This paper develops a signalling model with two signals, two attributes, and a continuum of signal levels and attribute-types to explain a puzzling phenomenon: the underpricing of new issues. Both the fraction of the new issue retained by the issuer and its offering price convey the unobservable...

This paper presents a simple model that provides insights about various measures of portfolio performance. The model explores three criticisms of these measures: (i) the inability to identify an appropriate benchmark portfolio; (ii) the possibility of overestimating risk because of market timing...

In this paper, option pricing theory is used to value and analyze many performance-based fee contracts that are currently in use. A potential problem with some of these contracts is that they may induce portfolio managers to adversely alter the risk of the portfolio they manage. This paper is...

This paper develops a signalling model with two signals, two attributes, and a continuum of signal levels and attribute-types to explain a puzzling phenomenon: the underpricing of new issues. Both the fraction of the new issue retained by the issuer and its offering price convey the unobservable...