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Locked Up by a Lockup: Valuing Liquidity as a Real Option
Ang, Andrew; Bollen, Nicolas P.B. - National Bureau of Economic Research (NBER) - 2010
Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities...
Persistent link: https://www.econbiz.de/10008628421
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Impossible Frontiers
Lo, Andrew W.; Brennan, Thomas J. - National Bureau of Economic Research (NBER) - 2008
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio---the portfolio of all assets in which each asset's weight is proportional to its total market capitalization---lies on the mean-variance efficient frontier, the set of portfolios having mean-variance...
Persistent link: https://www.econbiz.de/10005710882
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Repo and Securities Lending
Martin, Antoine; Adrian, Tobias; Begalle, Brian; … - National Bureau of Economic Research (NBER) - 2012
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the...
Persistent link: https://www.econbiz.de/10010969450
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Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
Edmans, Alex; Li, Lucius; Zhang, Chendi - National Bureau of Economic Research (NBER) - 2014
We study the relationship between employee satisfaction and abnormal stock returns around the world, using lists of the "Best Companies to Work For" in 14 countries. We show that employee satisfaction is associated with positive abnormal returns in countries with high labor market flexibility,...
Persistent link: https://www.econbiz.de/10010951210
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The Effect of Liquidity on Governance
Edmans, Alex; Fang, Vivian W.; Zur, Emanuel - National Bureau of Economic Research (NBER) - 2011
disposal. Since the threat of governance, not just actual governance, can discipline managers, we use Section 13 filings to …
Persistent link: https://www.econbiz.de/10009359911
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Shareholder Democracy in Canada
Morck, Randall - National Bureau of Economic Research (NBER) - 2010
The federal government stands poised to exercise its constitutional right to regulate financial markets, an area traditionally left to competing provincial securities commissions. The current state of securities regulation renders impotent US-style takeover defences, such as poison pills and...
Persistent link: https://www.econbiz.de/10008727855
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The True Cost of Social Security
Kotlikoff, Laurence; Blocker, Alexander W.; Ross, Stephen A. - National Bureau of Economic Research (NBER) - 2008
Implicit government obligations represent the lion's share of government liabilities in the U.S. and many other countries. Yet these liabilities are rarely measured, let alone properly adjusted for their risk. This paper shows, by example, how modern asset pricing can be used to value implicit...
Persistent link: https://www.econbiz.de/10005714168
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Corporate Taxes and Capital Structure: A Long-Term Historical Perspective
Longstaff, Francis A.; Strebulaev, Ilya A. - National Bureau of Economic Research (NBER) - 2014
We study the relation between leverage and corporate tax rates using an extensive data set constructed from all corporate income tax returns filed with the IRS from 1926 to 2009. This data set includes financial statement data from millions of private and public corporations of all sizes. We...
Persistent link: https://www.econbiz.de/10010887113
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Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent
Acharya, Viral V.; Pagano, Marco; Volpin, Paolo - National Bureau of Economic Research (NBER) - 2013
We present a model in which managers are risk-averse and firms compete for scarce managerial talent ("alpha"). When … managers are not mobile across firms, firms provide efficient compensation, which allows for learning about managerial talent … and for insurance of low-quality managers. When instead managers can move across firms, firms cannot offer co …
Persistent link: https://www.econbiz.de/10010950720
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Executive Pensions
Bebchuk, Lucian; Robert J. Jackson, Jr. - National Bureau of Economic Research (NBER) - 2005
Because public firms are not required to disclose the monetary value of pension plans in their executive pay disclosures, financial economists have generally analyzed executive pay using figures that do not include the value of such pension plans. This paper presents evidence that omitting the...
Persistent link: https://www.econbiz.de/10005079157