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Independent directors and defined benefit pension plan freezes
(2018)
We study the role of outside directors in defined benefit pension plan freezes, where the interests of shareholders are in apparent conflict with the interests of firm employees. We examine the effect of independent directors ...
State Contingent Debt as Insurance for Euro-Area Sovereigns
(2018-04)
The euro-area sovereign debt crisis is receding. Europe is on a recovery path, growth is broad-based and unemployment is falling. One after the other, countries hit hardest by the crisis are exiting their adjustment ...
Pricing and hedging GDP-linked bonds in incomplete markets
(2018)
We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
Who are the winners in POS. Emprical evidence for the U.S
(European Accounting Association, 2018)
Are analyst stock recommendation revisions more informative in the post-IFRS period?
(2018)
This paper investigates whether the mandatory IFRS adoption has affected the informativeness of analyst recommendation revisions in Europe. Although prior studies document that IFRS adoption improved analyst forecast ...
Contingent Convertible Bonds for Sovereign Debt Risk Management
(2018)
We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign’s credit worthiness breaching a distress threshold. This financial innovation limits ex ante ...
Real Options in Operations Research: A Review
(2018)
The Real Options approach to decision-making has been useful in capturing and valuing the flexibility inherent in many operating decisions that decision makers are faced with. In Operations Research (OR), a field that ...
Pricing sovereign contigent convertible debt
(2018)
We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign’s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent ...
The cross-section of expected stock returns in the property/liability insurance industry
(2018)
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor ...
An empirical analysis of analyst’s short run stock tips
(European Accounting Association, 2018)