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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...
Persistent link: https://www.econbiz.de/10011170088
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Labor and the market value of the firm
Merz, Monika; Yashiv, Eran - London School of Economics (LSE) - 2005
What role does labor play in a firm’s market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction...
Persistent link: https://www.econbiz.de/10010745844
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Labor hiring, investment and stock return predictability in the cross section
Bazdrech, Santiago; Belo, Frederico; Lin, Xiaoji - London School of Economics (LSE) - 2008
We document that the firm level hiring rate predicts stock returns in the cross-section of US publicly traded firms even after controlling for investment, size, book-to-market and momentum as well as other known predictors of stock returns. The predictability shows up in both Fama-MacBeth cross...
Persistent link: https://www.econbiz.de/10010746050
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How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Maillet, Bertrand; Michel, Thierry - London School of Economics (LSE) - 2002
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and...
Persistent link: https://www.econbiz.de/10010744901
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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and...
Persistent link: https://www.econbiz.de/10010745304
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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...
Persistent link: https://www.econbiz.de/10011071378
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Rights offerings, trading, and regulation: a global perspective
Massa, Massimo; Vermaelen, Theo; Xu, Moqi - London School of Economics (LSE) - 2013
We study rights offerings using a sample of 8,238 rights offers announced during 1995-2008 in 69 countries. Although shareholders prefer having the option to trade rights, issuers deliberately restrict tradability in 38% of the offerings. We argue that firms restrict rights trading to avoid the...
Persistent link: https://www.econbiz.de/10010884755
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A theory of supervision with endogenous transaction costs
Faure-Grimaud, Antoine; Laffont, Jean-Jacques; … - London School of Economics (LSE) - 1998
We propose a theory of supervision with endogenous transaction costs. A principal delegates part of his authority to a supervisor who can acquire soft information about an agent's productivity. If the supervisor were risk-neutral, the principal would simply make the better informed supervisor...
Persistent link: https://www.econbiz.de/10010928775
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Banking on trust: managing reputation risk in financial service organizations
Scott, Susan V.; Walsham, Geoff - London School of Economics (LSE) - 2002
In this paper we introduce concepts that build a theoretical notion of reputation risk and establish the need to extend … our approach to managing such risk.. The existing literature on reputation risk has tended to be reactive and focus on … corrosive may present an occasion for creative management. We suggest that proactive reputation risk policies and practices are …
Persistent link: https://www.econbiz.de/10010746546
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Attracting investor attention through advertising
Lou, Dong - London School of Economics (LSE) - 2013
This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is...
Persistent link: https://www.econbiz.de/10010745567