CEO Pensions: Disclosure, Managerial Power, and Optimal Contracting

CEOs often receive pensions that provide life annuities of up to 60% of their final salary plus bonus. I investigate the extent to which pensions are managerial rent extraction and/or the result of optimal contracting between CEOs and boards of directors. Specifically, I examine whether CEOs exploit limited disclosure requirements to hide and/or camouflage excess pension benefits and whether pensions are associated with CEO power and/or contracting determinants. Overall, my results provide some support for both the managerial power and optimal contracting views of pensions. Economic contracting variables, however, appear to explain pension benefit levels to a greater extent than measures of CEO power. This suggests that although pensions can be used to extract rents, this practice appears to be limited. In addition, my results suggest that pension-based rent extraction can be detected using public disclosures, implying that recent SEC changes in pension disclosure requirements are likely to have little effect on investors’ ability to value pensions

Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns

We investigate the extent to which hedge fund managers smooth self-reported returns. In contrast to prior research on the “anomalous” properties of hedge fund returns, we observe the mechanisms used to price the fund\u27s investment positions and report the fund\u27s performance to investors, thereby allowing us to differentiate between asset illiquidity and misreporting-based explanations. We find that funds using less verifiable pricing sources and funds that provide managers with greater discretion in pricing investment positions are more likely to have returns consistent with intentional smoothing. Traditional controls, however, such as removing the manager from the setting and reporting of the fund\u27s net asset value and the use of reputable auditors and administrators, are not associated with lower levels of smoothing. With respect to asset illiquidity versus misreporting, investment style and portfolio characteristics explain 14.0–24.3% of the variation in our smoothing measures, and pricing controls explain an additional 4.1–8.8%, suggesting that asset illiquidity is the major factor driving the anomalous properties of self-reported hedge fund returns

Distributed reservoir sampling algorithms for data pre-processing with use of Kafka Streams

Με την ανάπτυξη του IoT και με τον αριθμό των συσκευών που αναμένεται να συνδεθούν σε αυτό να ξεπερνάει τα 30 δισεκατομμύρια μέχρι το 2020 καθώς και με την συνεπακόλουθη αύξηση στα δεδομένα που μεταδίδονται κρίνεται αναγκαίο από τα σύγχρονα συστήματα επεξεργασίας δεδομένων μεγάλης κλίμακας να χρησιμοποιούν αποδοτικούς αλγορίθμους σε συνδυασμό με προγραμματιστικές βιβλιοθήκες που χρησιμοποιούνται ευρέως στον τομέα της βιομηχανίας. Σκοπός της διπλωματικής εργασίας είναι η ανάλυση και παρουσίαση αλγορίθμων αποθέματος καθώς και η ανάπτυξη τους με την χρήση της βιβλιοθήκης Kafka Streams με σκοπό την επίλυση του προβλήματος της κατανομής τους. Αξιοποιώντας τις ιδιαιτερότητες της βιβλιοθήκης και των αλγορίθμων στοχεύουμε στην υλοποίηση ενός εργαλείου που βοηθάει αναλυτές και πειραματιστές στο τομέα του ΙοΤ στην προεπεξεργασία των δεδομένων και την ταχεία λήψη αποτελεσμάτων από μια συνεχόμενη ροή δεδομένων.With the rapid growth of the Internet of Things (IoT) and with the number of devices expected to connect to it estimated to exceed 30 billion by 2020 and the consequent increase in data transmitted, it is necessary for big data processing systems to use efficient algorithms in combination with programming libraries that are widely used in the industry. This master thesis aims to analyze and present reservoir sampling algorithms as well as to develop them using the Kafka Streams API in order to solve the problem of their distribution. By taking advantage of the API and the algorithm specific characteristics, we aim to implement a tool that helps analysts and experimenters on the IoT field to preprocess data and quickly obtain results from a continuous data stream

Do forecasts of bankruptcy cause bankruptcy? A machine learning sensitivity analysis

It is widely speculated that auditors' public forecasts of bankruptcy are, at least in part, self-fulfilling prophecies in the sense that they might actually cause bankruptcies that would not have otherwise occurred. This conjecture is hard to prove, however, because the strong association between bankruptcies and bankruptcy forecasts could simply indicate that auditors are skillful forecasters with unique access to highly predictive covariates. In this paper, we investigate the causal effect of bankruptcy forecasts on bankruptcy using nonparametric sensitivity analysis. We contrast our analysis with two alternative approaches: a linear bivariate probit model with an endogenous regressor, and a recently developed bound on risk ratios called E-values. Additionally, our machine learning approach incorporates a monotonicity constraint corresponding to the assumption that bankruptcy forecasts do not make bankruptcies less likely. Finally, a tree-based posterior summary of the treatment effect estimates allows us to explore which observable firm characteristics moderate the inducement effect.Comment: 26 pages, 12 figure

Warrants in underwritten IPOs: The Alternative Investment Market (AIM) experience

We examine the use of warrants as a part of underwriter compensation in IPOs listed on the Alternative Investment Market (AIM) of the London Stock Exchange. Our results show that, though warrant-issuing IPO firms are riskier, they are usually underwritten by reputable underwriters. Firms that are cash constrained at the time of their IPO are more likely to use warrants. Both market volatility and hot issue markets increase the likelihood of firms issuing warrants. We also find that warrant issuers are able to minimise their total costs of going public, even under a very light regulatory setting with regards non-cash compensation. They incur actual costs of 29.1%, but would have incurred greater costs of 33.8% had they not issued warrants to their underwriters. Overall, our results support the cost minimisation explanation of the use of warrants by UK IPO firms

Bonding and the agency risk premium: An analysis of migrations between the AIM and the Official List of the London Stock Exchange

Firms that change their listing from the less regulated AIM to the more regulated main section of the London Stock Exchange exhibit positive abnormal returns on the announcement day. For firms moving in the opposite direction, both announcement and implementation day abnormal returns are negative. Following implementation, the pattern is reversed for both categories of firm. We show that differences in liquidity, conventional risk factors and in medium to long term firm survival rates between the two listing regimes do not explain the observed patterns of returns, suggesting that the answer lies in the different bonding requirements of the two market segments and an agency risk premium.JEL Codes: G12, G14, G15, G30, G32, G3

CEO Profile and Earnings Quality

This paper introduces the PSCORE, which aggregates nine personal characteristics of chief executive officers (CEOs), to signal the quality of earnings. The PSCORE is a composite score based on publicly available data on CEOs. The study reports strong positive relationships between the PSCORE and two different proxies for earnings quality, (i) discretionary accruals and (ii) financial statement errors, measured by deviations of the first digits of figures reported in financial statements from those expected by Benford’s Law. Further analyses indicate that the relationships between the PSCORE and the proxies for earnings quality become more pronounced when CEOs have high equity-based compensation incentives. The findings have some implications for practitioners

Impact of legal institutions on IPO survival: A global perspective

Around the world, investors, practitioners, regulators and policy makers seek to understand whether, when and why recently listed stocks, initial public offerings (IPOs) are delisted rather than continue trading (survive). Using data on 7,627 IPOs issued during 2000–2008 across 32 countries, we explore the impact of the legal system on IPO survival. We find that IPOs in countries with better investor protections remain listed for longer. This suggests that better legal systems increase the net benefits companies derive from staying listed. We also provide evidence that better legal systems increase the effectiveness of IPO certification by venture capitalists, underwriters and auditors

CEO Pensions: Disclosure, Managerial Power, and Optimal Contracting

CEOs often receive pensions that provide life annuities of up to 60% of their final salary plus bonus. I investigate the extent to which pensions are managerial rent extraction and/or the result of optimal contracting between CEOs and boards of directors. Specifically, I examine whether CEOs exploit limited disclosure requirements to hide and/or camouflage excess pension benefits and whether pensions are associated with CEO power and/or contracting determinants. Overall, my results provide some support for both the managerial power and optimal contracting views of pensions. Economic contracting variables, however, appear to explain pension benefit levels to a greater extent than measures of CEO power. This suggests that although pensions can be used to extract rents, this practice appears to be limited. In addition, my results suggest that pension-based rent extraction can be detected using public disclosures, implying that recent SEC changes in pension disclosure requirements are likely to have little effect on investors’ ability to value pensions