Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Vicky Henderson"'
Autor:
Jonathan Muscat, Vicky Henderson
Publikováno v:
Finance and Stochastics. 24:335-357
We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have $S$S-shaped reference-dependent preferences, whereby utility is defined over gains and losses relative to a re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65460b4a625f73029c1cd9adc8272285
https://doi.org/10.1007/s00780-020-00421-8
https://doi.org/10.1007/s00780-020-00421-8
We estimate the disposition effect for active traders in a large discount brokerage dataset containing US households trading records between 1991 and 1996. We apply a wide framing perspective, focusing on portfolios rather than individual stocks. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::361892d3b4e012fb0f0d1c961694f073
http://wrap.warwick.ac.uk/149912/1/WRAP-wide-framing-disposition-effect-empirical-study-Henderson-2021.pdf
http://wrap.warwick.ac.uk/149912/1/WRAP-wide-framing-disposition-effect-empirical-study-Henderson-2021.pdf
Publikováno v:
SSRN Electronic Journal.
We propose an extension to the concept of the disposition effect by allowing the use of alternative reference points. While the traditional definition is based on classifying stocks as winners and losers solely based on the purchase price, we incorpo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ad4b61f2ad0e6695de38100e3e40fd7d
https://doi.org/10.2139/ssrn.3778104
https://doi.org/10.2139/ssrn.3778104
Autor:
Vicky Henderson
This paper examines the efficiency of stock based compensation by valuing stock and options from the executive's point of view. Companies give compensation in the form of stock in order to align incentives by providing a link between executive wealth
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::44571bf67e5a1bfba102c1413f9ba034
https://ora.ox.ac.uk/objects/uuid:906d40ec-c111-4140-8297-f418cbb6d2ae
https://ora.ox.ac.uk/objects/uuid:906d40ec-c111-4140-8297-f418cbb6d2ae
Publikováno v:
SSRN Electronic Journal.
Using a dynamic extension of Regret Theory, we test how the regret induced by not selling a stock when the maximum price in an investment episode is attained shapes the propensity to sell a stock. We use a large discount brokerage dataset containing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef229f9437b25a7cd0d91d488ef5149a
https://doi.org/10.2139/ssrn.3705223
https://doi.org/10.2139/ssrn.3705223
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed random time independent of the Brownian motion driving the stock. Two a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d2cac6e5955944b87dfb6f31cb628613
http://wrap.warwick.ac.uk/142414/1/WRAP-Executive-stock-option-exercise-full-partial-information-drift-change-point-Henderson-2020.pdf
http://wrap.warwick.ac.uk/142414/1/WRAP-Executive-stock-option-exercise-full-partial-information-drift-change-point-Henderson-2020.pdf
Publikováno v:
Journal of Economic Theory. 178:360-397
In this paper we study a continuous-time, optimal stopping model of an asset sale with prospect theory preferences under pre-commitment. We show for a wide range of value and probability weighting functions, including those of Tversky and Kahneman (1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c008a4ba4d0a64ced76df042611c8474
https://doi.org/10.1016/j.jet.2018.10.002
https://doi.org/10.1016/j.jet.2018.10.002
Applying prospect theory (PT) in a dynamic context brings new challenges. We study PT agents facing optimal timing decisions and consider the impact of allowing them to follow randomized strategies. In the discrete model of casino gambling of Barberi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4e8964c8a91e388eaf3e18d8e718989
Publikováno v:
Electron. Commun. Probab.
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which the value as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::855baec1cbd99db47e99f8d3ad6348cf
Publikováno v:
Mathematics and Financial Economics. 8:453-471
We consider a continuous time principal-agent model where the principal/firm compensates an agent/manager who controls the output’s exposure to risk and its expected return. Both the firm and the manager have exponential utility and can trade in a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05370f3f56ce12cf889a1497c8967fd5
https://doi.org/10.1007/s11579-014-0123-3
https://doi.org/10.1007/s11579-014-0123-3