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作者：Bliss, RT; Rosen, RJ
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Babson College
摘要：Recent bank mergers generally did not improve relative operating performance or produce positive abnormal returns to acquiring bank shareholders. We examine the relationship between mergers and CEO compensation during 1986-1995, a period marked by overcapacity and frequent mergers. We find that mergers have a net positive effect on compensation, mainly via the effect of size on compensation. Compensation generally increases even if mergers cause the acquiring bank's stock price to decline, as ...
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作者：Longstaff, FA; Santa-Clara, P; Schwartz, ES
作者单位：University of California System; University of California Los Angeles
摘要：This paper studies the costs of applying single-factor exercise strategies to American swap options when the term structure is actually driven by multiple factors. Using a multifactor string market model of the term structure, we find that even when single-factor models are recalibrated to match the market at every exercise date, the exercise strategies they imply can be suboptimal. Based on estimates of notional amounts outstanding, the total present value costs of following single-factor str...
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作者：Lynch, AW
作者单位：New York University; Columbia University
摘要：This paper examines portfolio allocation across equity portfolios formed on the basis of characteristics like size and book-to-market. In particular, the paper assesses the impact of return predictability on portfolio choice for a multi-period investor with a coefficient of relative risk aversion of 4. Compared to the investor's allocation in her last period, return predictability with dividend yield causes the investor early in life to tilt her risky-asset portfolio away from high book-to-mar...
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作者：Hermalin, BE; Wallace, NE
作者单位：University of California System; University of California Berkeley
摘要：This paper offers a new way to estimate the relation between pay and performance. In particular, unlike previous analyses, we account for the heterogeneity that theory tells us should exist across the compensation packages of different firms. Accounting for heterogeneity allows for more efficient estimates of the pay-for-performance relation and provides a means of testing the secondary hypotheses of agency theory. Among our findings are strong evidence of inter-firm heterogeneity in compensat...
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作者：Klein, P
作者单位：Simon Fraser University
摘要：This paper develops and tests an asset pricing model that allows for the presence of a capital gain lock-in effect. The principal empirical implication of this model is that stock returns exhibit reversal behavior over long horizons because of investors' accrued capital gains. Empirical tests on the cross-section of stock returns find that long-horizon return reversal is primarily attributable to the effect of investors' accrued capital gains and that the effect is nonlinear in the manner pred...
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作者：Andersen, L; Andreasen, J
摘要：This paper investigates the effect of interest rate correlation in pricing and exercise of Bermudan swaptions. Investigating both Gaussian Markov models and Libor market models, we find that Bermudan swaption prices change only moderately (and in fact typically decrease slightly) when the number of factors in the underlying interest rate model is increased from one to two. We explain the rationale behind these results, and also demonstrate that exercise information generated within a best-fit ...
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作者：Cotter, JF; Peck, SW
作者单位：Marquette University; New Mexico State University
摘要：This paper examines the role buyout specialists play in structuring the debt used to finance the LBO and in monitoring management in the post-LBO firm. We find that when buyout specialists control the majority of the post-LBO equity, the LBO transaction is likely to be financed with less short-term and/or senior debt and less likely to experience financial distress. We also find that buyout specialists have greater board representation on smaller boards, suggesting that they actively monitor m...
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作者：Carr, P; Geman, H; Madan, DB
作者单位：University System of Maryland; University of Maryland College Park; New York University; Universite PSL; Universite Paris-Dauphine; ESSEC Business School
摘要：We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization. Our approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated floors which expected payoffs must exceed in order for the investor to consider the hedged and financed investment to be acceptable. By assuming that the liquid assets are priced so th...
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作者：Schwert, GW
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作者：Yeoman, JC
作者单位：University System of Georgia; North Georgia College & State University; University System of Georgia; Georgia State University
摘要：The paper develops the net proceeds maximization theory explaining how the spread and offering price are determined in all underwritten offerings in the U.S. The theory yields solutions for the optimal spread and offering price for all underwritten securities and it yields comparative statics that explain the cross-sectional variation in actual spreads and initial returns across different types of underwritten securities. The theory also suggests two alternative explanations to the ones offere...
