We study the dynamics of initial public offerings (IPOs) by examining the tradeoff between an entrepreneur's private benefits, which are lost whenever the firm is publicly traded, and the gains from diversification. We characterize the timing dimension of the decision to go public and its impact...

Abstract In this paper, we study the dynamics of initial public offerings (IPOs) by examining the tradeoff between an entrepreneur’s private benefits, which are lost whenever the firm is publicly traded, versus the advantages from diversification. We characterize the timing dimension of the...

We examine whether bond ratings contain pricing relevant information, that is unavailable to investors from other sources, by focusing on investor reaction to rating changes that were not accompanied by any economic fundamental event - Moody's refinement of its rating system. This refinement was...

Empirical investigations of the agency costs of dispersed ownership yield mixed results. A possible explanation for the lack of conclusive evidence is inaccurate measurement of the extent of the problem. We suggest that the extent of the problem be measured as theory suggests: by the wealth...

We consider equilibrium option pricing in a simple two-period economy that is characterized by heterogeneity among agents. We demonstrate that an economy in which agents have constant yet heterogeneous degrees of relative risk aversion will price assets as though it has a single quot;pricing...

A recent paper (Benninga-Protopapadakis, J. Business, 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the...

An extensive cheapest-to-deliver (CTD) literature has become mired in the misconception that the CTD is characterizable in terms of duration. We show that exceptions to the duration rule contain many economically relevant scenarios. Our conclusions may be summarized as follows: 1. Independent of...

This paper examines two issues which are not addressed or have caused some confusion in the hedging literature. We first derive general conditions under which forward and/or put unbiasedness occurs. Contrary to the traditional belief that unbiasedness occurs under risk-neutrality only, we show...