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The executive turnover risk premium
Peters, Florian; Wagner, Alexander F. - 2009
We establish that CEOs of companies experiencing volatile industry conditions are more likely to be dismissed. At the same time, industry risk is, accounting for various other factors, unlikely to be associated with CEO compensation other than through dismissal risk. Using this identification...
Persistent link: https://www.econbiz.de/10003961496
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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and for a value function that is convex on losses and...
Persistent link: https://www.econbiz.de/10003970464
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On the fast track: information acquisition costs and information production
Chen, Deqiu; Ma, Yujing; Martin, Xiumin; Michaely, Roni - 2020
Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of information acquisition, we show that … reductions in information-acquisition costs lead to (i) a significant increase in information production, evidenced by a higher … information lead to these effects becoming more pronounced. Importantly, more information production is also associated with …
Persistent link: https://www.econbiz.de/10012271169
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On the fast track: information acquisition costs and information production
Chen, Deqiu; Ma, Yujing; Martin, Xiumin; Michaely, Roni - 2020
Using the introduction of high-speed rail as exogenous shocks to costs of information acquisition, we show that … reductions in information-acquisition costs lead to a significant increase in information production and improvement in output … that information production represents the channel through which acquisition costs affect output quality. We corroborate …
Persistent link: https://www.econbiz.de/10012181499
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Managerial turnover and leverage under a takeover threat
Novaes, Walter - In: The journal of finance : the journal of the American … 57 (2002) 6, pp. 2619-2650
Persistent link: https://www.econbiz.de/10001721780
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011
We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly effort exerted...
Persistent link: https://www.econbiz.de/10009375121
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Closed-end fund shares' abnormal returns and the information content of discounts and premiums
Brauer, Greggory A. - In: The journal of finance : the journal of the American … 43 (1988) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10001057975
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A tangled tale of training and talent : PhDs in institutional asset management
Chaudhuri, Ranadeb; Ivković, Zoran; Pollet, Joshua M.; … - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5623-5647
Persistent link: https://www.econbiz.de/10012391403
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Stock returns in mergers and acquisitions
Hackbarth, Dirk; Morellec, Erwan - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1213-1252
Persistent link: https://www.econbiz.de/10003822274
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611