The impact of elasticity on disposition effect driven momentum,substitutability, size,and January seasonality

Review of Quantitative Finance and Accounting - We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity...     

Executive Network Centrality and Stock Liquidity

We examine the relationship between stock market liquidity and the network centrality of firm executives. We find that firms whose executive officers are more central in the network of executives have narrower bid‐ask spreads. We use an exogenous network centrality shock of executive turnover and report that liquidity improves after firms hire executives with greater centrality. We present evidence that improved liquidity is attributable to efficient information flows around executives in more advantageous network positions.     

Share Option Rewards and Managerial Performance: an Abnormal Performance Index Model

Managerial share option schemes are widely used as a means of motivating and rewarding corporate performance. Such schemes normally adopt a static exercise price; when additional exercise criteria are employed they are often based on earnings per share. A static exercise price does not adjust for economic changes outside the control of management, and earnings per share hurdles have similar limitations. This paper presents a ‘phantom’ managerial option based on relative performance, together with a pricing model for the valuation of the option. The option is developed and demonstrated using an abnormal performance index. It offers a structure which could be used for different forms of performance measurement, and resolves some important criticisms of the reward and incentive effects of traditional schemes.