David Weinbaum

Learn More
This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain important information for credit spreads and improve on both implied volatilities of index options and on historical volatilities when explaining(More)
We study benefits received by target CEOs in completed mergers and acquisitions. Certain target CEOs negotiate large cash payments in the form of special bonuses or increases in golden parachutes. These negotiated cash payments are positively associated with the CEO’s prior excess compensation and negatively associated with the likelihood that the CEO(More)
This paper develops a theory of corporate risk-management in the presence of deadweight losses caused by financial distress and tests its implications using a comprehensive dataset of over 3000 non-financial firms. Unlike extant theories that explain only the ex-ante riskmanagement behavior of a firm, I show that the shareholders optimally engage in ex-post(More)
A change in executive leadership is a significant event in the life of a firm. This study investigates an important consequence of a CEO turnover: a change in equity volatility. We develop three hypotheses about how changes in CEO might affect stock price volatility, and test these hypotheses using a sample of 872 CEO turnovers over the 1979-95 period. We(More)
We introduce measures of volatility and jump risk constructed from S&P index option returns to examine the pricing of aggregate jump and volatility risk in the cross-section of stock returns. Using straddle returns to proxy for volatility risk, we find strong evidence that aggregate stock market volatility is a priced risk factor. This stands in contrast to(More)
Even though clients treated in an outpatient setting have been documented to have very high dropout rates, evidences of the factors that influence dropping out are fragmentary and are based on small-scale studies. In our attempt to distinguish such factors, outpatient and intensive outpatient alcoholism admissions for the State of New Jersey were analyzed.(More)
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price (delta) and exposure to changes in implied volatility (vega) are(More)
Artificial General Intelligence (AGI) is a field of research aiming to distill the principles of intelligence that operate independently of a specific problem domain or a predefined context and utilize these principles in order to synthesize systems capable of performing any intellectual task a human being is capable of and eventually go beyond that. While(More)