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Real Flexibility and Financial Structure: An Empirical Analysis 真实灵活性与财务结构:一个实证分析
HKUST Business School Research Paper Series Pub Date : 1999-10-01 DOI: 10.2139/ssrn.193328
Peter Mackay
{"title":"Real Flexibility and Financial Structure: An Empirical Analysis","authors":"Peter Mackay","doi":"10.2139/ssrn.193328","DOIUrl":"https://doi.org/10.2139/ssrn.193328","url":null,"abstract":"I examine the empirical relation between real flexibility and financial structure. I test whether real flexibility increases debt capacity by lowering default risk and making assets more marketable or decreases debt capacity by facilitating risk shifting and asset substitution. I measure real flexibility as the sensitivity of marginal production and investment decisions to variations in the economic environment. I find that financial leverage is negatively related to production flexibility but positively related to investment flexibility. This split in results suggests that although asset substitution facilitated by investment flexibility can be prevented contractually, risk shifting facilitated by production flexibility is intractable. Copyright 2003, Oxford University Press.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127880599","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: 107
Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds 信贷息差波动的放大:来自澳元欧洲债券的证据
HKUST Business School Research Paper Series Pub Date : 1999-04-01 DOI: 10.2139/ssrn.159648
J. Batten, Craig Ellis, W. Hogan
{"title":"Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds","authors":"J. Batten, Craig Ellis, W. Hogan","doi":"10.2139/ssrn.159648","DOIUrl":"https://doi.org/10.2139/ssrn.159648","url":null,"abstract":"The linear rescaling of the variance of an asset's return is used by many asset pricing models when an annualised risk coefficient is required. However, this approach may not be appropriate for time series, which are not independent and identically distributed (IID). This paper investigates the scaling relationships for daily credit spreads, from January 1995 to May 1998, between AAA-, AA-, and A-rated Australian dollar denominated Eurobonds with maturities of 2, 5, 7, and 10 years. The credit spread return all display similar scaling properties with the estimated standard deviation, based upon a scaling at the square root of time, significantly underestimating the actual level of risk predicted from a normal distribution. These results have implications for risk managers and trading of credit spread instruments.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133649895","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: 9
Linear Contracts and the Double Moral-Hazard 线性契约与双重道德风险
HKUST Business School Research Paper Series Pub Date : 1998-10-01 DOI: 10.2139/ssrn.415380
S. Kim, Susheng Wang
{"title":"Linear Contracts and the Double Moral-Hazard","authors":"S. Kim, Susheng Wang","doi":"10.2139/ssrn.415380","DOIUrl":"https://doi.org/10.2139/ssrn.415380","url":null,"abstract":"This paper studies the characteristics of optimal contracts when the agent is risk-averse in the double moral-hazard situation in which the principal also participates in the production process. It is already known that a simple linear contract is one of many optimal contracts under the double moral-hazard when the agent is risk-neutral. We find that the agent's optimal incentive scheme in this case is unique and non-linear, but less sensitive to output than would be designed under a single moral-hazard. We also find that the linear contract is not robust in the sense that the above unique and non-linear contract does not approach the linear contract as the agent's risk-aversion approaches zero.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122091073","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: 95
Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function 将美式期权的早期行使边界近似为分段指数函数来定价
HKUST Business School Research Paper Series Pub Date : 1997-02-12 DOI: 10.2139/ssrn.362
Nengjiu Ju
{"title":"Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function","authors":"Nengjiu Ju","doi":"10.2139/ssrn.362","DOIUrl":"https://doi.org/10.2139/ssrn.362","url":null,"abstract":"This paper proposes to price an American option by approximating its early exercise boundary as a piece-wise exponential function. Closed-form formulas are obtained in terms of the bases and exponents of the piece-wise exponential function. It is demonstrated that a three-point extrapolation scheme has the accuracy of an 800-time-step binomial tree, but about 130 times faster. An intuitive argument is given to indicate why this seemingly crude approximation works so well. Our method is very simple and easy to implement. Comparisons with other leading competing methods are also included.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"441 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1997-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114001339","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: 130
Effects of Purpose of the Appraisal and Expectation of Validation On Self-Appraisal Leniency 评价目的与确认期望对自我评价宽大的影响
HKUST Business School Research Paper Series Pub Date : 1986-08-01 DOI: 10.1037/0021-9010.71.3.527
J. Farh, J. Werbel
{"title":"Effects of Purpose of the Appraisal and Expectation of Validation On Self-Appraisal Leniency","authors":"J. Farh, J. Werbel","doi":"10.1037/0021-9010.71.3.527","DOIUrl":"https://doi.org/10.1037/0021-9010.71.3.527","url":null,"abstract":"This study examined the effects of purpose of the appraisal and the expectation of validation on selfappraisal leniency. It was hypothesized that self-appraisals conducted under a grading purpose are more lenient than those conducted under a research purpose; self-appraisals obtained under conditions with high expectation of validation are less lenient than those obtained under conditions with low expectation of validation. Using 62 subjects enrolled in two sections of an organizational behavior course, a 2 × 2 factorial experiment was conducted to assess the effect of the purpose of the appraisal and expectation of validation on the amount of leniency in students' self-reports of classroom participation. Both hypotheses were strongly supported in this study. The results were discussed in terms of their relevance and implications for future self-appraisal research.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1986-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121941304","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: 97
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