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作者：Quigley, Daniel; Walther, Ansgar
作者单位：University of Oxford; University of Oxford; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study an economy with financial frictions in which a regulator designs a test that reveals outside information about a firm's quality to investors. The firm can also disclose verifiable inside information about its quality. We show that the regulator optimally aims for public speech and private silence, which is achieved with tests that give insiders an incentive to stay quiet. We fully characterize optimal tests by developing tools for Bayesian persuasion with incentive constraints, and us...
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作者：Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Copenhagen Business School; Copenhagen Business School
摘要：We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting ...
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作者：Kacperczyk, Marcin; Pagnotta, Emiliano S.
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR); Singapore Management University; Singapore Management University
摘要：Do illegal insiders internalize legal risk? We address this question with hand-collected data from 530 SEC (the U.S. Securities and Exchange Commission) investigations. Using two plausibly exogenous shocks to expected penalties, we show that insiders trade less aggressively and earlier and concentrate on tips of greater value when facing a higher risk. The results match the predictions of a model where an insider internalizes the impact of trades on prices and the likelihood of prosecution and...
