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作者：Brenner, M; Sundaram, RK; Yermack, D
作者单位：New York University
摘要：We examine the practice of resetting the terms of previously-issued executive stock options. We identify properties of reset options, develop a model for valuing resettable options, and characterize the firms that have reset options. We find the vast majority of options are reset at-the-money, resulting, on average, in the strike price dropping 40%, Our valuation model suggests that resetting has only a small impact on the ex-ante value of an option award, but the ex-post gain can be substanti...
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作者：Chakrabarti, R
作者单位：University of Alberta
摘要：In this paper, I develop a theory of bid-ask quotes provided by foreign exchange dealers in the inter-bank market based on their beliefs and their inventory positions. I then build an agent-based model of the inter-dealer market where dealers learn in a Bayesian manner from quotes from other dealers. Using simulations, I find that the resulting intra-day spreads and between-quote returns largely conform to the empirically observed intra-day U-shaped pattern - a feature that has not been satisf...
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作者：Bakshi, G; Madan, D
作者单位：University System of Maryland; University of Maryland College Park
摘要：This article provides the economic foundations for valuing derivative securities. In particular, it establishes how the characteristic function (of the future uncertainty) is basis augmenting and spans the payoff universe of most, if not all, derivative assets. From the characteristic function of the state-price density, it is possible to analytically price options on any arbitrary transformation of the underlying uncertainty. By differentiating (or translating) the characteristic function, li...
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作者：Beck, T; Levine, R; Loayza, N
作者单位：The World Bank; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper evaluates the empirical relation between the level of financial intermediary development and (i) economic growth, (ii) total Factor productivity growth, (iii) physical capital accumulation, and (iv) private savings rates. We use (a) a pure cross-country instrumental variable estimator to extract the exogenous component of financial intermediary development, and (b) a new panel technique that controls for biases associated with simultaneity and unobserved country-specific effects. Af...
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作者：Morck, R; Yeung, B; Yu, W
作者单位：University of Alberta; New York University; Hong Kong Polytechnic University
摘要：Stock prices move together more in poor economies than in rich economies. This finding is not due to market size and is only partially explained by higher fundamentals correlation in low-income economies. However, measures of property rights do explain this difference. The systematic component of returns variation is large in emerging markets, and appears unrelated to fundamentals co-movement, consistent with noise trader risk. Among developed economy stock markets, higher firm-specific return...
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作者：Oldfield, GS
作者单位：William & Mary
摘要：This paper distinguishes between securitization, in which simple pass-through instruments are created, and structuring, in which mortgages derivative claims are created. The point is to explain how structuring a transaction brings value to a deal's underwriter. Briefly, an underwriter must defeat arbitrage between pass-throughs and derivatives. The potential for market segmentation and price discrimination by the underwriter is used to analyze the structuring process. In the course of the anal...
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作者：Johnson, SA; Tian, YS
作者单位：Louisiana State University System; Louisiana State University; York University - Canada; University System of Ohio; University of Cincinnati
摘要：We design and derive a pricing model for an executive stock option with a strike price indexed to a benchmark and investigate its valuation and incentive implications. In both up and down markets, the indexed option filters out common risks beyond the executive's control, thereby increasing the efficiency of incentive contracts, The indexed option has a different payoff structure and much lower initial value than a traditional option. Incentive effects of the indexed option also differ from th...
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作者：Claessens, S; Djankov, S; Lang, LHP
作者单位：The World Bank; Chinese University of Hong Kong
摘要：We examine the separation of ownership and control for 2,980 corporations in nine East Asian countries. In all countries, voting rights frequently exceed cash-flow rights via pyramid structures and cross-holdings. The separation of ownership and control is most pronounced among family-controlled firms and small firms. More than two-thirds of firms are controlled by a single shareholder. Managers of closely held firms tend to be relatives of the controlling shareholder's family. Older firms are...
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作者：Goldstein, MA; Kavajecz, KA
作者单位：University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths (quoted and on the limit order book) declined after the NYSE's change from eighths to sixteenths, depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better off; however, traders who su...
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作者：Bhattacharya, U; Daouk, H; Jorgenson, B; Kehr, CH
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：Shares trading in the Bolsa Mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1997, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or bid-ask spreads in the event window. We provide evidence that suggests that unrestricted insider trading causes prices to fully incorporate the information before its public release. The paper thus points tow...
