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Asset pricing implications of benchmarking: A two-factor CAPM

Gómez, Juan-Pedro; Zapatero, Fernando - Department of Economics and Business, Universitat … - 2001

In this paper we consider the equilibrium effects of an institutional investor whose performance is benchmarked to an index. In a partial equilibrium setting, the objective of the institutional investor is modeled as the maximization of expected utility (an increasing and concave function, in...

Persistent link: https://www.econbiz.de/10005827505

Taming SIFIs

Freixas, Xavier; Rochet, Jean-Charles - Department of Economics and Business, Universitat … - 2012

We model a Systemically Important Financial Institution (SIFI) that is too big (or too interconnected) to fail. Without credible regulation and strong supervision, the shareholders of this institution might deliberately let its managers take excessive risk. We propose a solution to this problem,...

Persistent link: https://www.econbiz.de/10010554845

Conglomeration with bankruptcy costs: Separate or joint financing?

Banal-Estañol, Albert; Ottaviani, Marco - Department of Economics and Business, Universitat … - 2009

The paper analyzes the determinants of the optimal scope of incorporation in the presence of bankruptcy costs. Bankruptcy costs alone generate a non-trivial tradeoff between the benefit of coinsurance and the cost of risk contamination associated to joint financing corporate projects through...

Persistent link: https://www.econbiz.de/10008560464

New ideas need new space

Rodríguez, Diego - Department of Economics and Business, Universitat … - 1999

We develop a setting with weak intellectual property rights, where firms' boundaries, location and knowledge spillovers are endogenous. We have two main results. The first one is that, if communication costs increase with distance, entrepreneurs concerned about information leakage have a benefit...

Persistent link: https://www.econbiz.de/10005827455

What form of relative performance evaluation?

Celentani, Marco; Loveira-Pazó, Rosa - Department of Economics and Business, Universitat … - 2004

We study relative performance evaluation in executive compensation when executives have private information about their ability. We assume that the joint distribution of an individual firm’s profit and market movements depends on the ability of the executive that runs the firm. In the...

Persistent link: https://www.econbiz.de/10005772084

On the valuation and incentive effects of executive cash bonus contracts

Martellini, Lionel; Urosevic, Branko - Department of Economics and Business, Universitat … - 2003

Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are typically valued ex-ante, cash bonuses are valued ex-post. This renders the existing valuation models of employee compensation packages theoretically unsatisfactory and,...

Persistent link: https://www.econbiz.de/10005772106

Portfolio delegation under short-selling constraints

Gómez, Juan-Pedro; Sharma, Tridib - Department of Economics and Business, Universitat … - 2003

In this paper we study delegated portfolio management when the manager's ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse...

Persistent link: https://www.econbiz.de/10005772192

Compensating wage differentials and voluntary job changes: Evidence from West Germany

Villanueva, Ernesto - Department of Economics and Business, Universitat … - 2004

Does the labor market place wage premia on jobs that involve physical strain, job, insecurity or bad regulation of hours? This paper derives bounds on the monetary returns to these job disamenities in the West German labor market. We show that in a market with dispersion in both job...

Persistent link: https://www.econbiz.de/10005772327

How competition controls team production: The case of fishing firms

Arruñada, Benito; González, Manuel - Department of Economics and Business, Universitat … - 1997

Under team production, those who monitor individual productivity are usually the only ones compensated with a residual … that varies with the performance of the team. This pattern is efficient, as is shown by the prevalence of conventional … firms, except for small teams and when specialized monitoring is ineffective. Profit sharing in repeated team production …

Persistent link: https://www.econbiz.de/10005772400

Illusory correlation in the remuneration of chief executive officers: It pays to play golf, and well

Kolev, Gueorgui I.; Hogarth, Robin - Department of Economics and Business, Universitat … - 2008

Illusory correlation refers to the use of information in decisions that is uncorrelated with the relevant criterion. We document illusory correlation in CEO compensation decisions by demonstrating that information, that is uncorrelated with corporate performance, is related to CEO compensation....

Persistent link: https://www.econbiz.de/10005772490