No arbitrage and closure results for trading cones with transaction costs

In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper (Schachermayer in Math. Finance 14:19–48, 2004). We give a necessary and sufficient condition for ${\mathcal{A}}$ , the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that, firstly, the corresponding cone of claims attainable for zero endowment, ${\tilde{ {\mathcal{A}}}}$ , does obey the fundamental theorem of asset pricing and, secondly, if ${\tilde{ {\mathcal{A}}}}$ is arbitrage-free then it is the closure of ${\mathcal{A}}$ . We then conclude by showing how to represent claims

Recent developments in German corporate governance.

This paper provides an overview of the German corporate governance system. We review the governance role of large shareholders, creditors, the product market and the supervisory board. We also discuss the importance of mergers and acquisitions, the market in block trades, and the lack of a hostile takeover market. Given that Germany is often referred to as a bank-based economy, we pay particular attention to the role of the universal banks (Hausbanken). We show that the German system is characterised by a market for partial corporate control, large shareholders and bank/creditor monitoring, a two-tier (management and supervisory) board with co-determination between shareholders and employees on the supervisory board, a disciplinary product-market, and corporate governance regulation largely based on EU directives but with deep roots in the German codes and legal doctrine. Another important feature of the German system is its corporate governance efficiency criterion which is focused on the maximisation of stakeholder value rather than shareholder value. However, the German corporate governance system has experienced many important changes over the last decade. First, the relationship between ownership or control concentration and profitability has changed over time. Second, the pay-for-performance relation is influenced by large shareholder control: in firms with controlling blockholders and when a universal bank is simultaneously an equity- and debtholder, the pay-for-performance relation is lower than in widely-held firms or blockholder-controlled firms. Third, since 1995 several major regulatory initiatives (including voluntary codes) have increased transparency and accountability

N—Person Stochastic Games: Extensions of the Finite State Space Case and Correlation

In this chapter, we present a framework for m-person stochastic games with an infinite state space. Our main purpose is to present a correlated equilibrium theorem proved by Nowak and Raghavan [42] for discounted stochastic games with a measurable state space, where the correlation o

Sponsor ownership in Asian REITs

This study examines the relationship between sponsor ownership and firm performance proxied by firm value, operating cash flow, and dividend policy with Asian real estate investment trusts (REITs) in Japan, Hong Kong, Malaysia, and Singapore for the period from 2002 to 2012, focusing on both the incentive alignment effect and the entrenchment effect. Our study sheds new light on effective corporate governance for Asian REITs that are prone to agency problems. Such agency problems arise from the inequitable distribution of power to sponsors that results from the external management structure. The findings suggest that larger sponsor ownership aligns the interests of sponsors and minority shareholders and enhances the performance of Asian REITs, while such an effect diminishes as sponsors become more entrenched. We find that the incentive alignment effect and entrenchment effect are primarily driven by developer-sponsored REITs. Also evident is that the presence of institutional investors mitigates agency problems and increases firm performance

CEO Compensation

This paper surveys the recent literature on CEO compensation. The rapid rise in CEO pay over the past 30 years has sparked an intense debate about the nature of the pay-setting process. Many view the high level of CEO compensation as the result of powerful managers setting their own pay. Others interpret high pay as the result of optimal contracting in a competitive market for managerial talent. We describe and discuss the empirical evidence on the evolution of CEO pay and on the relationship between pay and firm performance since the 1930s. Our review suggests that both managerial power and competitive market forces are important determinants of CEO pay, but that neither approach is fully consistent with the available evidence. We briefly discuss promising directions for future research