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One-Factor-Based Exercise Strategies for American Options in Multi-Factor Models 多因素模型下基于单因素的美式期权行使策略
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2017-04-16 DOI: 10.2139/ssrn.2151387
Alfredo Ibáñez, C. Velasco
{"title":"One-Factor-Based Exercise Strategies for American Options in Multi-Factor Models","authors":"Alfredo Ibáñez, C. Velasco","doi":"10.2139/ssrn.2151387","DOIUrl":"https://doi.org/10.2139/ssrn.2151387","url":null,"abstract":"Pricing American equity options in a multi-factor setting is so cumbersome that the typical approach is based on, reduced, one-factor exercise strategies. Practitioners and academics calibrate the model to the European counterpart, but the early-exercise premium is derived from a barrier option or from Black-Scholes, depending only on the stock price. Conventional wisdom dictates that the associated losses are insignificant, a few basis points (bps), but there is no rationale behind it. We challenge this view. We factorize the associated losses in the product of four terms and properly distinguish between a barrier option, which implies a suboptimal exercise policy, and the case of Black-Scholes model, which introduces a misspecified model (but produces lower pricing errors which go either way). Pricing errors are significant (i.e., two-digits bps) only for in-the-money and mid-/long-term American options, in highly skewed models and with larger interest-rate dividend-yield spreads. In-the-money and long-term American options are a \"tough call.\" Skewed models are associated to stochastic volatility. And the interest-rate dividend spread relates to the early-exercise-premium.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127211874","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
Excessive Takeover Premiums Paid by Acquiring Banks Controlled by Mutual Banks: The Case of Crédit Agricole–Crédit Lyonnais 由相互银行控制的收购银行支付过高的收购溢价:以crassdit agricole - crassdit Lyonnais为例
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-07 DOI: 10.2139/ssrn.2079461
Frédéric Lobez, A. Schatt
{"title":"Excessive Takeover Premiums Paid by Acquiring Banks Controlled by Mutual Banks: The Case of Crédit Agricole–Crédit Lyonnais","authors":"Frédéric Lobez, A. Schatt","doi":"10.2139/ssrn.2079461","DOIUrl":"https://doi.org/10.2139/ssrn.2079461","url":null,"abstract":"In France, mutual banks played a key role during the recent period of consolidation of the banking industry because they acquired many privately listed banks. Our analysis of the acquisition of the private bank Credit Lyonnais by the mutual bank Credit Agricole illustrates three findings. First, the mutual bank had to create a new private bank (CASA), which went public to raise the capital needed to finance this megadeal. However, there are conflicts of interest between controlling shareholders (mutual bank) and minority shareholders of CASA. Second, the weak governance of CASA enabled managers to pay a very high premium in the takeover bid. Third, this excessive premium prompted financial markets to react negatively to the announcement of the megadeal, such that CASA’s market value fell to about €2.5 billion. In summary, conflicts of interest in the banking industry between minority shareholders and controlling shareholders of the bidder appear particularly serious when the blockholder is a mutual bank.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"290 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116401878","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
Price Strategies in a Vertically Differentiated Mutual Fund Market 垂直差异化共同基金市场的价格策略
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-07 DOI: 10.2139/ssrn.2083605
S. Lemeunier
{"title":"Price Strategies in a Vertically Differentiated Mutual Fund Market","authors":"S. Lemeunier","doi":"10.2139/ssrn.2083605","DOIUrl":"https://doi.org/10.2139/ssrn.2083605","url":null,"abstract":"Several academic studies show that mutual funds set their prices in a strategic way according to their level of quality. This study examines a market in which two vertically differentiated mutual funds compete. Their price strategies are determined for the cases with complete and incomplete information. Our results show that mutual funds prefer to set their prices sequentially and that they are then indifferent to being the first or the second mover. With incomplete information, the presence of a lower quality mutual fund compels the high quality mutual fund to set lower prices at small levels of quality difference.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122649120","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
The Existence of Blockholders and Corporate Governance. Empirical Evidence from U.S. 股东的存在与公司治理。来自美国的经验证据
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-07 DOI: 10.2139/ssrn.2079554
S. Rossetto, Raffaele Staglianò
{"title":"The Existence of Blockholders and Corporate Governance. Empirical Evidence from U.S.","authors":"S. Rossetto, Raffaele Staglianò","doi":"10.2139/ssrn.2079554","DOIUrl":"https://doi.org/10.2139/ssrn.2079554","url":null,"abstract":"This paper investigates the role of blockholders within a firm. It studies the relationship between the number of blockholders and the share volatility of US listed firms. Controlling for potential endogeneity problems, it results that the number of blockholders affects positively share price volatility, but the reverse is not true. Furthermore, the largest blockholders differs from the one of the other blockholders. The largest blockholder limits the agency problems within a firm, while the number of blockholders affects volatility. Finally, firms with multiple blockholders show peculiar characteristics which show that multiple blockholders firm are not simply a mid-point between single blockholder firms and widely held firms indicating that multiple blockholders’ firms should be considered as a specific type.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131398499","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: 6
Reorganization of Bankrupt Firms in France Continuation Versus Sale 法国破产企业重组:延续与出售
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-07 DOI: 10.2139/ssrn.2079697
R. Ayadi
{"title":"Reorganization of Bankrupt Firms in France Continuation Versus Sale","authors":"R. Ayadi","doi":"10.2139/ssrn.2079697","DOIUrl":"https://doi.org/10.2139/ssrn.2079697","url":null,"abstract":"One particularity of the French bankruptcy law is that it provides bankrupt rms with two forms of reorganization. The Court may order either the continuation of the bankrupt firm in the same entity or the sale of the bankrupt firm to another entity as going-concern. The purpose of this paper consists in investigating the factors that would influence the reorganization outcome in France (continuation or sale). We use a random sample of 500 firms that led for reorganization in the commercial Court of Paris between 1995 and 2004 and that had their reorganization plans confirmed between May 1995 and September 2006. Logistic regression analysis shows that the probability of confirming a continuation plan increases with the profitability of the firm, the fraction of intangible assets and for firms having financing and/or business problems whereas the probability of confirming a sales plan increases with the size of thebankrupt firm, the secured debt to assets ratio and for debtors having personal problems.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"123 7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131911603","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
Are Small Business Groups an Organizational Strategy that Promotes Growth? Evidence from French SMEs 小企业集团是一种促进增长的组织战略吗?来自法国中小企业的证据
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2083648
Anaïs Hamelin
{"title":"Are Small Business Groups an Organizational Strategy that Promotes Growth? Evidence from French SMEs","authors":"Anaïs Hamelin","doi":"10.2139/ssrn.2083648","DOIUrl":"https://doi.org/10.2139/ssrn.2083648","url":null,"abstract":"This paper investigates whether small business groups (SBGs) represent an organizational strategy that promotes growth. We explore empirically this issue using a unique data set on French small businesses ownership. We investigate whether SBGs represent an efficient response to market imperfections faced by small businesses. We explore two alternative hypotheses. First, SBGs may promote growth because SBG internal capital markets increase capital allocation efficiency. Second, SBGs may use their internal capital market for mutual insurance, which improves their access to external financing, and ultimately favor their dynamism. Our results show that grouping small businesses promotes small businesses development, because SBGs improve capital allocation. Finally, accounting for SBG diversification strategies does not affect the results.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125369005","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
Understanding the Operational Risk Profile of Banks: An Empirical Analysis 理解银行操作风险概况:一个实证分析
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2083638
Eric Lamarque, Hazem Karfoul
{"title":"Understanding the Operational Risk Profile of Banks: An Empirical Analysis","authors":"Eric Lamarque, Hazem Karfoul","doi":"10.2139/ssrn.2083638","DOIUrl":"https://doi.org/10.2139/ssrn.2083638","url":null,"abstract":"In the last ten years, operational risk has received a considerable attention from banking supervisors, practitioners and researchers alike. While the majority of studies have been devoted to derive the appropriate formulas for quantifying this risk (i.e. under pillar I of Basel II), less has been done to bring the so-called “operational risk profile” into scrupulous analysis. In this paper, we attempt to provide a better understanding of how the bank’s exposure to operational risk responds to changes brought into her operational risk profile. Using data collected from 16 large internationally active banks, our model shows a higher performance compared to previous studies. We find that operational loss amounts are more likely to increase when banks increase the number of employees per business unit, of customers, of geographic presence, and the volume of treated assets per employee, but decrease when banks increase their investments in information technology and the volume of treated assets per business unit.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133247916","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
The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors? 私人信息在投资研究中的价值:公司实地考察是否影响专业投资者的交易模式和业绩?
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-05-01 DOI: 10.2139/ssrn.2079562
Lorne N. Switzer, Mariane Keushgerian
{"title":"The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors?","authors":"Lorne N. Switzer, Mariane Keushgerian","doi":"10.2139/ssrn.2079562","DOIUrl":"https://doi.org/10.2139/ssrn.2079562","url":null,"abstract":"This paper looks at relationships between managerial characteristics and actions on the performance, management fees, and systematic risk of US equity investment management firms during the period 2008 through 2011, focusing on the impact of company on-site visits. Company on-site visits significantly enhance performance, management fees, and portfolio turnover. On-site visits are also positively related to employee equity ownership while the latter is inversely related to portfolio turnover. This supports the agency hypothesis that managers with greater personal stakes in their companies invest more in collecting non-public information for longer-term commitments.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"1951 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129105258","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
A Theory of Profit Sharing Ratio Under Adverse Selection: The Case of Islamic Venture Capital 逆向选择下的利润分成比例理论——以伊斯兰风险投资为例
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-04-28 DOI: 10.2139/ssrn.2080083
Kaouther Jouaber-Snoussi, Meryem Mehri
{"title":"A Theory of Profit Sharing Ratio Under Adverse Selection: The Case of Islamic Venture Capital","authors":"Kaouther Jouaber-Snoussi, Meryem Mehri","doi":"10.2139/ssrn.2080083","DOIUrl":"https://doi.org/10.2139/ssrn.2080083","url":null,"abstract":"This paper presents a theory for Islamic venture capital namely ‘Mudharabah’ contract under adverse selection problem. In order to avoid selecting a low type entrepreneur for a given good project, the framework defines the profit sharing ratio (PSR) as a screening device. We then develop a Profit Sharing Ratio model for Islamic venture capital under adverse selection. We find the optimal PSR as function of the respective risk aversion degree of both the entrepreneur and the IVC (Islamic venture capitalist). Their risk aversion degrees influence their decisions to fix the PSR during the negotiation stage. We show that the high type entrepreneur will tolerate to the IVC a PSR higher than the PSR accepted by the low type. In the negotiation stage, whatever the entrepreneur type, the higher the management fee and the higher the PSR tolerated to the IVC.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130548627","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: 13
Sovereign Recovery Schemes: Discounting and Risk Management Issues 主权恢复计划:贴现和风险管理问题
2012 International Conference of the French Finance Association (AFFI) (Archive) Pub Date : 2012-01-05 DOI: 10.2139/ssrn.2084918
Joe Bonnaud, Laurent Carlier, J. Laurent, Jean-Luc Vila
{"title":"Sovereign Recovery Schemes: Discounting and Risk Management Issues","authors":"Joe Bonnaud, Laurent Carlier, J. Laurent, Jean-Luc Vila","doi":"10.2139/ssrn.2084918","DOIUrl":"https://doi.org/10.2139/ssrn.2084918","url":null,"abstract":"We consider some pricing and risk management issues related to defaultable bonds, in the context of sovereign debt default and restructuring. Standard recovery schemes such as fractional recovery of market value, of Treasury and of face value are investigated: we discuss their consistency with market practice both from a pricing and a risk management perspective. We also pay attention to the tradable basic instruments such as defaultable discount bonds or IOs/POs that are the building blocks of traded level coupon bonds. Model-free pricing formulas are provided. Whatever the recovery framework, bond pricing formulas involve similar ingredients, such as par rates and defaultable level annuities. We also show that the fractional recovery of par, our preferred approach from an economical point of view, involves two discount curves, one for principal payments and one for coupon payments, a departure from the simplest bootstrapping and pricing engines.","PeriodicalId":374825,"journal":{"name":"2012 International Conference of the French Finance Association (AFFI) (Archive)","volume":"2 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133220040","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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