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EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)最新文献

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Options in Compensation: Promises and Pitfalls 补偿的选择:承诺和陷阱
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2014-01-31 DOI: 10.2139/ssrn.906107
Christian Riis Flor, Hans Frimor, Claus Munk
{"title":"Options in Compensation: Promises and Pitfalls","authors":"Christian Riis Flor, Hans Frimor, Claus Munk","doi":"10.2139/ssrn.906107","DOIUrl":"https://doi.org/10.2139/ssrn.906107","url":null,"abstract":"type=\"main\"> We derive the optimal compensation contract in a principal–agent setting in which outcome is used to provide incentives for both effort and risky investments. To motivate investment, optimal compensation entails rewards for high as well as low outcomes, and it is increasing at the mean outcome to motivate effort. If rewarding low outcomes is infeasible, compensation consisting of stocks and options is a near-efficient means of overcoming the manager's induced aversion to undertaking risky investments, whereas stock compensation is not. However, stock plus option compensation may induce excessively risky investments, and capping pay can be important in curbing such behavior.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115135255","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: 17
Do Cash Distributions Justify Share Prices? 现金分配能证明股价合理吗?
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2008-08-20 DOI: 10.2139/ssrn.922474
Claudio Loderer, Lukáš Roth
{"title":"Do Cash Distributions Justify Share Prices?","authors":"Claudio Loderer, Lukáš Roth","doi":"10.2139/ssrn.922474","DOIUrl":"https://doi.org/10.2139/ssrn.922474","url":null,"abstract":"We ask whether corporations pay out the cash that shareholders anticipate and find consistent evidence. We study the firms traded on the NYSE, the AMEX, and the Nasdaq in 1926 to 2004. Over 30-year investment horizons, corporate cash distributions are commensurate with initial stock prices, assuming the contemporaneous risk-free rates and the risk premiums assessed in the literature. Perhaps more important, riskier stocks pay out more cash during the subsequent years, although with greater volatility. Moreover, terminal stock prices decline in importance as the investment horizon grows longer. Relative to their prices, however, very large firms appear to pay too much cash, and tiny firms too little.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128167978","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: 0
Excess Comovement in International Equity Markets: Evidence from Cross-Border Mergers 国际股票市场的过度变动:来自跨国并购的证据
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2008-08-01 DOI: 10.2139/ssrn.905063
Ian A Cooper, R. Brealey, E. Kaplanis
{"title":"Excess Comovement in International Equity Markets: Evidence from Cross-Border Mergers","authors":"Ian A Cooper, R. Brealey, E. Kaplanis","doi":"10.2139/ssrn.905063","DOIUrl":"https://doi.org/10.2139/ssrn.905063","url":null,"abstract":"Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors related to changes in the operations of the firm or merger synergy and find that it cannot. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128273180","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: 26
Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show 交易还是不交易?大收益博弈节目中风险下的决策
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2008-03-01 DOI: 10.1257/AER.98.1.38
T. Post, Martijn J. van den Assem, Guido Baltussen, R. Thaler
{"title":"Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show","authors":"T. Post, Martijn J. van den Assem, Guido Baltussen, R. Thaler","doi":"10.1257/AER.98.1.38","DOIUrl":"https://doi.org/10.1257/AER.98.1.38","url":null,"abstract":"We examine the risky choices of contestants in the popular TV game show “Deal or No Deal” and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion decreases after earlier expectations have been shattered by unfavorable outcomes or surpassed by favorable outcomes. Our results point to reference-dependent choice theories such as prospect theory, and suggest that path-dependence is relevant, even when the choice problems are simple and well-defined, and when large real monetary amounts are at stake.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116871852","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: 428
Knowhow, Core Competencies, and the Choice between Merging, Allying, and Buying Assets 专业知识、核心竞争力以及在合并、结盟和购买资产之间的选择
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2007-01-01 DOI: 10.2139/ssrn.890242
Michel A. Habib, Pierre Mella-Barral
{"title":"Knowhow, Core Competencies, and the Choice between Merging, Allying, and Buying Assets","authors":"Michel A. Habib, Pierre Mella-Barral","doi":"10.2139/ssrn.890242","DOIUrl":"https://doi.org/10.2139/ssrn.890242","url":null,"abstract":"We characterize the conditions under which two firms choose to (i) merge, (ii) form an alliance, or (iii) trade assets. For that purpose, we distinguish between the firms' assets, their knowhow, and their core competencies. We show that a merger is chosen when the two firms have similar core competencies. When one firm has markedly higher core competencies than the other, that firm operates the assets separately if it also has markedly higher knowhow. Finally, an alliance is chosen when the firm with markedly higher core competencies has markedly lower knowhow.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126942815","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: 3
An Adverse-Selection Explanation of Momentum: Theory and Evidence 动量的逆向选择解释:理论与证据
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2007-01-01 DOI: 10.2139/ssrn.890462
{"title":"An Adverse-Selection Explanation of Momentum: Theory and Evidence","authors":"","doi":"10.2139/ssrn.890462","DOIUrl":"https://doi.org/10.2139/ssrn.890462","url":null,"abstract":"This paper rationalizes momentum in a competitive market with information asymmetry and fixed transaction costs. The existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and induces further adverse selection in quantity. The adverse selection in quantity drives a wedge between returns inferred from observable prices and returns obtained by an uninformed investor. This discrepancy becomes most pronounced when information asymmetry accompanies unbalanced non-information-driven trades. Momentum thus arises when uninformed investors accommodate sells (buys) by informed investors who unwind their positions upon the realization of strong (weak) stock performance. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. In addition, an empirical proxy for exploitable information asymmetry forecasts the strength of momentum for extreme performers in the recent past.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125283755","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: 3
Optimal Risk Transfer, Monitored Finance and Real Investment Activity 最佳风险转移，监控金融和实际投资活动
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-07-07 DOI: 10.2139/ssrn.903086
Gabriella Chiesa
{"title":"Optimal Risk Transfer, Monitored Finance and Real Investment Activity","authors":"Gabriella Chiesa","doi":"10.2139/ssrn.903086","DOIUrl":"https://doi.org/10.2139/ssrn.903086","url":null,"abstract":"We examine the implications of (optimal) credit risk transfer (CRT) for bank-loan monitoring and financial intermediation. Loans are subject to idiosyncratic risks and to common risk factor. We find that: i) (optimal) CRT enhances loan monitoring and expands financial intermediation, by contrast to previous literature; ii) optimal CRT's reference asset is loan portfolio; in line with the large development of portfolio products. The intuition is that an optimal contract for the bank to raise finance makes use of the information conveyed by loan-portfolio outcome and rewards the bank as much as possible for the outcomes that signal monitoring: Conditional on monitoring, bank is insulated from exogenous risk (common factor): The amount of capital per lending unit it needs to inject to find it incentive-compatible to monitor attains the minimum; incentive-based lending capacity attains the maximum level. Deposit/debt financing is sub-optimal. It under-rewards monitoring: bank faces a tighter constraint on outside finance; incentive-based lending capacity is smaller. Optimal CRT amends to that: It makes use of the information conveyed by loan portfolio outcome so as to insulate monitoring bank from exogenous risk. Monitoring incentives are enhanced: incentive-based lending capacity attains the maximum. Loan competition is made fiercer: spreads fall, aggregate monitored finance and real investment activity expand. Bank excess return on capital and CRT activity are positively correlated.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122487610","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: 5
1/N
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-22 DOI: 10.2139/ssrn.911512
V. DeMiguel, Lorenzo Garlappi, R. Uppal
{"title":"1/N","authors":"V. DeMiguel, Lorenzo Garlappi, R. Uppal","doi":"10.2139/ssrn.911512","DOIUrl":"https://doi.org/10.2139/ssrn.911512","url":null,"abstract":"In this paper, we evaluate the out-of-sample performance of the portfolio policy from the sample-based mean-variance portfolio model and the various extensions of this model, designed to reduce the impact of estimation error relative to the benchmark strategy of investing a fraction 1/N of wealth in each of the N assets available. Of the fourteen models of optimal portfolio choice that we evaluate across seven empirical datasets, we find that none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover. This finding indicates that, out of sample, the gain from optimal diversification is more than offset by estimation error. To gauge the severity of estimation error, we derive analytically the length of the estimation window needed for the sample-based mean-variance strategy to outperform the 1/N benchmark; for parameters calibrated to U.S. stock market data, we find that, for a portfolio with only 25 assets, the estimation window needed is more than 3,000 months, and for a portfolio with 50 assets, it is more than 6,000 months, although in practice these parameters are estimated using 120 months of data. Using simulated data, we further document that even the various extensions to the sample-based mean-variance model designed to deal with estimation error reduce only moderately the estimation window needed to outperform the naive 1/N benchmark. This suggests that there are still many \"miles to go\" before the gains promised by optimal portfolio choice can actually be realized out of sample.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125774573","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: 0
On the Time-Series of Expected Portfolio Returns; Fama and French's (1993) Three-Factor Model 投资组合预期收益的时间序列研究Fama and French(1993)三因素模型
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-11 DOI: 10.2139/ssrn.904300
Stylianos Paganopoulos, Peter Taylor
{"title":"On the Time-Series of Expected Portfolio Returns; Fama and French's (1993) Three-Factor Model","authors":"Stylianos Paganopoulos, Peter Taylor","doi":"10.2139/ssrn.904300","DOIUrl":"https://doi.org/10.2139/ssrn.904300","url":null,"abstract":"The exact specification of the three-factor model of Fama & French (1993) has eluded and defied even its own creators. Fama & French (1996) try to juxtapose the specification of their ad hoc model in the context of the ICAPM and APT framework. However, the evidence that has been produced is not sufficiently conclusive. In this paper, we derive an exact specification of the three-factor model of Fama & French (1993) irrespectively of the assumptions that underline the ICAPM and APT frameworks.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123642475","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: 0
Money Market Derivatives and the Allocation of Liquidity Risk in the Banking Sector 货币市场衍生工具与银行业流动性风险的分配
EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting) Pub Date : 2006-06-01 DOI: 10.2139/ssrn.908184
Falko Fecht, Hendrik Hakenes
{"title":"Money Market Derivatives and the Allocation of Liquidity Risk in the Banking Sector","authors":"Falko Fecht, Hendrik Hakenes","doi":"10.2139/ssrn.908184","DOIUrl":"https://doi.org/10.2139/ssrn.908184","url":null,"abstract":"Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model that allows us to evaluate the efficiency of different money market derivatives regarding these two objectives. We assume that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by rationing liquidity. Using forward contracts, the large bank can credibly commit not to squeeze small banks in the event of a liquidity shortage. But forward contracts do not provide incentives for the large bank to pass on its information to other banks. In contrast, lines of credit between the large and the small banks ensure that the large bank provides its information to other banks.","PeriodicalId":241091,"journal":{"name":"EFA Submission Session (check box to submit to EFA 2006 Zurich Meeting)","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130356077","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: 1
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