Drexel University LeBow College of Business Research Paper Series最新文献

{"title":"How Resilient are Mortgage Backed Securities to Collateralized Debt Obligation Market Disruptions?","authors":"J. Mason, Joshua Rosner","doi":"10.2139/ssrn.1027472","DOIUrl":"https://doi.org/10.2139/ssrn.1027472","url":null,"abstract":"The mortgage-backed securities (MBS) market has experienced significant changes over the past couple of years. Non-agency (\"private label\") securities, which are not guaranteed by the government or the government sponsored enterprises, now account for the majority of MBS issued. In this report, we review the rise of collateralized debt obligations (CDOs), the relaxation of lending standards, and the implementation of loan mitigation practices. We analyze whether these structural changes have created an environment of understated risk to investors of MBS. We also measure the efficacy of ratings agencies when it comes to assessing market risk rather than credit risk. Our findings imply that even investment grade rated CDOs will experience significant losses if home prices depreciate. We conclude by providing several policy implications of our findings.","PeriodicalId":405875,"journal":{"name":"Drexel University LeBow College of Business Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114665188","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":"Boards: Does One Size Fit All?","authors":"J. Coles, Naveen D. Daniel, L. Naveen","doi":"10.2139/ssrn.665746","DOIUrl":"https://doi.org/10.2139/ssrn.665746","url":null,"abstract":"This paper re-examines (1) the relation between firm value and board structure and (2) the factors associated with cross-sectional variation in board structure. Conventional wisdom and existing empirical research suggest that firm value decreases as the size of the firm's board increases, and as the fraction of insiders on the board increases. In this paper, we argue that, contrary to conventional wisdom, some firms may benefit from having larger boards and greater fraction of insiders on the board. Outside directors serve both to monitor top management and to advise the CEO on business strategy. The monitoring role of the board has been studied extensively and the general consensus is that smaller boards are more effective at monitoring. The argument is that smaller groups are more cohesive, more productive, and can monitor the firm more effectively whereas large groups are fraught with problems such as social loafing and higher co-ordination costs. The advisory role of the board, however, has received far less attention. Since one function of board members is to provide advice and counsel to the CEO, we hypothesize that firms that require more advice (more complex firms) will need larger boards. In particular, we hypothesize that larger firms, diversified firms, and firms that rely more on debt financing, will derive greater firm value from having larger boards. Similarly, certain kinds of firms might benefit from higher insider representation on the board. Inside directors possess more firm-specific knowledge. Thus we conjecture that firms for which the firm-specific knowledge of insiders is relatively important, such as R&D-intensive firms, may derive greater value from having higher fraction of insiders on the board. Our findings are consistent with our hypotheses. For firms that have greater advising requirements, such as those that are large, diversified across industries, and rely more on debt financing, we find that Tobin's Q increases in board size. Furthermore, in firms for which the firm-specific knowledge of insiders is relatively important, such as R&D-intensive firms, Tobin's Q increases with the fraction of insiders on the board. Firms with high advising requirements have larger boards. Also, firms with high R&D have larger fraction of insiders on the board. These results challenge the notion that exchange listing requirements, mandates from institutional investors, and restrictions in the law, specifically those that limit board size and management representation on the board, necessarily enhance firm value.","PeriodicalId":405875,"journal":{"name":"Drexel University LeBow College of Business Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127961279","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":"Incentive Compensation for Bank Directors: The Impact of Deregulation","authors":"D. Becher, Melissa B. Frye, T. Campbell","doi":"10.2139/ssrn.425441","DOIUrl":"https://doi.org/10.2139/ssrn.425441","url":null,"abstract":"Although deregulation leads to changes in the duties of boards of directors, little is known about changes in their incentives. U.S. banking deregulation and associated changes during the 1990s lends itself to a natural experiment. These industry shocks forced bank directors to face expanded opportunities, increased competition, and an expanding market for corporate control. While bank directors received significantly less equity-based compensation throughout most of the 1990s, by 1999, their use of such compensation is indistinguishable from a matched sample of industrial firms. Our results suggest firms respond to deregulation by improving internal monitoring through aligning directors' and shareholders' incentives.","PeriodicalId":405875,"journal":{"name":"Drexel University LeBow College of Business Research Paper Series","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134258223","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":"Executive Compensation and Managerial Risk-Taking","authors":"J. Coles, Naveen D. Daniel, L. Naveen","doi":"10.2139/ssrn.391102","DOIUrl":"https://doi.org/10.2139/ssrn.391102","url":null,"abstract":"This paper provides empirical evidence of a strong relation between the structure of managerial compensation and both investment policy and debt policy. Higher sensitivity of CEO wealth to stock volatility (vega) is associated with riskier policy choices, including relatively more investment in R&D, more focus on fewer lines of business, and higher leverage. These results are consistent with the hypothesis that higher vega in the managerial compensation scheme gives executives the incentive to implement policy choices that increase risk. Our results also indicate that these investment and financial policy choices are among the primary mechanisms through which vega affects stock price volatility.","PeriodicalId":405875,"journal":{"name":"Drexel University LeBow College of Business Research Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127825549","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":"Returns and Volatility Asymmetries in Global Stock Markets","authors":"T. Chiang, Cathy W. S. Chen, Mike K. P. So","doi":"10.2139/ssrn.319010","DOIUrl":"https://doi.org/10.2139/ssrn.319010","url":null,"abstract":"This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports the hypothesis that stock index returns are positively correlated with a composite of stock return news, which is obtained by a weighted average of the lagged domestic and US stock index returns. Moreover, we find that negative news will cause a larger decline in a national stock return than will an equal magnitude of good news. This also holds true for the conditional variance. The variance appears to be more volatile and persistent when bad news hits the market than when good news does. Consistent with existing literature, asymmetries in stock returns are not independent of asymmetries in volatility since a larger adjustment in stock prices to bad news is likely to cause domestic investors to change the debt-equity ratio, leading to higher volatility in stock market.","PeriodicalId":405875,"journal":{"name":"Drexel University LeBow College of Business Research Paper Series","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124589272","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}