Results 41 to 50 of about 79,639 (196)
Board Independence and Adjustment Speed of CEO Inside Debt
European Financial Management, EarlyView.ABSTRACT We find that firms with more independent directors adjust CEO inside debt towards an optimum more quickly. This effect is more pronounced in financially unconstrained, growth, and under‐levered firms, and also firms led by more powerful or overconfident CEOs.
Bonnie Buchanan, Shuhui Wang, Tina Yang
wiley +1 more source
Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, EarlyView.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
On the numerical solution of nonlinear Black–Scholes equations
Computers & Mathematics with Applications, 2008 Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decades, since they provide more accurate values by taking into account more realistic assumptions, such as transaction costs, risks from an unprotected portfolio, large investor’s preferences or illiquid markets, which may have an impact on the stock price ...
Julia Ankudinova, Matthias Ehrhardt 0001
openaire +2 more sources
The Role of Index Fund Ownership in the Era of Say‐on‐Pay
Financial Management, EarlyView.ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Appearances of pseudo-bosons from Black-Scholes equation
, 2016 It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr\"odinger equation expressed in terms of a non self-adjoint hamiltonian. We show how {\em pseudo-bosons}, linear or not, naturally arise in this context,
Bagarello, Fabio
core +1 more source
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Chaotic solution for the Black-Scholes equation [PDF]
Proceedings of the American Mathematical Society, 2011 The Black-Scholes semigroup is studied on spaces of continuous functions on ( 0 , ∞
Emamirad, Hassan +2 more
openaire +1 more source
CEO Narcissism and Related Party Transactions
Journal of Business Finance &Accounting, EarlyView.ABSTRACT We examine the association between CEO narcissism and the likelihood of engaging in related party transactions (RPTs) and its influence on the value implications of these transactions. Furthermore, we investigate the effect of board monitoring on the relationship between CEO narcissism and the value effects of RPTs. We find that CEO narcissism
Anwer S. Ahmed +3 more
wiley +1 more source
Optimal hedging of Derivatives with transaction costs
, 2005 We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction).
Avellaneda M. +4 more
core +3 more sources