This paper offers a comprehensive study of survivorship issues, in the context of mutual fund research, using the mutual fund data set of Carhart (1997). We find that funds in our sample disappear primarily because of multi-year poor performance. Then we demonstrate analytically that this...

I solve the investment problem of a risk averse fund manager who charges an incentive fee which he cannot hedge in his personal account. An incentive fee is a share in the positive part of the returns on the client's portfolio net of some benchmark. Under the optimal policy, the manager either...

This paper evaluates the performance of two option models in predicting the exercise decisions of managers who hold nontransferable executive stock options. Using data on option exercises from 40 firms from 1979 to 1994, I compare the predictions of an elaborate model based on utility...

Although the Financial Accounting Standards Board has been developing standards for reporting and disclosing derivatives activity for many years, current guidelines are still neither comprehensive nor widely accepted. With regard to recognition of profit or loss from these instruments, the...

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two...

China is the world's largest investor and greatest contributor to global economic growth by wide margins, and will remain so for many years. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China's stock...