EFA 2002 Berlin Meetings Presentation Papers (Archive)最新文献

International Portfolio Diversification: Currency, Industry and Country Effects Revisited 国际投资组合多元化:货币、行业和国家影响再谈

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2009-12-01 DOI: 10.2139/ssrn.302353

Frans de Roon, E. Eiling, Pierre Hillion, Bruno Gerard

引用次数: 61

The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures 引入欧元对外汇风险敞口的影响

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2006-10-01 DOI: 10.2139/ssrn.299641

Söhnke M. Bartram, G. Karolyi

引用次数: 157

Corporate Cash Holdings: An Empirical Investigation of UK Companies 企业现金持有量:对英国公司的实证调查

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2004-09-01 DOI: 10.2139/ssrn.302313

Aydin Ozkan, Neslihan Ozkan

引用次数: 1059

Modelling the Implied Probability of Stock Market Declines 股票市场下跌的隐含概率建模

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-06-01 DOI: 10.2139/ssrn.300199

Ernst Glatzer, Martin Scheicher

引用次数: 3

The Managerial Labour Market and the Governance Role of Shareholder Control Structures in the UK 管理劳动力市场与英国股东控制结构的治理作用

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-05-01 DOI: 10.2139/ssrn.302308

G. Trojanowski, L. Renneboog

{"title":"The Managerial Labour Market and the Governance Role of Shareholder Control Structures in the UK","authors":"G. Trojanowski, L. Renneboog","doi":"10.2139/ssrn.302308","DOIUrl":"https://doi.org/10.2139/ssrn.302308","url":null,"abstract":"We simultaneously analyze two mechanisms of the managerial labor market: CEO turnover and monetary remuneration schemes.Sample selection models and hazard analyses applied to a random sample of 250 firms listed on the London Stock Exchange over a six-year pre-Cadbury period show that managerial remuneration and the termination of labor contracts play an important role in mitigating agency problems between managers and shareholders.We find that both the CEO's industry-adjusted monetary compensation and their replacement are strongly performance-sensitive.Top executive turnover is shown to serve as a disciplinary mechanism for corporate underperformance, whereas the level of monetary compensation rewards good performance.We also investigate whether specific corporate governance mechanisms (different types of blockholders or of boards of directors) have an impact on managerial disciplining or on the pay-for-performance contracts.There is little evidence of outside shareholder monitoring and CEOs with strong voting power successfully resisting replacement irrespective of corporate performance.This case of strong managerial entrenchment is even exacerbated when the CEO also holds the position of chairman of the board.In firms with large outside shareholdings, CEO compensation is lower, but outside shareholder do not impose a stricter performance-related incentive remuneration scheme.When insiders have strong voting power, the CEOs remuneration is lower except when the stock price performance is poor: it seems that when the CEOs wealth resulting from their investment goes down due to decreasing stock prices, the CEOs cash compensation is higher.The presence of a remuneration committee has no impact on remuneration.Finally, we find strong support for the incentive effect-hypothesis of remuneration: CEOs with higher levels of monetary compensation attain better subsequent accounting and stock price-based measures of corporate performance.","PeriodicalId":172053,"journal":{"name":"EFA 2002 Berlin Meetings Presentation Papers (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124351301","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: 40

Are Two Investors Better than One? 两个投资者比一个投资者好吗?

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-03-23 DOI: 10.2139/ssrn.302140

A. Menichini, P. Simmons

{"title":"Are Two Investors Better than One?","authors":"A. Menichini, P. Simmons","doi":"10.2139/ssrn.302140","DOIUrl":"https://doi.org/10.2139/ssrn.302140","url":null,"abstract":"This paper compares the optimal investor repayment contracts of a firm which has private information over its expost revenues when the finance can be provided by a single or by two investors (say a big shareholder and a group of small dispersed shareholders). Costly monitoring can be carried out by those investors who have a larger stake into the contract. When they are the only investors we use the Khalil-Parigi financial contract with non-contractible monitoring, in which the probabilities of cheating by the firm and monitoring by investors are mutual best responses. The contract is written by the firm knowing that this equilibrium will subsequently occur. With a second group of investors who have no monitoring rights, cheating and monitoring probabilities are chosen in a similar way. The small shareholders learn the results of any monitoring for free. A main result is that without commitment there is a negative correlation between repayments to the two investor groups: the contract uses the small group to smooth out the repayments of the firm optimally. This reduces the incentive for the firm to make false reports and mitigates the investor's incentive to monitor. A second result is that the two investor scenario is Pareto superior to the single investor model. A third result is that the possible extent of this smoothing depends on whether the investors have limited liability; it is found that in some circumstances investors should make repayments to the firm rather than receive them.","PeriodicalId":172053,"journal":{"name":"EFA 2002 Berlin Meetings Presentation Papers (Archive)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117045604","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: 2

Capital Structure and Real Assets: Effects of an Implicit Collateral to Debt Holders 资本结构与实物资产:隐性抵押品对债务持有人的影响

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-02-28 DOI: 10.2139/ssrn.302314

Christian Riis Flor

引用次数: 4

Structural Models of Corporate Bond Pricing: An Empirical Analysis 公司债券定价的结构模型:一个实证分析

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-02-01 DOI: 10.2139/ssrn.302681

Y. Eom, Jing-Zhi Huang, Jean Helwege

{"title":"Structural Models of Corporate Bond Pricing: An Empirical Analysis","authors":"Y. Eom, Jing-Zhi Huang, Jean Helwege","doi":"10.2139/ssrn.302681","DOIUrl":"https://doi.org/10.2139/ssrn.302681","url":null,"abstract":"This paper empirically tests five structural models of corporate bond pricing: Those of Merton (1974), Geske (1977), Leland and Toft (1996), Longstaff and Schwartz (1995), and Collin-Dufresne and Goldstein (2001). We implement the models using a sample of 182 bond prices from firms with simple capital structures during the period 1986-1997. The conventional wisdom is that structural models do not generate spreads as high as those seen in the bond market, and true to expectations we find that the predicted spreads in our implementation of the Merton model are too low. The compound option approach of Geske comes much closer to the spreads observed in the market, on average, but still underpredicts spreads. In contrast, the Leland and Toft model substantially overestimates credit risk on most bonds, and especially so for high coupon bonds. The Longstaff and Schwartz model modifies Merton to incorporate a stochastic interest rate and a correlation between interest rates and firm value. While the correlation and the level of interest rates have little effect, higher interest rate volatility leads to higher predicted spreads. However, this and other features of this model result in spreads that are often too high for risky bonds and too low for safe bonds. The target leverage ratio model of Collin-Dufresne and Goldstein helps to raise the spreads on the bonds that were considered very safe by the Longstaff and Schwartz model, but overall tends toward overestimation of credit risk. We conclude that structural models do not systematically underpredict spreads, as the previous literature implies, but accuracy is a problem. Moreover, some of the simplifications made to date lead to overestimation of credit risk on the riskier bonds while scarcely affecting the spreads of the safest bonds.","PeriodicalId":172053,"journal":{"name":"EFA 2002 Berlin Meetings Presentation Papers (Archive)","volume":"41 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":"131752257","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: 939

Classical Corporation Tax as a Global Means of Tax Harmonization 经典公司税作为全球税收协调的手段

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-02-01 DOI: 10.2139/ssrn.301501

Seppo Kari, J. Ylä-Liedenpohja

引用次数: 25

Comparing Risk-Neutral Probability Density Functions Implied by Option Prices - Market Uncertainty and Ecb-Council Meetings 比较期权价格隐含的风险中性概率密度函数-市场不确定性和欧洲央行理事会会议

EFA 2002 Berlin Meetings Presentation Papers (Archive) Pub Date : 2002-01-01 DOI: 10.2139/ssrn.298779

Martin Mandler

引用次数: 17