This paper examines investment and financing policy in "fully revealing" equilibria - equilibria in which information asymmetries are resolved. Since all securities are priced correctly in a fully revealing equilibrium, it seems plausible that such equilibria would be free of the well known...

This paper presents an asymmetric information model of share repurchases when shareholders have heterogeneous reservation values. Consistent with empirical evidence, managers in the model repurchase shares at a premium above the post- repurchase share value - transferring wealth from...

The paper first examines the various concepts of exposure and relates t hem to existing theories of risk management. It then proceeds to investigate which methods are best suited to measure exposur e under various circumstances. The paper provides a detailed comparison of the pro forma,...

We document the effect on share value of a foreign firm listing on the New York, American Stock Exchanges or Nasdaq over-the-counter market. Our sample consists of over 160 firms from 14 countries that listed their shares for the first time in the US as ordinary listings or as American...

Prior studies indicate that the predictive power of implied forward rates for future spot rates is weak over long sample periods and typically varies dramatically across different subperiods. Fama (1976, 1984) conjectures that the low forecast power is due to a failure to control for the term...

Bankrupt firms should reorganize if the wealth created by continuing is expected to exceed the wealth that would be created by liquidating. We examine 89 firms that reorganized in Chapter 11 and find that, despite having sub-standard accounting profitability, nearly 80% created more wealth by...

Although industrial classifications are an important part of financial research, few researchers explicitly recognize the data base they use in classifying industrial structure. There are substantial differences, however, in primary SIC codes for firms on Compustat and CRSP. Over 36% of the...

This paper studies the equilibrium valuation of foreign exchange- contingent claims. The basic framework is the continuous-time counterpart of the classic Lucas (1982) two-country model, in which exchange rates, term structures of interest rates and, in particular, factor risk prices are all...

The fundamental valuation equation of Cox, Ingersoll and Ross was expressed in terms of the indirect utility of wealth function. As closed-form solution for the indirect utility is generally unobtainable when investment opportunities are stochastic, existing contingent claims models involving...

The presence of third-party guarantees such as insurance guaranty funds can induce managers of covered institutions to take actions that increase the level of risk or increase vulnerability to unfavorable developments. This paper presents evidence of these effects taking place under insurance...