{"title":"Pension Risk Management with Funding and Buyout Options","authors":"Samuel H. Cox, Yi-Jia Lin, Tianxiang Shi","doi":"10.2139/ssrn.2919884","DOIUrl":"https://doi.org/10.2139/ssrn.2919884","url":null,"abstract":"There has been a surge of interest in recent years from defined benefit pension plan sponsors in de-risking their plans with strategies such as “longevity hedges” and “pension buyouts” (Lin et al., 2015). While buyouts are attractive in terms of value creation, they are capital intensive and expensive, particularly for firms with underfunded plans. The existing literature mainly focuses on the costs and benefits of pension buyouts. Little attention has been paid to how to capture the benefits of de-risking within a plan’s financial means, especially when buyout deficits are significant. To fill this gap, we propose two options, namely a pension funding option and pension buyout option, that provide financing for both underfunded and well funded plans to cover the buyout risk premium and the pension funding deficit, if a certain threshold is reached. To increase market liquidity, we create a transparent pension funding index, calculated from observed capital market indices and publicly available mortality tables as well as pension mandatory contributions, to determine option payoffs. A simulation based pricing framework is then introduced to determine the prices of the proposed pension options. Our numerical examples show that these options are effective and economically affordable. Moreover, our sensitivity analyses demonstrate the reliability of our pricing models.","PeriodicalId":189265,"journal":{"name":"Fox: Marketing & Supply Chain Management (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115168936","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":"Social Media and Firm Equity Value","authors":"Xueming Luo, J. Zhang, Wenjing Duan","doi":"10.1287/isre.1120.0462","DOIUrl":"https://doi.org/10.1287/isre.1120.0462","url":null,"abstract":"Companies have increasingly advocated social media technologies to transform businesses and improve organizational performance. This study scrutinizes the predictive relationships between social media and firm equity value, the relative effects of social media metrics compared with conventional online behavioral metrics, and the dynamics of these relationships. The results derived from vector autoregressive models suggest that social media-based metrics Web blogs and consumer ratings are significant leading indicators of firm equity value. Interestingly, conventional online behavioral metrics Google searches and Web traffic are found to have a significant yet substantially weaker predictive relationship with firm equity value than social media metrics. We also find that social media has a faster predictive value, i.e., shorter “wear-in” time, than conventional online media. These findings are robust to a consistent set of volume-based measures total blog posts, rating volume, total page views, and search intensity. Collectively, this study proffers new insights for senior executives with respect to firm equity valuations and the transformative power of social media.","PeriodicalId":189265,"journal":{"name":"Fox: Marketing & Supply Chain Management (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116682653","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}