This paper studies optimal executive pay when the CEO is concerned about fairness: if his wage falls below a perceived fair share of output, the CEO suffers disutility that is increasing in the discrepancy. Fairness concerns do not lead to fair wages always being paid -- to induce effort, the...

A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against shocks to the investment opportunity set even when transaction costs are...

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

Using Chinese equity data from April 2009 to August 2020, we contribute to the literature by exploring the impact of short selling on stock prices in three aspects. First, we find that as short sellers become more active, stock price adjustments accelerate, and prices respond more swiftly to...

In this paper, the effect of using retirement income from a variety of sources on initial income rate and the survivability of the income is investigated. The sources of income include pre-existing (‘baseline’) inflation linked guaranteed income (e.g., state pension and uncapped direct...

Infrastructure is a growing asset class in institutional portfolios. But what are the implications for portfolio risk and liquidity? We explore the performance and cash flow properties of infrastructure investments, both at the asset and the fund level. We use PGIM IAS’ asset-allocation...

This study provides a sufficient and necessary condition in which the risk-neutral measure is first-order stochastically dominated by the physical measure. Various sufficient conditions are also developed under the consumption-based equilibrium model. We also show that, if stochastic dominance...

This article focused on establishing the nature and degree of relationships among money supply, price and output in Nigeria in order to erect a dynamic base for monetary theories. It was designed as a correlational study. Data were sourced from the Federal Office of Statistics, Abuja and the...

This study examines the relation between managerial reference points and corporate payout policy. We find that share repurchase activity increases as a firm’s current stock price declines in relation to the price at which it previously repurchased shares. To facilitate a behavioral...

We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...