Finance Working Papers, Financial Management Research Paper

We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuations on low-price firms, managers will maintain share prices at lower levels, and vice-versa. Using measures ...

The article studies how takeover defenses influence managerial incentives with respect to long term investments, excess liquidity and the amount of debt relative to equity. The article conducts a cross-sectional regression based on a sample ...

We research the consumption and investment range of a time-additive power utility investor and display how the investor need to optimally hedge changes in the opportunity set. The investor is permitted to purchase stocks and ...

This statement discloses a state-of-the-art support system for Tactical Asset Allocation. Asset allocation describes over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation tunes a strategic portfolio based on short term ...

Hedging involves the transfer of price change risk of an asset fiom the owner of the asset to others who are willing to bear this risk. In this paper we investigate hedging a stock portfolio with ...

Making insurance and savings decisions is very difficult. This paper constructs and implements a test of rational consumer behavior in a highstakes financial market. In particular, we test whether consumers make systematic mistakes in perceiving their ...

We conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and ...

This report was prepared for the purpose of providing background documentation of inputs to be used in mathematical programming models and papers, which are being prepared for our research project: Ecological and economic tradeoff analysis ...

We investigate how integration of bank ownership across states has affected economic volatility within states. In theory, bank integration could cause higher or lower volatility, depending on whether credit supply or credit demand shocks predominate. ...

In the financial services industry, a primary concern of money managers is the on-going level of risk in their portfolios. This paper presents new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts ...