Yale School of Management
New Haven, CT 06520-8200
NBER Working Papers and Publications
|February 2003||Modeling and Measuring Russian Corporate Governance: The Case of Russian Preferred and Common Shares|
with William N. Goetzmann, Andrey Ukhov: w9469
This paper examines governance explanations for the discount of preferred shares to common shares in the Russian market. conflicts between shareholder classes may help explain the discount. However, for this to be the sole explanation the estimated models suggest that the magnitude of future adverse shareholder events would have to be very high. Nevertheless, evidence of a common factor potentially related to governance seems evident in the date, implying that corporate control issues may at least be partially responsible for the observed preferred share discount
|August 2002||Sharpening Sharpe Ratios|
with William Goetzmann, Jonathan Ingersoll, Ivo Welch: w9116
It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative contracts. The optimal strategy rules for increasing the Sharpe ratio. Our results have implications for performance measurement in any setting in which managers may use derivative contracts. In a performance measurement setting, we suggest that the distribution of high Sharpe ratio managers should be compared with that of the optimal Sharpe ratio strategy. This has particular application in the hedge fund industry where use of derivatives is...
|August 1990||An Experimental Comparison of Dispute Rates in Alternative Arbitration Systems|
with Orley Ashenfelter, Janet Currie, Henry S. Farber: w3417
This paper reports the results of a systematic experimental comparison of the effect of alternative arbitration systems on dispute rates. The key to our experimental design is the use of a common underlying distribution of arbitrator "fair" awards in the different arbitration systems. This allows us to compare dispute rates across different arbitration procedures where we hold fixed the amount of objective underlying uncertainty about the arbitration awards.
There are three main findings. First, dispute rates are inversely related to the monetary costs of disputes. Dispute rates were much lower in cases where arbitration was not available so that the entire pie was lost in the event of dispute. Second, contrary to conventional wisdom, the dispute rate in a final-offer arbitration system is...
Published: Econometrica, vol. 60, no. 6 (November 1992) pp. 1407-1433. citation courtesy of