Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Levy stock price dynamics, we show that a...

Using novel data from executive deferred compensation, this paper presents new evidence on the relationship between CEO risk preference and firm risk (the volatility of firm performance measures such as stock return, earnings and operating cash flows). My results show a negative association...

We study both theoretically and empirically option prices on firms undergoing a cash merger offer. To estimate the merger's success probability, we use a Markov Chain Monte Carlo (MCMC) method using a state space representation of our model. Our estimated probability measure has significant...

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of...

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of...

Measures of productivity reveal large differences across producers even within narrowly defined industries. Traditional measures of productivity, however, will associate differences in demand volatility to differences in productivity when adjusting factors of production is costly. I document...

The Turkish economy has been facing account deficit problems in recent years and tourism revenues play an important role in financing this deficit. Tourism revenues are affected by exchange rate volatility and the effects of exchange rate volatility on tourism revenues need to be researched. The...

This paper assesses the effects of domestic football teams' performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in...