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Earnings management and managerial compensation
Bachmann, Kremena; Hens, Thorsten - 2017
This paper studies the earnings management behavior of a manager in a strategic game in which the manager may have incentives to avoid earnings below the analysts' consensus forecast and the analysts aiming to provide accurate forecasts behave as rational Bayesians. Our analysis reveals the...
Persistent link: https://www.econbiz.de/10011875852
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …
Persistent link: https://www.econbiz.de/10011900226
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Why do U.S. CEOs pledge their own company's stock?
Fabisik, Kornelia - 2019
Between 2007 and 2016, 7.6% of publicly listed U.S. firms disclosed that their CEOs had pledged company stock as collateral for a loan. On average, CEOs pledge 38% of their shares. The mean loan value is an economically sizeable $65 million. CEOs use the funds to either double down (6.0%), hedge...
Persistent link: https://www.econbiz.de/10012134769
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Earning investor trust : the role of past earnings management
Eugster, Florian; Wagner, Alexander F. - 2018
Does earnings management, even though legal, hinder investor trust in reported earnings? Or do investors regard earnings management as a way for firms to convey private information, or simply as a neutral feature of financial reporting? We find that past abstinence from earnings management...
Persistent link: https://www.econbiz.de/10011865525
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Systemic risk in Europe
Engle, Robert F.; Jondeau, Eric; Rockinger, Michael - 2012
Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In this paper, we investigate the case of non-U.S. institutions, with several factors explaining the dynamics of financial firms returns and...
Persistent link: https://www.econbiz.de/10009684066
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Limited liability and the demand for coinsurance by individuals and corporations
Bergesio, Andrea; Koch Medina, Pablo; Munari, Cosimo-Andrea - 2021
Within the context of expected utility and in a discrete loss setting, we provide a complete account of the demand for …, binary loss and under actuarially fair prices, individuals and firms will either fully insure or not insure at all. The … party are sufficiently attractive to justify the premium paid. When the loss is nonbinary, even when prices are actuarially …
Persistent link: https://www.econbiz.de/10012614542
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The valuation of insurance liabilities : a framework based on first principles
Bergesio, Andrea; Huber, Paul; Koch Medina, Pablo; … - 2020 - This version: 24 April 2019
We describe a framework for the valuation of insurance liabilities that relies on first principles in finance theory. Key features of the economic value of liabilities are its market-consistency and the inclusion of the costs of financial frictions. We compare this framework to the Solvency II...
Persistent link: https://www.econbiz.de/10012179689
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Systemic risk with central counterparty clearing
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2013
We examine the effects on a financial network of multilateral clearing via a central clearing counterparty (CCP) from an ex ante and ex post perspective. The CCP is capitalized with equity and a guarantee fund and it can charge a volume-based fee. We propose a CCP design which improves aggregate...
Persistent link: https://www.econbiz.de/10009751124
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Capital levels and risk-taking propensity in financial institutions
Barone-Adesi, Giovanni; Farkas, Walter; Koch Medina, Pablo - 2013
Regulators dedicate much attention to the option that financial institutions in distress have to transfer losses to their creditors. It is generally recognized that the existence of this option provides intermediaries with a powerful incentive to keep firm capital close to the minimal...
Persistent link: https://www.econbiz.de/10009751151
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Uniqueness of equilibrium in a payment system with liquidation costs
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2015 - This version: October 22, 2015
We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds under mild and natural assumptions on...
Persistent link: https://www.econbiz.de/10011410730