We derive and test a new option pricing method based on statistics. We show how such a method allows to a) analytically price options with risk measures - such as Value-at-Risk or Expected Shortfall - on assets with stochastic volatility; and b) build several new structural models for the credit...

We investigate whether the tax status of a country has an impact on the corporate capital structure. This research question is important and timely given that the empirical literature has not reached a consensus on the effect of taxes on corporate leverage. The Gulf Cooperation Council region,...

This paper reviews the literature on one of the most meaningful concepts in modern behavioural finance, the overconfidence phenomenon. Overconfidence is presented as a well-developed psychological theory, with main facets comprising miscalibration, better-than-average effect, illusion of control...

We adapt simple tools from computational linguistics to construct a new measure of political risk faced by individual US firms: the share of their quarterly earnings conference calls that they devote to political risks. We validate our measure by showing it correctly identifies calls containing...

We adapt simple tools from computational linguistics to construct a new measure of political risk faced by individual US firms: the share of their quarterly earnings conference calls that they devote to political risks. We validate our measure by showing it correctly identifies calls containing...

We study the effect of systematic uncertainty on firms' precautionary saving motives. As systematic uncertainty changes firms' operational and investment policies, its implications on firm cash holdings remain unclear. Using a GARCH-model based methodology, we construct novel, forward-looking...

In the current business environment organizations are under increased pressure to ensure that they are taking appropriate measures not only in creating value, but also in preserving value. This is required in order to adequately safeguard and defend the interests of their multiple stakeholders....

We examine the impact of family control on the likelihood of accounting misstatements and market reactions to subsequent restatements. Using a matched-firm approach, we find that family control overall reduces the incidence of misstatements, consistent with the notion that controlling families...

Federal Reserve Chairman Ben Bernanke has claimed that the Fed's bank bailouts during the 2008 financial crisis were consistent with Walter Bagehot's rules for a lender of last resort. This paper demonstrates Bernanke's claims to be mistaken. First, we outline Bagehot's doctrine for a classical...

This paper explores the relationship between corporate governance and asymmetric information. We find that proxies for governance mechanisms that encourage the monitoring of managers and rewards managers for moderating shirking and perquisite consumption are inversely related to proxies for...