The primary purpose of this paper is to examine whether leverage has a significant statistical and economic effect on the pricing of Samp;P 500 index put options. The secondary purpose is to present information regarding the shape and persistent smile rather than skew of the implied volatility...

This paper introduces a new methodology for measuring and analyzing capital structure effects on option prices of individual firms in the economy. By focusing on individual firms we examine the cross sectional effects of leverage on option prices. Our methodology allows the market value of each...

This paper presents empirical tests of seven alternative estimators for the volatility of the Samp;P 500 equity index. Two of the estimators are the implied volatilities derived from the option models of Geske (1979) and Black-Scholes (1973) and using market prices for options. The Geske...

The purpose of this paper is to examine whether leverage has a significant statistical and economic effect on the pricing of Samp;P 500 index options. This is the first paper to directly test for leverage effects in stock index options. To analyze these effects we use the Geske (1979) compound...

Natural disasters can cause heavy economic losses to firms that may propel them to overuse earnings management to change public perceptions about the damage brought by these events. This may lead to potential profit manipulation and accounting fraud, eventually damaging the interests of...

This study examines the effect of managerial academic experience on firms' financial reporting quality. Using data from China, we find that firms with top managers possessing academic experience exhibit lower levels of both accrual and real earning management, along with a lower probability of...

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...

We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk, increases in future profitability, as well as favorable earnings surprises. Further, the...

Using plausibly exogenous variations in the ethnicity-specific assigned birth quotas and different fertility penalties across Chinese provinces over time, we provide new evidence for the transferable utility model by showing how China's One-Child Policy induced a significantly higher unmarried...

Using a unique auction dataset from artinfo.com, we find that narcissism measuredby the signatures of artists is positively associated with the market performance ofartworks. The artworks of more narcissistic artists have higher market prices, higherestimates from auction houses, and higher...