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  • Economics  (2)
  • QP 300  (2)
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  • Economics  (2)
RVK
  • QP 300  (2)
  • 1
    Online Resource
    Online Resource
    Board Expertise and Executive Incentives
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2020
    In:  Management Science Vol. 66, No. 11 ( 2020-11), p. 5448-5464
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 66, No. 11 ( 2020-11), p. 5448-5464
    Abstract: We investigate how board expertise affects chief executive officer (CEO) incentives and firm value. The CEO engages in a sequence of tasks: first acquiring information to evaluate a potential project, then reporting his or her assessment of the project to the board, and finally implementing the project if it is adopted. We demonstrate that the CEO receives higher compensation when the board agrees with the CEO on the assessment of the project. Board expertise leads to (weakly) better investment decisions and helps motivate the CEO's evaluation effort; however, it may induce underreporting and reduce the CEO's incentives to properly implement the project. Consequently, if motivating the CEO to evaluate projects is the major concern (e.g., innovative industries), board expertise exhibits an overall positive effect on firm value; however, if motivating the CEO to implement projects is the major concern (e.g., mature industries), board expertise can harm firm value. This paper was accepted by Shiva Rajgopal, accounting.
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2019.3355
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2020
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
    Location Call Number Limitation Availability
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    Online Resource
  • 2
    Online Resource
    Online Resource
    Cross-Sectional Variation of Option-Implied Volatility Skew
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2023
    In:  Management Science
    Details
    In: Management Science, Institute for Operations Research and the Management Sciences (INFORMS)
    Abstract: The stock option-implied volatility skew reflects both the structural risk characteristics of the underlying company and the short-term information flow about the stock price movement. This paper builds a semistructural, cross-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two structural risk sources that contribute to the cross-sectional variation of the skew: the company’s business cyclicality and its default risk. The model can explain as much as 44% of the cross-sectional variation in implied volatility skew and is particularly informative during and after recessions. The remaining skew variation reflects mainly short-term information flow and can be used to construct stock portfolios with much better investment performance and without hidden structural risk exposures. This paper was accepted by Agostino Capponi, finance. Funding: L. Wu gratefully acknowledges support by a grant from the City University of New York PSC-CUNY Research Award Program. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4872 .
    Type of Medium: Online Resource
    ISSN: 0025-1909 , 1526-5501
    URL: Article
    DOI: 10.1287/mnsc.2023.4872
    RVK:
    QP 300
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2023
    detail.hit.zdb_id: 206345-1
    detail.hit.zdb_id: 2023019-9
    SSG: 3,2
    Location Call Number Limitation Availability
    BibTip Others were also interested in ...
    Online Resource
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