Matthew Spiegel

Yale School of Management
POB 208200
New Haven, CT 06520-8200

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Institutional Affiliation: Yale University

NBER Working Papers and Publications

February 2003Modeling 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 2002Sharpening 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 1990An 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

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