Yale School of Management

Displaying 1-19 of 19 results

  • White Papers // Apr 2011

    Art And Money

    This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, the authors demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. They also find evidence...

    Provided By Yale School of Management

  • White Papers // Mar 2011

    Anticipated And Repeated Shocks In Liquid Markets

    The authors show that Treasury security prices in the secondary market decrease significantly before auctions and recover shortly after. Hence, Treasury security prices tend to be lower on auction days, implying a large issuance cost for the Treasury Department, which is estimated to be 9-18 basis points of the auction...

    Provided By Yale School of Management

  • White Papers // Jan 2011

    The Market For CEO Talent: Implications For CEO Compensation

    The authors study the market for CEO talent in public U.S. firms during the years 1993-2005. About 68% of new CEOs are former employees of their own firms ("Insider CEOs") and the rest come from outside the firm ("Outsider CEOs"). They find wide disparities in talent pool structure across industries,...

    Provided By Yale School of Management

  • White Papers // Oct 2010

    Do Bonuses Enhance Sales Productivity? A Dynamic Structural Analysis Of Bonus- Based Compensation Plans

    The author estimates a dynamic structural model of sales force response to a bonus based compensation plan. The paper has two main methodological innovations: First, they implement empirically the method proposed by Arcidiacono and Miller (2010) to accommodate unobserved latent class heterogeneity with a computationally light two-step estimator. Second, the...

    Provided By Yale School of Management

  • White Papers // Aug 2010

    Uncertainty And Valuations

    The idea that uncertainty about a firm's long-run profitability could increase its stock valuation has been proposed by Pastor and Veronesi (2003) to explain a number of phenomena in financial markets. The authors further examine this idea by analyzing a simple valuation model for both stocks and bonds, in contrast...

    Provided By Yale School of Management

  • White Papers // Jan 2010

    Securitizations In The 1920's

    This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular, this paper quantifies the size of the market, identifies risk factors...

    Provided By Yale School of Management

  • White Papers // Jan 2010

    Do Investment Banks' Relationships With Investors Impact Pricing? The Case Of Convertible Bond Issues

    This paper examines the role of search frictions in convertible bond pricing. Using a sample of 533 Rule 144-A issues for the years 1997-2007, the authors examine two channels through which search frictions might impact initial pricing: the ease of attracting initial investors and expected after-market liquidity. They document robust...

    Provided By Yale School of Management

  • White Papers // Nov 2009

    New Evidence On The First Financial Bubble

    The first global financial bubble in stock prices occurred 1720 in Paris, London and the Netherlands. Explanations for these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior of two large firms: the South Sea Company in Great Britain and the Mississippi Company...

    Provided By Yale School of Management

  • White Papers // Nov 2009

    Thirty Years Of Corporate Governance: Firm Valuation & Stock Returns

    This paper introduces a dataset tracking approximately 1,000 firms' G- and E-index scores, as well the individual corporate governance provisions constituting these indexes, over the 1978-1989 period. Combining this data with the 1990-2006 IRRC data, the authors are able to track firms' corporate governance over a thirty year period. Most...

    Provided By Yale School of Management

  • White Papers // Oct 2009

    A Discretionary Wealth Approach To Investment Policy

    Despite portfolio construction based on expected utility theory and Markowitz mean-variance optimization having been the foundation of financial economic theory for more than 50 years, its practical application by financial advisors has been limited. Particularly troubling are the lack of a normative risk-aversion parameter customized to individual investor circumstances and...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    Property Derivatives For Managing European Real-Estate Risk

    Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilized by asset managers. In this...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    Institutional Investors' Investment Durations And Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance And R&D Increases

    This paper examines the effect of institutional investors' investment duration on the efficiency of stock prices. Using a new duration measure based on quarterly institutional investors' portfolio holdings, the presence of short-term institutional investors can help explain many of the best-known stock return anomalies, possibly because these investors are affected...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    The Impact Of Earnings Surprises On Stock Returns: Theory And Evidence

    This paper analyzes a dynamic general equilibrium model to study the impact of earnings surprises on contemporaneous stock returns. The model shows that earnings surprises can affect stock returns through two channels. On the one hand, earnings surprises affect the expected future earnings of the stock and so induce a...

    Provided By Yale School of Management

  • White Papers // Jun 2009

    Non-US Asset-backed Securities: Spread Determinants And Over-reliance On Credit Ratings

    In this paper, the authors empirically investigate two economic issues the factors that affect the primary market spread on non-U.S. asset-backed securities and whether investors rely solely on credit ratings and ignore other credit-related factors. They do so by using a panel-data fixed-effects model of primary market spreads for tranches...

    Provided By Yale School of Management

  • White Papers // May 2009

    Does The Sarbanes-Oxley Act Have A Future?

    Although the enactment of the Sarbanes-OXley Act (SOX) received nearly unanimous congressional support, only a few years thereafter its wisdom was increasingly questioned and its supporters had to stave off attempts to recraft the legislation. The financial crisis of 2008 has sidelined efforts to alter the legislation's most costly provision,...

    Provided By Yale School of Management

  • White Papers // Mar 2009

    Computing VAR And AVAR In Infinitely Divisible Distributions

    In this paper, the authors derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered stable distribution, and rapidly decreasing tempered stable distribution. They present empirical evidence using...

    Provided By Yale School of Management

  • White Papers // Jan 2009

    Quota Structure And Sales Performance Dynamics

    Sales force incentive schemes are often accompanied by target quotas. A firm can structure the quota and performance incentives for achieving quotas in many ways. Quotas induce dynamics in the efforts exerted by the sales force over time. Recent empirical work has been ambivalent about the efficiency of sales quotas...

    Provided By Yale School of Management

  • White Papers // Jan 2009

    Internal Capital Markets: The Bright Side Of Corporate Politics

    This Paper looks inside the internal capital market of a large retail-banking group to study how internal corporate politics affect internal capital allocation. The data is from the firm's managerial accounting system and covers all cash flows, internal capital transfers, and investments at the local member bank level. The authors...

    Provided By Yale School of Management

  • White Papers // Oct 2008

    Internal Capital Markets And Corporate Politics In A Banking Group

    This paper looks inside a large retail-banking group to understand how influence within the group affects internal capital allocations and lending at the member bank level. The group consists of 181 member banks and a jointly-owned headquarters. The authors find that more influential members are allocated more capital from the...

    Provided By Yale School of Management

  • White Papers // Jan 2009

    Quota Structure And Sales Performance Dynamics

    Sales force incentive schemes are often accompanied by target quotas. A firm can structure the quota and performance incentives for achieving quotas in many ways. Quotas induce dynamics in the efforts exerted by the sales force over time. Recent empirical work has been ambivalent about the efficiency of sales quotas...

    Provided By Yale School of Management

  • White Papers // Oct 2010

    Do Bonuses Enhance Sales Productivity? A Dynamic Structural Analysis Of Bonus- Based Compensation Plans

    The author estimates a dynamic structural model of sales force response to a bonus based compensation plan. The paper has two main methodological innovations: First, they implement empirically the method proposed by Arcidiacono and Miller (2010) to accommodate unobserved latent class heterogeneity with a computationally light two-step estimator. Second, the...

    Provided By Yale School of Management

  • White Papers // Jun 2009

    Non-US Asset-backed Securities: Spread Determinants And Over-reliance On Credit Ratings

    In this paper, the authors empirically investigate two economic issues the factors that affect the primary market spread on non-U.S. asset-backed securities and whether investors rely solely on credit ratings and ignore other credit-related factors. They do so by using a panel-data fixed-effects model of primary market spreads for tranches...

    Provided By Yale School of Management

  • White Papers // Nov 2009

    Thirty Years Of Corporate Governance: Firm Valuation & Stock Returns

    This paper introduces a dataset tracking approximately 1,000 firms' G- and E-index scores, as well the individual corporate governance provisions constituting these indexes, over the 1978-1989 period. Combining this data with the 1990-2006 IRRC data, the authors are able to track firms' corporate governance over a thirty year period. Most...

    Provided By Yale School of Management

  • White Papers // Oct 2009

    A Discretionary Wealth Approach To Investment Policy

    Despite portfolio construction based on expected utility theory and Markowitz mean-variance optimization having been the foundation of financial economic theory for more than 50 years, its practical application by financial advisors has been limited. Particularly troubling are the lack of a normative risk-aversion parameter customized to individual investor circumstances and...

    Provided By Yale School of Management

  • White Papers // Apr 2011

    Art And Money

    This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, the authors demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. They also find evidence...

    Provided By Yale School of Management

  • White Papers // May 2009

    Does The Sarbanes-Oxley Act Have A Future?

    Although the enactment of the Sarbanes-OXley Act (SOX) received nearly unanimous congressional support, only a few years thereafter its wisdom was increasingly questioned and its supporters had to stave off attempts to recraft the legislation. The financial crisis of 2008 has sidelined efforts to alter the legislation's most costly provision,...

    Provided By Yale School of Management

  • White Papers // Jan 2011

    The Market For CEO Talent: Implications For CEO Compensation

    The authors study the market for CEO talent in public U.S. firms during the years 1993-2005. About 68% of new CEOs are former employees of their own firms ("Insider CEOs") and the rest come from outside the firm ("Outsider CEOs"). They find wide disparities in talent pool structure across industries,...

    Provided By Yale School of Management

  • White Papers // Aug 2010

    Uncertainty And Valuations

    The idea that uncertainty about a firm's long-run profitability could increase its stock valuation has been proposed by Pastor and Veronesi (2003) to explain a number of phenomena in financial markets. The authors further examine this idea by analyzing a simple valuation model for both stocks and bonds, in contrast...

    Provided By Yale School of Management

  • White Papers // Jan 2009

    Internal Capital Markets: The Bright Side Of Corporate Politics

    This Paper looks inside the internal capital market of a large retail-banking group to study how internal corporate politics affect internal capital allocation. The data is from the firm's managerial accounting system and covers all cash flows, internal capital transfers, and investments at the local member bank level. The authors...

    Provided By Yale School of Management

  • White Papers // Oct 2008

    Internal Capital Markets And Corporate Politics In A Banking Group

    This paper looks inside a large retail-banking group to understand how influence within the group affects internal capital allocations and lending at the member bank level. The group consists of 181 member banks and a jointly-owned headquarters. The authors find that more influential members are allocated more capital from the...

    Provided By Yale School of Management

  • White Papers // Mar 2011

    Anticipated And Repeated Shocks In Liquid Markets

    The authors show that Treasury security prices in the secondary market decrease significantly before auctions and recover shortly after. Hence, Treasury security prices tend to be lower on auction days, implying a large issuance cost for the Treasury Department, which is estimated to be 9-18 basis points of the auction...

    Provided By Yale School of Management

  • White Papers // Jan 2010

    Securitizations In The 1920's

    This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular, this paper quantifies the size of the market, identifies risk factors...

    Provided By Yale School of Management

  • White Papers // Jan 2010

    Do Investment Banks' Relationships With Investors Impact Pricing? The Case Of Convertible Bond Issues

    This paper examines the role of search frictions in convertible bond pricing. Using a sample of 533 Rule 144-A issues for the years 1997-2007, the authors examine two channels through which search frictions might impact initial pricing: the ease of attracting initial investors and expected after-market liquidity. They document robust...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    Institutional Investors' Investment Durations And Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance And R&D Increases

    This paper examines the effect of institutional investors' investment duration on the efficiency of stock prices. Using a new duration measure based on quarterly institutional investors' portfolio holdings, the presence of short-term institutional investors can help explain many of the best-known stock return anomalies, possibly because these investors are affected...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    Property Derivatives For Managing European Real-Estate Risk

    Although property markets represent a large proportion of total wealth in developed countries, the real-estate derivatives markets are still lagging behind in volume of trading and liquidity. Over the last few years there has been increased activity in developing derivative instruments that can be utilized by asset managers. In this...

    Provided By Yale School of Management

  • White Papers // Mar 2009

    Computing VAR And AVAR In Infinitely Divisible Distributions

    In this paper, the authors derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered stable distribution, and rapidly decreasing tempered stable distribution. They present empirical evidence using...

    Provided By Yale School of Management

  • White Papers // Nov 2009

    New Evidence On The First Financial Bubble

    The first global financial bubble in stock prices occurred 1720 in Paris, London and the Netherlands. Explanations for these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior of two large firms: the South Sea Company in Great Britain and the Mississippi Company...

    Provided By Yale School of Management

  • White Papers // Aug 2009

    The Impact Of Earnings Surprises On Stock Returns: Theory And Evidence

    This paper analyzes a dynamic general equilibrium model to study the impact of earnings surprises on contemporaneous stock returns. The model shows that earnings surprises can affect stock returns through two channels. On the one hand, earnings surprises affect the expected future earnings of the stock and so induce a...

    Provided By Yale School of Management