Learn More
This paper provides a model of optimal investment timing in a decentralized firm under conditions of agency and asymmetric information. Using a real options approach, we show that an underlying option to invest can be decomposed into two components: a manager's option and an owner's option. The terms of the manager's option are determined by an optimal(More)
We propose that the decision to pay dividends is driven by prevailing investor demand for dividend payers. Managers cater to investors by paying dividends when investors put a stock price premium on payers, and by not paying when investors prefer nonpay-ers. To test this prediction, we construct four stock price-based measures of investor demand for(More)
Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and that at least part of this abnormal performance is attributable to volatility and jump risk premia. This paper asks whether such priced risk factors are alone sufficient to explain these average returns. To provide an answer in as general as(More)
We examine the effects of trading after hours on the amount and timing of price discovery over the 24-hour day. A high volume of liquidity trade facilitates price discovery. Thus prices are more efficient and more information is revealed per hour during the trading day than after hours. However, the low trading volume after hours generates significant,(More)
The separation of ownership and control allows controlling shareholders to pursue private benefits. We develop an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection. Consistent with empirical evidence, the model predicts that countries with weaker investor(More)
This paper examines the time-series relations among expected return, risk, and book-to-market (B/M) at the portfolio level. I "nd that B/M predicts economically and statistically signi"cant time-variation in expected stock returns. Further, B/M is strongly associated with changes in risk, as measured by the Fama and French (1993) (Journal of Financial(More)
Design-oriented frameworks are a type of Human-Computer Interaction (HCI) discipline knowledge. They are intended to support iterativèspecify-and-implement' design practice, by assisting designers to create models of speci® c design problems, within a class of design problem. This paper presents a design-oriented framework for a class of HCI design problem,(More)
It has generally been assumed that the potential commission revenue is an important determinant of a sell-side analyst's decision of what "rms to cover and what information to publicly release. However, because stock volume has not been disaggregated on a brokerage-"rm level, uncertainty remains regarding the economic importance of the relation between(More)
I examine an investor's portfolio allocation problem across multiple risky assets in the presence of return predictability when, in addition to the predictability evidence, the investor uses conditional asset pricing models to guide him in the portfolio selection decision. I also explore how the uncertainty associated with the model dynamics affects the(More)