In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...

We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...

This paper examines the investment strategies of regulated companies in abatement technologies,market participants' trading behaviors, and the liquidity level in an inter-temporalcap{and{trade market using laboratory experiments. The experimental analysis is performedunder varying market...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

CEO compensation has increased substantially over the past 15 years, but so has forcedturnover. Motivated by this observation, we investigate whether part of the developmentof CEO pay can be explained by a premium which compensates CEOs for increased job risk.We ¯nd that for the CEOs of the...

In this paper, we use a unique hand-collected dataset to analyze stock listing as an entrepreneurial decision. By comparing mainland Chinese entrepreneurial firmslisted in Hong Kong with the same type of firms opting for a domestic listing on the Shenzhen second board market, we argue that the...

Using a new data set of small public firms in Germany, this paper analyzes the incentive and entrenchmenteffects associated witrh mangerial equity owernership. The relationship between firm value and insider ownership is found to be nonlinear: at low levels of ownership firm value is positive...

This paper tests two competing hypotheses about the influence of financial institutions as large shareholders on the performance of their industrial portfolio firms: the superior monitoring hypothesis versus the rent extraction hypothesis. The methodology of this study exploits the abolishment...

Shareholder agreements govern the relations among shareholders in privately-held firms, such as joint ventures or venture capital-backed firms. We provide an explanation for the use of put and call options, tag-along rights, drag-along rights, demand rights, piggy-back rights, and catch-up...

We examine merger activity and its effect on asset pricing in a firm network economy. Mergers create internal capital markets which change the cash flow risk structure of the merging firms. We propose a solution concept for coalitional games without the superadditivity axiom, which extends...