To study the dividend payouts of private firms we extend the agency cost/external financing cost trade-off model of dividend payouts to include the accumulated earnings tax (AET). The firm's optimal dividend policy trades off the benefits from lower agency costs against external financing costs...

This study is an investigation of estimates of expected stock returns implicit in option data. The Lee-Rao-Auchmuty option valuation model provides a unique opportunity to examine whether return measurements derived by nonlinear estimation techniques show any correlation with future stock...

We consider the effects of uncertainty in the statistical parameters of the Gaussian process in the context of the Black-Scholes option pricing model. With continuous time observation of returns, uncertainty about the variance disappears over any finite time interval, but uncertainty about the...

This paper investigates the optimality of stock option grants to Chief Executive Officers (CEOs) by examining a set of S&P 500 companies around the passage of the Sarbanes–Oxley Act (SOX). I find that stock option grants to non-founding-family CEOs decreased dramatically after the passage of...

Using the longest history of a U.S. equity market index, this paper simulates the return deviation and multiple deviation for Leveraged Exchange-Traded Products (LETPs) with different rebalancing frequencies, including daily, monthly, annually, and every five years, over various holding periods....

This article examines the tracking performance of the United States-listed Guggenheim China Real Estate Exchange-Traded Fund (NYSE ticker: TAO) relative to its underlying benchmark index (Alphashare China Real Estate Index, ACNRET) and the actual China Home Price Index (CHPI). The daily return...

The large deviation of the actual return of a leveraged exchange-traded fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of...

This study examines the tracking performance of U.S.-traded International Leveraged Exchanged-traded Funds (ILETFs) that track the following markets: Brazil, China, Europe, Japan, and Mexico. We find that the beta and returns of these ILETFs can deviate dramatically from their naïve expected...