We report a significant positive association between the likelihood of securities fraud allegations and a measure of executive stock option incentives. This relation is robust to the inclusion of other components of the compensation structure and to other possible determinants of fraud...

Existing literature shows that the market values control because controlling shareholder can generate private benefits and improve the efficiency of the corporation. In this study, we provide a measure of the value of control for a set of domestic and foreign transactions. Our measure of the...

Credit default swap (CDS) spreads are directly related to equity market liquidity in the Merton (1974) model via hedging. This relationship is monotone increasing when credit quality worsens. Empirical tests confirm this relationship. We theorize and confirm this new channel by means of which...

We develop a theoretical framework of equity returns to hypothesize that average run lengths are related to common measures of liquidity such as trading volume and trade price-impact. This relationship holds irrespective of the observation frequency in the computation of run lengths. Thus,...

In the absence of forward-looking models for recovery rates, market participants tend to use exogenously assumed constant recovery rates in pricing models. We develop a exible jump-to-default model that uses observables: the stock price and stock volatility in conjunction with credit spreads to...

We examine style drift in venture capital investing using 344,491 VC firm-financing rounds between 1980 and 2010. We locate each VC financing round in one of twenty styles, and develop a measure of a change in a VC's styles ("style drift") that is time consistent and independent of firm size. VC...

Little is known about the risk and return characteristics of private equity investments. In this paper we examine 52,322 financing rounds in 23,208 unique firms, over the period 1980 through 2000 by venture and buyouts funds and estimate the probability of exit, the exit multiples and the...

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...

Using a large sample of U.S. mortgages observed over the 2005-2009 period, we find that foreclosures are contagious. After controlling for major factors known to influence a borrower's decision to default, including borrower and loan characteristics, local demographic and economic conditions,...

Using a large sample of U.S. mortgages observed over the 2005-2009 period, we find that foreclosures are contagious. After controlling for major factors known to influence a borrower's decision to default, including borrower and loan characteristics, local demographic and economic conditions,...