combination option written on the portfolio of industry assets. The exercise price of the call is the face value of the debt of the entire sector. We conceive of an individual bank’s systemic risk as its contribution to the value of this sector-wide option on the financial safety net. To the extent that authorities are slow to see bank losses or reluctant to exercise the call, the government itself becomes a secondary source of systemic risk. We apply our model to quarterly data over the period 1974-2013. The model indicates that systemic risk reached unprecedented highs during the financial crisis years 2008-2009, and that bank size, leverage, and asset risk are key drivers of systemic risk.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123988090","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: 46

The Value of Clawbacks 回扣的价值

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2011-06-17 DOI: 10.2139/ssrn.1866527

Paquita Y. Davis-Friday, Abraham N. Fried, N. T. Jenkins

引用次数: 4

Moderating Effect of Affect on Decision Making in Small and Medium Sized Enterprises 影响对中小企业决策的调节作用

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2010-06-01 DOI: 10.2139/ssrn.1691103

Seonghee Cho, Rachel S. Shinnar, L. Ziamou

引用次数: 0

The Doubly Rare Recession of 2007: Consumer Debt Limit Recession; Balance Sheet Recession 2007年的双重罕见衰退:消费者债务上限衰退资产负债表衰退

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2009-07-04 DOI: 10.2139/SSRN.1429863

P. Gutmann

引用次数: 0

Response to the FASB's Preliminary Views on Financial Instruments with Characteristics of Equity 对美国财务会计准则委员会关于具有权益特征的金融工具的初步意见的回应

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2008-05-30 DOI: 10.2139/SSRN.1328591

T. Stober, D. R. Carmichael, Theodore E. Christensen, R. Colson, K. Jamal, Stephen Moehrle, Shivaram Rajgopal, S. Sunder, R. Watts

引用次数: 13

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments 方差风险动态、方差风险溢价和最优方差互换投资

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2007-11-16 DOI: 10.2139/ssrn.903728

Markus Leippold, Liuren Wu, Daniel Egloff

{"title":"Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments","authors":"Markus Leippold, Liuren Wu, Daniel Egloff","doi":"10.2139/ssrn.903728","DOIUrl":"https://doi.org/10.2139/ssrn.903728","url":null,"abstract":"With increasing appreciation of the fact that stock return variance is stochastic and variance risk is heavily priced, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the most actively traded of these products. It pays at expiry the difference between the realized return variance and a fixed rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap rate quotes at five maturities. With the data, we first exploit the information in both the time series and the term structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then study both theoretically and empirically how investors can use variance swap contracts across different maturities to span the variance risk and to revise their dynamic asset allocation decisions. We find that with the swap contract to span the variance risk, an investor increases her investment in the underlying stock. In addition, the investor's indirect utility increases significantly when allowed to span the volatility risk using variance swap contracts. Finally, an out-of-sample study confirms that the gains from including variance swaps into the portfolio mix are large.","PeriodicalId":130859,"journal":{"name":"Baruch College Zicklin School of Business Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115487633","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: 46

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies 随机风险溢价、货币期权的随机偏度与国际经济中的随机折现因子

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2006-12-20 DOI: 10.2139/ssrn.720501

P. Carr, Liuren Wu, G. Bakshi

引用次数: 185

Divergence in Accounting Profitability: Accounting Conservatism, New Firms, and Industry Attributes 会计盈利能力的分化:会计稳健性、新公司和行业属性

Baruch College Zicklin School of Business Research Paper Series Pub Date : 2006-08-01 DOI: 10.2139/ssrn.939127

M. Darrough, Jianming Ye

引用次数: 0