Search Results - subject:"stock options"

The Cross-Section of Individual Equity Option Returns

Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022

This paper evaluates the underperformance of individual equity options relative to their replicating portfolios. Considering a high-dimensional set of variables, we use a machine learning approach to identify the characteristics of options and their underlying stocks that provide incremental...

Persistent link: https://www.econbiz.de/10013322614

Is Firm-Level Political Risk Priced in the Equity Option Market?

Ho, Thang; Kagkadis, Anastasios; Wang, Jiaguo - 2022

We document a political risk premium of about 0.30% per month in the equity option market. High-political risk firms exhibit delta-hedged returns that are significantly lower than those of low-political risk firms. The effect holds both in a cross-sectional and in a time-series context. A...

Persistent link: https://www.econbiz.de/10013322834

Transmission mechanisms of executive compensation to cost of equity capital

Kanyarat Lek Sanoran - In: Global business and finance review 27 (2022) 4, pp. 108-117

Purpose: The nature of each component of executive compensation varies, resulting in variances in executive in- centives and investor pricing. To examine whether there is a differential relation between executive compensation components and cost of equity capital, this study decomposes the...

Persistent link: https://www.econbiz.de/10013433578

On Stock-Based Loans

McWalter, Thomas; Ritchken, Peter H. - 2022

We investigate the equilibrium interest rate charges on non-recourse and recourse loans secured by stock. In such loans, the client retains the option to prepay and recover the collateral stock. We adopt a structural model of the firm where debt levels, with endogenous bankruptcy, affect equity...

Persistent link: https://www.econbiz.de/10013292845

The short-termism trap : competition for informed investors under stock-based CEO compensation

Dow, James; Han, Jungsuk; Sangiorgi, Francesco - 2022

Persistent link: https://www.econbiz.de/10012816021

The Corporate Calendar and the Timing of Share Repurchases and Equity Compensation

Dittmann, Ingolf; Li, Amy Yazhu; Obernberger, Stefan; … - 2022

This study examines whether the CEO uses share repurchases to sell her equity grants at inflated stock prices, a concern regularly voiced in politics and media. We find that the timing of buyback programs and equity compensation, i.e., the granting, vesting, and selling of equity, is largely...

Persistent link: https://www.econbiz.de/10013290227

Cheap Stock Options : Antecedents and Outcomes

Badertscher, Brad A.; Jorgensen, Bjorn N.; Katz, Sharon P. - 2022

stock options are associated with greater IPO underpricing, lower post-IPO investment, higher CEO compensation, and lower …

Persistent link: https://www.econbiz.de/10013292112

Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database

Wallmeier, Martin - 2022

line with the put-call parity. The implied volatilities of stock options in Europe show clusters of exceptional deviations … that are caused by incorrect dividend information and other issues related to dividends. The implied volatilities of stock … options in the US also show (but much less frequently) anomalies due to outdated dividend projections. More importantly, the …

Persistent link: https://www.econbiz.de/10013296293

Effects of option incentive compensation on corporate innovation : Evidence from the Chinese market

Cheng, Rui; Ryu, Doojin - 2022

Albeit many scholars have studied the relationship between option-based incentives and corporate innovation, the results have been controversial. We divide corporate innovation into two dimensions: innovation inputs and outputs. Thereafter, we use propensity score matching and...

Persistent link: https://www.econbiz.de/10013296658

The effect of option grants on managerial risk taking : a review

Lin, Guoyu; Liu, Chenyong; Mette, Jehu; Crichton, Rohan - In: Risks : open access journal 10 (2022) 8, pp. 1-8

This article presents a systematic review of the theoretical and empirical literature on option grants and managerial risk taking. One of the objectives is the motivation of further research on the topic. Risk-averse managers hold less diversified portfolios and, thus, tend to take less risk...

Persistent link: https://www.econbiz.de/10013368499