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This paper models a …rm's rollover risk generated by con ‡ict of interest between debt and equity holders. When the …rm faces losses in rolling over its maturing debt, its equity holders are willing to absorb the losses only if the option value of keeping the …rm alive justi…es the cost of paying o¤ the maturing debt. Our model shows that both deteriorating(More)
We identify and explain a structural change in the relation between crude oil futures prices across contract maturities. As recently as 2001, near-and long-dated futures were priced as though traded in segmented markets. In 2002, however, the prices of one-year futures started to move more in sync with the price of the nearby contract. Since mid-2004, the(More)
We present a simple rational model to highlight the effect of investors' participation costs on the response of mutual fund f lows to past fund performance. By incorporating participation costs into a model in which investors learn about managers' ability from past returns, we show that mutual funds with lower participation costs have a higher f low(More)
Financing can be cheaper in certain periods than others. For example, in crisis periods, firms face tougher financing terms than in normal times. We develop an analytically tractable dynamic framework for firms facing stochastic financing opportunities. Financially constrained firms choose intertemporal equity issuance, internal cash accumulation, corporate(More)
The thesis advanced by this dissertation is that convex sets of probability distributions provide a powerful representational framework for decision making activities in Robotics and Artiicial Intelligence. The primary contribution of this dissertation is the development of algorithms for inference and estimation in two domains. The rst domain is robustness(More)
This paper investigates whether there are systematic differences between the forecasting style and abilities of female and male analysts, and whether market participants recognize these differences. My key conjecture is that only female analysts with superior forecasting abilities enter the profession due to a perception of discrimination in the analyst(More)
The usual disclaimer applies. Financial support from The University of British Columbia and the Entrepreneurship Research Alliance at UBC is gratefully acknowledged. Earlier versions of this paper appeared under the title " Preemption Risk and the Valuation of R&D Ventures ". Abstract I analyze the impact of competition on the risk premia of R&D ventures(More)
Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings, we find that funds held primarily by taxable investors choose(More)
Over the last four decades, the average Gaussian-risk-adjusted return on a stock portfolio that goes long in the largest banks and short in the smallest banks is minus 7 %. Moreover, this portfolio provides US investors with insurance against recessions, even though the cash flows of large banks seem more exposed to macroeconomic risk. Using the rare events(More)
We present a novel approach to pose and illumination invariant face recognition that combines two recent advances in the computer vision field: component-based recognition and 3D morphable models. First, a 3D morphable model is used to generate 3D face models from three input images from each person in the training database. The 3D models are rendered under(More)