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A Theory of Income Smoothing When Insiders Know More Than Outsiders
Acharya, Viral V; Lambrecht, Bart - C.E.P.R. Discussion Papers - 2012
We consider a setting in which insiders have information about income that outside shareholders do not, but property rights ensure that outside shareholders can enforce a fair payout. To avoid intervention, insiders report income consistent with outsiders' expectations based on publicly...
Persistent link: https://www.econbiz.de/10011083832
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Does Relationship Lending Require Opaque (and Conservative) Financial Reporting?
Bigus, Jochen; Hakenes, Hendrik - C.E.P.R. Discussion Papers - 2014
For many private firms, relationship lending is the only viable form of outside financing. Relationship lending typically relies on intertemporal loan pricing: losses from early years are recovered by information rents in later years, which stem from the lender's private information regarding...
Persistent link: https://www.econbiz.de/10011083940
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Limits of Limits of Arbitrage: Theory and Evidence
Hombert, Johan; Thesmar, David - C.E.P.R. Discussion Papers - 2009
We present a model where arbitrageurs operate on an asset market that can be hit by information shocks. Before entering the market, arbitrageurs are allowed to optimize their capital structure, in order to take advantage of potential underpricing. We find that, at equilibrium, some arbitrageurs...
Persistent link: https://www.econbiz.de/10005666728
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Optimal Portfolio Allocation for Corporate Pension Funds
McCarthy, David; Miles, David K - C.E.P.R. Discussion Papers - 2007
We model the asset allocation decision of a defined benefit pension fund using a stochastic dynamic programming approach. Our model recognizes the fact that asset allocation decisions are made by trustees who are mandated to act in the best interests of beneficiaries - not by sponsoring...
Persistent link: https://www.econbiz.de/10005123770
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Optimal portfolio allocation for corporate pension funds
McCarthy, David; Miles, David K - C.E.P.R. Discussion Papers - 2011
We model the asset allocation decision of a stylized corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries--who make the asset allocation decision--face non-linear payoffs linked to the plan’s funding status because of the...
Persistent link: https://www.econbiz.de/10008854488
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Investor Protection and Equity-Holdings: An Explanation of Two Puzzles?
Giannetti, Mariassunta; Koskinen, Yrjö - C.E.P.R. Discussion Papers - 2003
We develop a model where wealthy investors have an incentive to become controlling shareholders because they can earn additional benefits by expropriating outside shareholders. As a consequence, in countries where minority investor rights are poorly protected, both domestic and foreign portfolio...
Persistent link: https://www.econbiz.de/10005114263
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Which Investors Fear Expropriation? Evidence from Investors' Stock Picking
Giannetti, Mariassunta; Simonov, Andrei - C.E.P.R. Discussion Papers - 2003
Using a data-set that provides unprecedented details on individual investors’ stockholdings, we analyse whether investors take into account corporate governance when they select stocks. After controlling for the supply effect via free float and other firm characteristics, we find that all...
Persistent link: https://www.econbiz.de/10005114455
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A Portfolio Approach to a Cross-sectoral and Cross-National Investment Strategy in Transition Economies
Buiter, Willem H.; Lago, Ricardo; Rey, Hélène - C.E.P.R. Discussion Papers - 1997
This paper takes a systematic look at the portfolio choice problem faced by investment banks or funds investing in transition economies. We relate the performance of projects in the transition economies to the broader macroeconomic and international environment, which affect the project through...
Persistent link: https://www.econbiz.de/10005661678
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A Model of Credit Risk, Optimal Policies and Asset Prices
Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002
, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider …
Persistent link: https://www.econbiz.de/10005788927
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Rollover Risk and Market Freezes
Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009
small default risk. Our model explains why markets for rollover debt, such as asset-backed commercial paper, may experience …
Persistent link: https://www.econbiz.de/10004980204