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Yesterday's Heroes : Compensation and Creative Risk-Taking
Cheng, Ing-Haw - 2010
We study the relationship between compensation and risk-taking among finance firms using a neglected insight from principal-agent contracting with hidden action and risk-averse agents. If the sensitivity of pay to stock price or slope does not vary with stock price volatility, then total...
Persistent link: https://www.econbiz.de/10012462481
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Fund Managers, Career Concerns, and Asset Price Volatility
Guerrieri, Veronica - 2009
We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some … managers have superior information on the default probability. Looking at the past performance, investors update beliefs on … their managers and make firing decisions. This leads to career concerns which affect investment decisions, generating a …
Persistent link: https://www.econbiz.de/10012463750
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Execution Risk
Engle, Robert - 2006
Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between risk and return in optimal execution should reflect the...
Persistent link: https://www.econbiz.de/10012466529
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Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design
Liang, Nellie - 2002
Using panel data for nearly 1,000 companies during 1991 to 2000, this paper documents that the average share of participant's discretionary 401(k) contributions in company stock was almost 20 percent, and then relates this share to plan design features and firm financial characteristics. We find...
Persistent link: https://www.econbiz.de/10012469580
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The empirical foundations of the arbitrage pricing theory
Lehmann, Bruce Neal; Modest, David M. - 1985
Persistent link: https://www.econbiz.de/10000687104
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Trading Volume : Implications of An Intertemporal Capital Asset Pricing Model
Lo, Andrew W. - 2001
We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that...
Persistent link: https://www.econbiz.de/10012470153
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Portfolio Balance, Price Impact, and Secret Intervention
Evans, Martin D. D. - 2001
This paper tests the portfolio-balance approach to exchange rate determination in a new way. Past work on portfolio balance in foreign exchange falls into two groups: (1) tests using measures of asset supply and (2) tests using measures of central-bank asset demand. We address the demand side,...
Persistent link: https://www.econbiz.de/10012470364
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Taxation, Risk-Taking, and Household Portfolio Behavior
Poterba, James M. - 2001
This paper summarizes the current state of research on how taxation affects household decisions with respect to portfolio structure and asset trading. It discusses long-standing issues, such as the impact of differential taxation of income flows from stocks and bonds on the incentives for...
Persistent link: https://www.econbiz.de/10012470384
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The Equivalence of the Social Security's Trust Fund Portfolio Allocation and Capital Income Tax Policy
Smetters, Kent - 2001
This paper proves that the stock-bond portfolio choice of the Social Security trust fund is equivalent in general equilibrium to the tax treatment of capital income by the non-social security part of government. A larger [smaller] share of social security's portfolio invested in stocks is...
Persistent link: https://www.econbiz.de/10012470465
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Taxation and Portfolio Structure : Issues and Implications
Poterba, James M. - 2001
overview of how taxation affects household portfolio structure. It begins by outlining six aspects of portfolio behavior that may be influenced by the tax system. These are asset selection, asset allocation, borrowing, asset location in taxable and tax-deferred accounts, asset turnover, and...
Persistent link: https://www.econbiz.de/10012470501