We study SPACs in a continuous-time delegated investment model. Our model is built upon three unique features of SPACs: the sponsor and the investor are only partially aligned, a SPAC has a short time horizon, and the investor has the final control over investment approval. Due to the...

In this paper, we give a way to calculate a option implied volatility curve in closed form via the well known quadratic root formula. The closed form expression has 3 free parameters, which parsimoniously govern the assumed dynamics of implied volatility under forward swap measure. Preliminary...

Post-crisis bank regulations raised market-making costs for bank-affiliated dealers. We show that this can, somewhat surprisingly, improve overall investor welfare and reduce average transaction costs despite the increased cost of immediacy. Bank dealers in OTC markets optimize between two...

Enterprise Resource Planning system (ERP) reshapes the way information is collected, processed, and disseminated, but extant evidence on its effects on a firm's transparency and internal control is mixed. We add to the debate by showing that firms' stock price crash risk decreases following ERP...

This paper presents the Sale Price Appraisal Ratio (SPAR) method for constructing house price indexes. The method, which uses ratios of transaction prices and previous appraised values to build up an index, has been applied since the early 1960s to produce semi-annual price indexes for regions...

This paper explores the prices of three aesthetic externalities (the presence of a water view, the appearance of nearby improvements, and the quality of landscaping in the neighborhood) in residential property markets. In particular, we focus on how the implicit prices of such characteristics...

The impact of views on property values has not been the specific focus of as much research as has the impact of other externalities on property values. When the impact of views is assessed, this is often done by simply adding a dummy variable for views in hedonic regression equations. This paper...