This paper solves the dynamic investment problem of a risk averse manager compensated
with a call option on the assets he controls. Under the manager's optimal policy, the option …

In theory, hedging restrictions faced by managers make executive stock options more difficult
to value than ordinary options, because they imply that exercise policies of managers …

This article provides a comprehensive study of survivorship issues using the mutual fund
data of Carhart (1997) . We demonstrate theoretically that when survival depends on …

What capital allocation role can China’s stock market play? Counter to perception, stock prices
in China have become as informative about future profits as they are in the US. This rise …

We simulate standard tests of performance persistence using alternative return-generating
processes, survival criteria, and test methodologies. When survival depends on performance …

This article examines whether insiders use private information to time the exercises of their
executive stock options. Before May 1991, insiders had to hold the stock acquired through …

This paper analyzes corporate bond valuation and optimal call and default rules when
interest rates and firm value are stochastic. It then uses the results to explain the dynamics of …

In this paper we analyze the optimal contract for a portfolio manager who can exert effort to
improve the quality of a private signal about future market prices. We assume complete …

The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …

This paper conducts a comprehensive study of the optimal exercise policy for an executive
stock option and its implications for option cost, average life, and alternative valuation …