This paper examines whether investors recognize the value of managerial flexibilities, as proxied by real options, in their valuation of new product introductions. We define a firm’s real options portfolio as the difference between the firm’s market value and its assets in place. A firm’s...

In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (<CitationRef CitationID="CR23">1979</CitationRef>) and Harrison and Pliska (<CitationRef CitationID="CR24">1981</CitationRef>, <CitationRef CitationID="CR25">1983</CitationRef>) as well as the corporate debt pricing model developed by Merton (<CitationRef CitationID="CR38">1974</CitationRef>). The...</citationref></citationref></citationref></citationref>

Merton (1973) and Campbell (1993) have demonstrated that if an investor anticipates information shifts, he will adjust his portfolio choice today in an attempt to hedge these shifts. Exploiting these insights, we construct a new performance measure to evaluate fund managers' hedging ability....