排序方式: 共有16条查询结果,搜索用时 15 毫秒
1.
Lilian Ng Valeriy Sibilkov Qinghai Wang Nataliya Zaiats 《Journal of Corporate Finance》2011,17(5):1510-1530
This paper studies the impact of the 2003 SEC Regulation requiring shareholder approval of all equity-based executive compensation plans on executive compensation policies and practices at S&P 500 firms. Following the 2003 Regulation, firms with shareholder approved equity plans in place or those with strong performance, while not those with non-approved plans or weak performance, increase their equity compensation proposal submission activity. The quality of equity compensation proposals improves in the after-regulation period, and shareholders exhibit greater scrutiny and monitoring of executive compensation through increased voting rights. We find a decline in the equity pay component while an increase in the cash component of total executive compensation after the 2003 Regulation and also provide evidence that the 2003 Regulation contributes to this change in compensation structure. 相似文献
2.
The Lévy Libor or market model which was introduced in Eberlein and Özkan (The Lévy Libor model. Financ. Stochast., 2005, 9, 327–348) is extended to a multi-currency setting. As an application we derive closed form pricing formulas for cross-currency derivatives. Foreign caps and floors and cross-currency swaps are studied in detail. Numerically efficient pricing algorithms based on bilateral Laplace transforms are derived. A calibration example is given for a two-currency setting (EUR, USD). 相似文献
3.
Dominique Henriet Nataliya Klimenko Jean-Charles Rochet 《The GENEVA Risk and Insurance Review》2016,41(1):2-18
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance prices in a competitive insurance market with financial frictions. Insurance companies choose underwriting and financing policies to maximise shareholder value. The equilibrium price dynamics are explicit, which allows simple numerical simulations and generates testable implications. In particular, we find that the equilibrium price of insurance is (weakly) predictable and the insurance sector always realises positive expected profits. Moreover, rather than true cycles, insurance prices exhibit asymmetric reversals caused by the reflection of the aggregate capacity process at the dividend and recapitalisation boundaries. 相似文献
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We employ a new comprehensive proxy voting records database to investigate whether mutual funds consider prior firm performance when they vote on a diverse range of management- and shareholder-sponsored proposals relating to governance, compensation, and director election. We argue that prior firm performance plays a role in the monitoring effort of mutual funds as they fulfill their fiduciary duties. Results show that voting is related to prior firm performance for selected management and shareholder proposals and that it is consistent with Institutional Shareholder Services’ recommendations. Mutual funds support management (shareholder) proposals less (more) when prior firm performance has been weak. Furthermore, even when mutual funds deviate from their fund family’s voting policies, they attach importance to prior firm performance, and their voting is, to a certain degree, affected by business ties. 相似文献
5.
The breakdown point in its different variants is one of the central notions to quantify the global robustness of a procedure. We propose a simple supplementary variant which is useful in situations where we have no obvious or only partial equivariance: Extending the Donoho and Huber (The notion of breakdown point, Wadsworth, Belmont, 1983) Finite Sample Breakdown Point?, we propose the Expected Finite Sample Breakdown Point to produce less configuration-dependent values while still preserving the finite sample aspect of the former definition. We apply this notion for joint estimation of scale and shape (with only scale-equivariance available), exemplified for generalized Pareto, generalized extreme value, Weibull, and Gamma distributions. In these settings, we are interested in highly-robust, easy-to-compute initial estimators; to this end we study Pickands-type and Location-Dispersion-type estimators and compute their respective breakdown points. 相似文献
6.
Nataliya Bershova 《Quantitative Finance》2013,13(11):1759-1778
We perform an empirical study of a set of large institutional orders executed in the US equity market. Our results validate the hidden order arbitrage theory proposed by Farmer et al. [How efficiency shapes market impact, 2013] of the market impact of large institutional orders. We find that large trades are drawn from a distribution with tail exponent of roughly 3/2 and that market impact approximately increases as the square root of trade duration. We examine price reversion after the completion of a trade, finding that permanent impact is also a square root function of trade duration and that its ratio to the total impact observed at the last fill is roughly 2/3. Additionally, we confirm empirically that the post-trade price reverts to a level consistent with a fair pricing condition of Farmer et al. (2013). We study the relaxation dynamics of market impact and find that impact decay is a multi-regime process, approximated by a power law in the first few minutes after order completion and subsequently by exponential decay. 相似文献
7.
Nataliya Barasinska Dorothea Schäfer Andreas Stephan 《The Quarterly Review of Economics and Finance》2012,52(1):1-14
This paper explores the relationship between the self-declared risk aversion of private investors and their propensity to hold incomplete portfolios of financial assets. The analysis is based on household survey data from the German Socioeconomic Panel (SOEP) that provides a reliable measure of individual attitudes toward financial risk. Our findings suggest that more risk averse households tend to hold incomplete portfolios consisting mainly of a few risk-free assets. We also find that the propensity to acquire additional assets is highly dependent on whether liquidity and safety needs are met. 相似文献
8.
This article investigates the link between financing and investment in Ukrainian agriculture during economic transition. The main contribution of the study is to provide empirical evidence for the coexistence of financial constraints and soft budget constraints (SBCs). This is of particular importance because credit constraints and SBCs have completely different economic effects. The lack of differentiation between these forms of capital market imperfections yields overlapping effects of financing on investment and may therefore cause a misinterpretation of econometric results. Our empirical analyses are based on an econometric estimation of the Euler investment equations for 529 large farms from three Ukrainian regions between 2001 and 2005. The results confirm that financial variables significantly influence farms' investment, providing empirical evidence of an imperfect capital market in Ukrainian agriculture. It turns out that credit constraints in the Ukrainian agricultural sector are more important than SBCs. We show that the estimated level of financial constraints for profitable farms with access to loans is higher if both types of capital market imperfections are appropriately distinguished. 相似文献
9.
Nataliya Ilyushina 《The Australian economic review》2023,56(4):516-523
Studies of the association between unpaid housework and wellbeing, especially for parents, has produced either negative or inconclusive results in previous studies. One potential oversight is that ‘housework’ often includes activities with a counteracting effect on mental health. By employing the Household, Income and Labour Dynamics in Australia (HILDA) data set that differentiates ‘housework’ from more routine tasks included in the ‘errands’ variable I illustrate the difference in the pattern of how these variables are linked to parents' mental health. By identifying specific groups of unpaid tasks that are most detrimental to mental health, policymakers can prioritise these areas, ensuring that negative associations are not wrongly attributed to all housework activities. 相似文献
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