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An American Call Is Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, p1023-1057. 35p.
- Authors:
- Figlewski, Stephen
Abstract:Theory says an American call should never be exercised early, except possibly just before an ex-dividend date. But the best market bid is regularly lower than the intrinsic value for in-the-money short-maturity options. An American option can always be...
Bonds: A Point-Counterpoint Discussion.
Publication Type:Academic Journal
Source(s):Journal of Financial Service Professionals. May2022, Vol. 76 Issue 3, p18-22. 5p.
- Authors:
- Grable, John E.
- Hubble, Amy
Abstract:This column provides a point-counterpoint discussion about the use of bonds in client portfolios. As discussed, we agree that bonds can play an important role in generating income, reducing portfolio variance, and optimizing a portfolio's Sharpe ratio....
- Subjects:
- SHARPE ratio
- BONDS (Finance)
JFQ volume 57 issue 3 Cover and Front matter.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, pf1-f5. 5p.
- Subjects:
- SYSTEMIC risk (Finance)
- EXCHANGE traded funds
Systemic Risk and Collateral Adequacy: Evidence from the Futures Market.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, p1142-1173. 32p.
- Authors:
- Raykov, Radoslav
Abstract:Conventional collateral requirements for derivatives are conservative, but not explicitly designed to buffer systemic risk. I explore collateral adequacy against systemic risk in the Canadian futures market during the 2008 crisis. I find that conventio...
Ex Post Bargaining, Corporate Cash Holdings, and Executive Compensation.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, p957-987. 31p.
- Authors:
- Cheng, Yingmei
- Harford, Jarrad
- Hutton, Irena
Abstract:We show that high cash holdings can be used by executives in the ex post bargaining over their compensation. Cash holdings are positively associated with CEO compensation and is driven by non-salary components. In companies with weaker governance, this...
Creditor Control of Corporate Acquisitions.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Apr2022, Vol. 35 Issue 4, p1897-1932. 36p.
- Authors:
- Becher, David A
- Griffin, Thomas P
- Nini, Greg
Abstract:We examine the impact of creditor control rights on corporate acquisitions. Nearly 75 |$\%$| of loan agreements include restrictions that limit borrower acquisition decisions throughout the life of the contract. Following a financial covenant violation...
Biased by Choice: How Financial Constraints Can Reduce Financial Mistakes.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Apr2022, Vol. 35 Issue 4, p1643-1681. 39p.
- Authors:
- Heimer, Rawley Z
- Imas, Alex
Abstract:We show that constraints can improve financial decision-making by disciplining behavioral biases. In financial markets, restrictions on leverage limit traders' ability to borrow to open new positions. We demonstrate that regulation that restricts the p...
Opioid Crisis Effects on Municipal Finance.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Apr2022, Vol. 35 Issue 4, p2019-2066. 48p.
- Authors:
- Cornaggia, Kimberly
- Hund, John
- Nguyen, Giang
Abstract:We investigate the effects of opioid abuse on municipal finance. We employ instrumental variables, border discontinuity difference-in-differences regressions, and coarsened exact matching to identify consistent causal effects, while controlling for var...
When Shareholders Disagree: Trading after Shareholder Meetings.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Apr2022, Vol. 35 Issue 4, p1813-1867. 55p.
Abstract:This paper analyzes how trading after shareholder meetings changes the composition of the shareholder base. Analyzing daily trades, we find that mutual funds reduce their holdings if their votes are opposed to the voting outcome. Trading volume is high...