How Do Quasi‐Random Option Grants Affect CEO Risk‐Taking?

We examine how an increase in stock option grants affects CEO risk‐taking. The overall net effect of option grants is theoretically ambiguous for risk‐averse CEOs. To overcome the endogeneity of option grants, we exploit institutional features of multiyear compensation plans, which generate two distinct types of variation in the timing of when large increases in new at‐the‐money options are granted. We find that, given average grant levels during our sample period, a 10% increase in new options granted leads to a 2.8% to 4.2% increase in equity volatility. This increase in risk is driven largely by increased leverage.     

战略风险评估7步走

“对大多数公司而言,董事会倾注注意力和时间的重心是理解战略及关联风险并提供指导……以及对高管实施战略和风险管理两方面的业绩进行监管。”由美国全国公司董事协会（NACD）出版的《加强美国上市公司监管的关键议定原则》中如是表示。     

Psychological and Demographic Characteristics as Determinants of Women's Health Insurance Coverage

The study examines the role of demographic and psychological characteristics in determining women's healthcare insurance coverage. To assess the role of these characteristics, data from the National Longitudinal Survey of Labor Market Experience (NLSLME), Young Women's Cohort, were used considering both a married and not married subsample. Overall, the results indicate that in addition to the influence of previously examined demographic characteristics, the role of psychological attributes is substantial particularly for the not married subsample. Findings suggest that in addition to policy aimed at increasing health insurance coverage by way of considering demographic characteristics policy should also consider psychological attributes.     

German Employers’ Inputs to Employee Skills Development

Using organizational level survey data, this article analyzes larger German private employers’ inputs to employee skills development, to test the theory that unions and employers’ associations raise employer incentives for training. Large German employers maintained their overall contribution between 1995 and 1999. Indicative data for 2004 suggest that this has continued, yet neither membership of employers’ associations nor high union densities influenced it.     

DEMAND RESPONSE TO COST SHARING UNDER MANAGED HEALTH CARE

We use 1996 Medical Expenditure Panel Survey to examine the demand response of ambulatory medical services to demand-side cost sharing under managed health care and find that demand response to a coinsurance rate is less than that under conventional plans. To address the selection problem, only respondents who were offered a single insurance plan from private establishments are studied. Our results show that managed care, relying on different approaches to ration, has blunted demand response. This suggests that in a managed care context, increasing demand-side cost sharing will reduce costs to plans mainly by shifting costs to enrollees. ( JEL I11)     

Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross‐section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight‐to‐safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market volatility.     

Implied Equity Duration: A Measure of Pandemic Shutdown Risk

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term cash flows, thus they have a greater impact on low‐duration equities. We show that implied equity duration has a strong positive relation to U.S. equity returns and analyst forecast revisions during the onset of the 2020 COVID‐19 shutdown. Our analysis also demonstrates that the underperformance of “value” stocks during this period is a rational response to their lower durations.     

Does the Bond Market Predict Bankruptcy Settlements?

This study shows the extent to which deviations from the absolute priority rule increase or decrease the bankruptcy emergence payoff to traded (i.e., usually junior claimants) bondholders. The data indicate that, on average, bondholders benefit, albeit slightly, from absolute priority rule (APR) violations. This paper also examines the degree to which the bond market, in the bankruptcy filing month, anticipates departures from the APR and other influences on the payoff to bondholders. In other words, we investigate the informational efficiency of the market for bankrupt bonds. Overall, despite the complex and lengthy nature of bankruptcy proceedings, the results support efficiency.