Kelley: Finance (Topic)最新文献

{"title":"Contracting in a Continuous-Time Model with Three-Sided Moral Hazard and Cost Synergies","authors":"Nian Yang, Jun Yang, Yu Chen","doi":"10.2139/ssrn.3119398","DOIUrl":"https://doi.org/10.2139/ssrn.3119398","url":null,"abstract":"We study optimal effort and compensation in a continuous-time model with threesided moral hazard and cost synergies. One agent exerts initial effort to start the project; the other two agents exert ongoing effort to manage it. The project generates cash flow at a fixed rate over its lifespan; cash flow stops if a failure occurs. The three agents’ efforts jointly determine the probability of the project’s survival and thus its expected cash flows. We model cost synergies between the two agents exerting ongoing effort as one’s effort reduces the other’s cost of effort. In the optimal contract, the timing of payments reflects the timing of efforts as well as cost synergies across agents. The agent exerting upfront effort claims all cash flows prior to a predetermined cutoff date, and the two agents exerting ongoing effort divide all subsequent cash flows. Delaying payments motivate these two agents to work hard throughout. Between them, the agent with greater degree of moral hazard and bigger impact on reducing the other agent’s cost claims a larger fraction of the cash flow. Our study sheds light on a broad set of contracting problems, such as compensation plans in startups and profit sharing among business partners.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129306312","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":"Efficient Computational Strategies for Dynamic Inventory Liquidation","authors":"Mochen Yang, G. Adomavicius, Alok Gupta","doi":"10.1287/ISRE.2018.0819","DOIUrl":"https://doi.org/10.1287/ISRE.2018.0819","url":null,"abstract":"We examine the dynamic inventory liquidation problem, in which a retailer liquidates a fixed number of identical items over a time period by strategically setting prices periodically according to k...","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133023667","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":"The Real Effects of Tournament Incentives: The Case of Firm Innovation","authors":"Ning Jia, X. Tian, Weining Zhang","doi":"10.2139/ssrn.2732911","DOIUrl":"https://doi.org/10.2139/ssrn.2732911","url":null,"abstract":"This paper examines the effects of promotion-based tournament incentives for non-CEO executives on corporate innovation. We find that firms with greater tournament incentives, which are measured as the pay gap between the CEO and other executives, are associated with a higher level of patent quantity and quality, innovation efficiency, and patent importance and novelty. An instrumental variable approach suggests that the observed relations are unlikely to be caused by endogeneity in tournament incentives. The attraction of talent and the reduction in excessive board interventions appear two plausible underlying mechanisms through which tournament incentives promote firm innovation. Our paper highlights the importance of inter-executive incentive scheme design in encouraging technological innovation.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128107341","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":"A Theory of Optimal Institutional Trading","authors":"C. Holden","doi":"10.2139/ssrn.2470280","DOIUrl":"https://doi.org/10.2139/ssrn.2470280","url":null,"abstract":"I develop a theory of optimal trading by an institutional trader who receives a parent order (i.e., an overall trading request) from a fund manager to buy a specific quantity of a particular stock over a specified time horizon. The trader selects child orders to be submitted each period over the allotted time horizon to a limit order book market. Child orders can be either market orders or limit orders. Limit order prices can be selected from any price on a penny price grid. An unexecuted limit order can be cancelled at any time. The trader’s objective is to minimize the disutility of the fund manager. In the base version of the theory, all child orders are of unit size. I derive an analytic solution for the optimal trading strategy and show that it involves “dynamic aggressiveness.” This means that if the current period limit order executes (doesn’t execute), then the next limit order optimally has a weakly less (weakly more) aggressive price. Next, I extend the theory to: (1) permit child orders of any size, (2) allow the fund manager to have private information about future stock prices, (3) allow the fund manager to be risk averse, and (4) allow four alternative metrics for computing execution cost. I calibrate the model to real-world data and optimize it numerically. I find that if the fund manager has a large disutility parameter for underfills, then the optimal strategy involves a sequence of limit orders early on and switches to a sequence market orders later on to guarantee purchasing the parent order. Conversely, if the fund manager has a zero disutility parameter for underfills, then the optimal strategy involves a sequence of limit orders with low price aggressiveness, such that each individual trade will earn the spread. If a fund manager is relatively informed and/or highly risk averse, then the optimal strategy is relatively front-loaded in time and switches to market orders relatively early so as to trade before price moves in the predicted direction and/or to reduce risk. Conversely, if the fund manager is uninformed and has low risk aversion, then the optimal strategy is spread out over time and switches to market orders later. I find that the optimal trading strategy frequently involves dynamic aggressiveness and frequently beats two benchmark trading strategies from the existing literature. Finally, I discuss empirical predictions of the theory and how they can be tested.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126516507","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":"The Effect of Maker-Taker Fees on Investor Order Choice and Execution Quality in U.S. Stock Markets","authors":"Shawn M. O’Donoghue","doi":"10.2139/SSRN.2607302","DOIUrl":"https://doi.org/10.2139/SSRN.2607302","url":null,"abstract":"Equity exchanges competing for orders are using new pricing strategies. Typically, liquidity suppliers are compensated and liquidity demanders are charged. This pricing structure is controversial because of its potential effects on investor order choice, market quality, trader welfare, and economic efficiency. I develop a theoretical model of maker-taker fees in the presence of a broker and equity exchanges and test the model empirically using order level data from SEC Rule 605. The broker charges investors a commission and endogenously chooses to route orders to a dealer or equity exchange. The exchanges keep a portion of the taker fee as profit and pass the remaining amount to the broker as a maker rebate when its order providing liquidity executes. The theoretical model predicts that as the taker fee and maker rebate increase, holding constant the amount kept as profit by the exchange: (1) the bid-ask spread declines, (2) the total trading cost increases, (3) the trader participation falls, (4) the proportion of marketable order shares rises, and (5) the non-marketable limit order fill rate increases. These implications are different from those of the model by Colliard and Foucault (2012), because my model implies that changes in the split of trading fees between liquidity suppliers and demanders affect order choice and thereby execution quality. I find empirical evidence consistent with my model’s predictions. In particular, as the taker fee and maker rebate increase, holding constant the amount kept as profit by the exchange: (1) the bid-ask spread declines, (2) the trader participation falls, (3) the proportion of marketable order shares rises, and (4) the non-marketable limit order fill rate increases.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"268 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115666549","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":"Beating the Target: Performance Management Around the Annual Incentive Target","authors":"D. Kim, Jun Yang","doi":"10.2139/ssrn.2389982","DOIUrl":"https://doi.org/10.2139/ssrn.2389982","url":null,"abstract":"We document the propensity of Standard & Poor’s 500 index companies to just meet, rather than overshoot or just miss, performance targets in CEOs’ annual incentive plans to boost cash bonuses. The statistical anomaly occurs only in the 4th quarter and is robust to alternative assumptions of performance distribution, but disappears when we substitute historical trends or previous year’s performance targets for the targets. Moreover, boards of directors sometimes make further discretionary adjustments for the purpose of awarding incentive pay. We support Murphy and Jensen’s (2011) call to remove non-linearity in pay-performance relation and urge better disclosure to shareholders.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"22 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114275632","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":"Acquiring Innovation","authors":"Merih Sevilir, X. Tian","doi":"10.2139/ssrn.1731722","DOIUrl":"https://doi.org/10.2139/ssrn.1731722","url":null,"abstract":"We find a positive relation between mergers and acquisitions (M&A) activity of a firm and its subsequent innovation outcome measured by the number and the novelty of the patents the firm obtains. The positive relation between M&A activity and innovation appears at least as significant as that between R&D and innovation. To identify causality between M&A activity and innovation, we compare the innovation output of failed acquirers to that of successful acquirers and find that failed acquirers obtain fewer patents and patents with lower impact relative to successful acquirers. Acquiring innovative target firms with existing patents is positively related to acquirer abnormal returns at announcement as well as acquirer’s long-term stock return performance after deal completion. Overall, our paper uncovers a previously undocumented role of M&A and suggests that acquiring innovation is an important motive for undertaking M&A.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"63 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129577042","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":"Is Disclosure an Effective Cleansing Mechanism? The Dynamics of Compensation Peer Benchmarking","authors":"Michael W. Faulkender, Jun Yang","doi":"10.2139/ssrn.1786109","DOIUrl":"https://doi.org/10.2139/ssrn.1786109","url":null,"abstract":"Firms routinely justify CEO compensation by benchmarking against companies with highly paid CEOs. We examine whether the 2006 regulatory requirement of disclosing compensation peers mitigated firms' opportunistic peer selection activities. We find that strategic peer benchmarking did not disappear after enhanced disclosure. In fact, it intensified at firms with low institutional ownership, low director ownership, low CEO ownership, busy boards, large boards, and non-intensive monitoring boards, and at firms with shareholders complaining about compensation practices. The effect is also stronger at firms with new CEOs. These findings call into question whether disclosure regulation can remedy potential problems in compensation practices. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115916933","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":"The Influence of Governance on Investment: Evidence from a Hazard Model","authors":"Matthew T. Billett, Jon A. Garfinkel, Yi Jiang","doi":"10.2139/ssrn.1458525","DOIUrl":"https://doi.org/10.2139/ssrn.1458525","url":null,"abstract":"Does corporate governance affect the timing of large investment projects? Hazard model estimates suggest strong shareholder governance may deter managers from pursuing large investments. Controlling for investment opportunities, firms with good governance experience longer spells between large investments. However, in the presence of financial constraints or strong CEO incentives (high delta (δ)), we find no such timing differences. Finally, these higher investment hazard firms exhibit significantly negative long-run operating and stock performance. Overall, our findings are consistent with the notion that poor governance associates with overinvestment.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121822225","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":"The Euro-Project at Risk","authors":"Andreas Hauskrecht, B. Stuart, W. Hankel","doi":"10.2139/ssrn.1635303","DOIUrl":"https://doi.org/10.2139/ssrn.1635303","url":null,"abstract":"In contrast to Robert Mundell‘s Optimum Currency Area theory and his recommendation of forming a monetary union, the economic fundamentals of Euro area member countries have not harmonized. The opposite holds: the Euro core countries - most of all Germany, but also the Netherlands and Finland - increased productivity growth while limiting nominal wage growth. However, Mediterranean countries\u0000- particularly Greece, but also Spain, Portugal, and Italy - have dramatically lost international competitiveness.\u0000Although the overall balance of payments for the Euro area at large is almost balanced, internal disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the stability of the monetary union. The findings confirm that a common currency without fiscal union is inherently unstable. The international financial and economic crisis has merely\u0000triggered events which highlight this instability. The paper discusses three possible scenarios for the\u0000future of the Euro: a laissez faire approach, a bailout, and finally an exit strategy for the Mediterranean\u0000countries, or an organized exit by a group of core countries led by Germany, forming their own smaller\u0000monetary union.","PeriodicalId":303799,"journal":{"name":"Kelley: Finance (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121063495","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}