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作者：Cummins, JD; Lalonde, D; Phillips, RD
作者单位：University of Pennsylvania; University System of Georgia; Georgia State University
摘要：Using a windstorm simulation model developed by Applied Insurance Research, we analyze the effectiveness of catastrophic-loss index options in hedging hurricane losses for Florida insurers. The results suggest that insurers in the two largest size quartiles can hedge losses almost as effectively using contracts based on four intrastate indices as they can using contracts that settle on their own losses. Many insurers in the third largest size quartile also can hedge effectively using the intra...
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作者：Degeorge, F; Jenter, D; Moel, A; Tufano, P
作者单位：Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology; Massachusetts Institute of Technology (MIT); Universita della Svizzera Italiana
摘要：In 1997, France Telecom went through a partial privatization. Using a database that tracks over 200,000 eligible participants, we analyze employees' decisions whether to participate; how much to invest; and what stock alternatives to select. The results are broadly consistent with a neoclassical model of investing behavior. We report four anomalous findings: (1) The firm specificity of human capital has a negligible effect on employees' investment decisions; (2) the amount invested seems drive...
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作者：Golec, J; Starks, L
作者单位：University of Connecticut; University of Texas System; University of Texas Austin
摘要：We examine the effect that an exogenously, specifically governmentally required change in compensation contract had on a managerial decision. We find that a group of mutual funds changed their portfolio risk levels after they were forced to change their performance fee schedules. Their portfolio risk choices differed predictably from a randomly selected group of nonperformance fee funds and a group of performance fee funds that were not required to change their compensation contracts. In addit...
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作者：Lambrecht, BM
作者单位：Lancaster University
摘要：This paper analyzes the timing of mergers motivated by economies of scale. We show that firms have an incentive to merge in periods of economic expansion. Relaxing the assumption that firms are price takers, we find that market power strengthens the firms' incentive to merge and speeds up merger activity. Finally, comparing mergers with hostile takeovers we show that the way merger synergies are divided not only influences the acquirer's and the acquiree's returns from merging, but also the ti...
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作者：DuCharme, LL; Malatesta, PH; Sefcik, SE
作者单位：University of Washington; University of Washington Seattle
摘要：Abnormal accounting accruals are unusually high around stock offers, especially high for firms whose offers subsequently attract lawsuits. Accruals tend to reverse after stock offers and are negatively related to post-offer stock returns. Reversals are more pronounced and stock returns are lower for sued firms than for those that are not sued. The incidence of lawsuits involving stock offers and settlement amounts are significantly positively related to abnormal accruals around the offer and s...
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作者：Goldman, E
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We analyze the resource allocation decision of a manager inside a multidivision firm whose compensation is based on the firm's stock price. We find that internal investments exhibit a positive correlation across the firms divisions. Namely, when two single-division firms merge the optimal investment level in one division becomes more positively related to the investment level in the other division. In addition, following a spinoff, divisional investments decline (increase) whenever the separat...
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作者：Chirinko, RS; Schaller, H
作者单位：Emory University; Leibniz Association; Ifo Institut; University of Munich; Carleton University
摘要：Governance problems have a direct and immediate impact on the effective discount rate guiding investment decisions. Information from a transformed net present value rule and variation in firm-level panel data reveal the effective discount rate influencing investment. For the firms most likely to be affected by Jensen agency problems, investment behavior appears to be guided by discount rates less than the market rate by 350-400 basis points. This wedge is reduced for firms with a concentrated ...
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作者：Cannavan, D; Finn, F; Gray, S
作者单位：University of Queensland
摘要：A dividend imputation tax system provides shareholders with a credit (for corporate tax paid) that can be used to offset personal tax on dividend income. This paper shows how to infer the value of imputation tax credits from the prices of derivative securities that are unique to Australian retail markets. We also test whether a tax law amendment that was designed to prevent the trading of imputation credits affected their economic value. Before the amendment, tax credits were worth up to 50% o...
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作者：Grinstein, Y; Hribar, P
作者单位：Cornell University
摘要：We investigate CEO compensation for completing M&A deals. We find that CEOs who have more power to influence board decisions receive significantly larger bonuses. We also find a positive relation between bonus compensation and measures of effort, but not between bonus compensation and deal performance. CEOs with more power also tend to engage in larger deals relative to the size of their own firms, and the market responds more negatively to their acquisition announcements. Our evidence is cons...
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作者：Kimmel, RL
作者单位：Princeton University
摘要：The term structure of interest rates is modeled as a random field with conditional volatility. Random field models allow consistency with the current shape of the term structure without the need for recalibration. However, most such models are Gaussian, with no conditional volatility. State-dependent volatility is introduced while a key property of Gaussian random field models is retained. Each forward rate is part of a low-dimensional diffusion process, simplifying estimation and derivatives ...
