Rajna Gibson

Learn More
In a study of the ownership of German corporations, we find a strong relation between board turnover and corporate performance, little association of concentrations of ownership with managerial disciplining and only limited evidence that pyramid structures can be used for control purposes. The static relation of ownership to control in Germany is therefore(More)
A total of 261 subjects (median age: 23 years) participated in this online experiment. We recruited participants from undergraduate classes at the University of Zurich (Switzerland). 50 percent of the participants were economics and finance students, 40 percent psychology students, and 10 percent students from other fields. 42 percent were women and 58(More)
In this paper, we present an integrated framework for the measurement and management of market and credit risk in ...xed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk and determine the possible bene...ts of integration. The bonds(More)
In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an a¢ne di¤usion. The structure of the optimal portfolio over time is investigated and compared to the static meanvariance portfolio.(More)
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility(More)
Individuals differ profoundly when they decide whether to tell the truth or to be dishonest, particularly in situations where moral motives clash with economic motives, i.e., when truthfulness comes at a monetary cost. These differences should be expressed in the decision network, particularly in prefrontal cortex. However, the interactions between the core(More)
We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct mathematical strategies. We compare their performances to technical(More)
In this study, we estimate the level of financial integration using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk. We find that emerging markets still remain to a large extent segmented and that financial integration has decreased during the financial(More)
We find evidence that industry and size adjusted CEO pay is negatively related to future shareholder wealth changes for periods up to three years after sorting on pay. For example, firms that pay their CEOs in the top ten percent of pay earn negative abnormal returns over the next three years of approximately -9%. The effect is stronger for CEOs who receive(More)