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Does corporate diversification reduce shareholder value? Since firms endogenously choose to diversify, exogenous variation in diversification is necessary to draw inferences about the causal effect. We examine changes in the within-firm dispersion of industry investment, or “diversity”. We...
We investigate the option to invest in derivative securities using a large sample of mutual funds. We find that those funds with the greatest transaction-cost benefit tend to permit investment in derivatives, and that funds tend to permit investment only in those derivatives that offer...
This paper examines the valuation effects associated with the incentive structures of different types of institutional investors using the ownership levels of public and private pension funds in a firm. The results suggest that institutional monitoring is associated with valuation effects when...
This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia uncovered from the joint data respond quickly to market volatility, becoming more prominent...
We examine how the intrinsic differences between U.S. and non-U.S. stocks affect market participants and the market quality of non-U.S. stocks relative to U.S. stocks. Using proprietary data on NYSE specialist trading, we find that, all else equal, specialist closing inventory positions for...
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