The bulk of the option pricing properties established in Merton's Classic Theory when the option price is homogeneous of degree one in the underlying's value and the exercise price, are shown to extend to any Markovian diffusion world. The most important result is that calls are increasing...

Stock and options markets can disagree about a stock's value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross- market discrepancy in values is especially strong when accompanied by stock price pressure, and it does...

Employee matching grant schemes are coordination mechanisms that reduce free-riding by socially-conscious employee-donors. Matching schemes coupled with lower take-home pay than offered by non-matching firms will survive capital and labor market competition if employee type is not observable and...

For a fixed large donation a matching scheme that simply uses a one-for-one match ratio can actually raise less money than a seed money scheme. But when the match ratio is chosen to reflect the characteristics of the small donor base so as to exhaust the large donor's willingness to give,...

Machine-learning is used to investigate the information content of 10-K Item 1A Risk Factors disclosures by identifying and quantifying 30 risk-factors. Sentence-counts of salient risk-factors are strongly positively related to 14 familiar proxies for firm risk. The time-series average of the...

This paper examines general properties of prices of contingent claims. When the underlying follows a one- dimensional diffusion and interest rates are deterministic, a claim's delta is bounded by the infimum and the supremum of its delta at maturity. Similar bounds hold for the bond position in...

Buying recent winners and shorting recent losers guarantees time varying factor exposures in accordance with the performance of common risk factors during the ranking period. Adjusted for this dynamic risk exposure, momentum profits are remarkably stable across subperiods of the entire post 1926...

We consider the problem of moral hazard in the team of managers employed in a firm when the principal/firm owner can play an active role in determining team output. Unless the principal's compensation is non-decreasing in firm value there is an additional moral hazard problem since the principal...

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic diffusion parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...

When the underlying price process is a one-dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is...