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Moral hazard, informed trading, and stock prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - 2013
We analyze a dynamic model of informed trading where a shareholder accumulates shares in an anonymous market and then expends costly effort to change the firm value. We find that equilibrium prices are affected by the position accumulated by the shareholder, because the level of effort...
Persistent link: https://www.econbiz.de/10010258547
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Innovation, delegation, and asset price swings
Sato, Yuki - 2015
We propose a dynamic asset-market equilibrium model in which (1) an "innovative" asset with as-yet-unknown average payoff is traded, and (2) investors delegate investment to experts. Experts secretly renege on investors' orders and take on leveraged positions in the asset to manipulate...
Persistent link: https://www.econbiz.de/10011293484
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Moral hazard with excess returns
Blonski, Matthias; Lilienfeld-Toal, Ulf von - In: Mathematics and financial economics 17 (2023) 3, pp. 537-572
Persistent link: https://www.econbiz.de/10014381102
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The effect of limit order book information on investors with different risk attitudes
Wang, Ya-hui; Lai, Chien-Chih - In: The international journal of business and finance … 9 (2015) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10010515350
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Do Large Swings in Equity Values Change Risk Tolerance?
Guillemette, Michael - 2014
Changes in average FinaMetrica monthly risk tolerance scores were evaluated during the January 2007 to May 2012 time … influence average risk tolerance scores over time. A strong positive correlation (0.70) between average monthly risk tolerance … scores and the S&P 500 was noted. The standard deviation for average monthly risk tolerance scores was relatively low (1 …
Persistent link: https://www.econbiz.de/10013053166
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Refining the general equilibrium relation that subsists between stock returns, and each of investors' risk preferences and information sets
Obrimah, Oghenovo Adewale - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013341864
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The Cross-Section of Risk-Taking and Asset Prices
Coimbra, Nuno; Jamilov, Rustam; Rey, Hélène - 2020
The distribution of institutional investor risk-taking carries significant explanatory power for the cross-section of … asset returns. We compute an investor-level Value-at-Risk (VaR) measure - our proxy for ex-ante riskiness - from a …
Persistent link: https://www.econbiz.de/10014352043
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The effects of IPO mandatory lockups and corporate governance on underpricing : evidence from the Australian securities exchange
Haman, Janto; Chalmers, Keryn; Fang, Victor - In: Journal of accounting, auditing & finance : JAAF 35 (2020) 4, pp. 854-869
Persistent link: https://www.econbiz.de/10012308887
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Uncertainty, investment, and managerial incentives
Glover, Brent; Levine, Oliver - In: Journal of monetary economics 69 (2015), pp. 121-137
Persistent link: https://www.econbiz.de/10011326673
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When a gift resembles a trojan horse : CEO stock gift and stock price crash risk
Man Duy Pham; Thu Ha Nguyen - In: The British accounting review 56 (2024) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10015062475