Moral hazard and dynamics of insider ownership stakes

In this paper, I analyze the ownership dynamics of N strategic risk-averse corporate insiders facing a moral hazard problem. A solution for the equilibrium share price and the dynamics of the aggregate insider stake is obtained in two cases: when agents can credibly commit to an optimal ownership policy and when they cannot commit (time-consistent case). In the latter case, the aggregate stake gradually adjusts towards the competitive allocation. The speed of adjustment increases with N when outside investors are risk-averse, and does not depend on it when investors are risk-neutral. Predictions of the model are consistent with recent empirical findings.Corporate insiders, moral hazard, ownership dynamics

Determinants of the Dinar-Euro Nominal Exchange Rate

This paper studies drivers of daily dynamics of the nominal dinar-euro exchange rate from September 2006 to June 2010. Using a novel semiparametric approach we are able to incorporate the evidence of nonlinearities under very weak assumptions on the underlying data generating process. We identify several factors influencing daily exchange rate returns whose importance varies over time. In the period preceeding the financial crisis, information in past returns, changes in households’ foreign currency savings and banks' net purchases of foreign currency are the most significant factors. From September 2008 onwards other factors related to changes in country's risk and the information processing in the market gain importance. NBS interventions are found to be effective with a time delay.Foreign exchange market, Partially linear model, Kernel estimation

Noise and aggregation of information in large markets

We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that, as long as noise increases with the number of agents in the economy, the limiting competitive equilibrium is well-defined and leads to non-trivial information acquisition, perfect information aggregation, and partially revealing prices, even if per capita noise tends to zero. We find that in such equilibrium risk sharing and price revelation play dierent roles than in the standard limiting economy in which per capita noise is not negligible. We apply our model to study information sales by a monopolist, information acquisition in multi-asset markets, and derivatives trading. The limiting equilibria are shown to be perfectly competitive, even when a strategic solution concept is used.Partially revealing equilibria, competitive equilibrium, rational expectations, information acquisition, markets for information, derivatives trading, multi-asset markets, share auctions

On the valuation and incentive effects of executive cash bonus contracts

Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are typically valued ex-ante, cash bonuses are valued ex-post. This renders the existing valuation models of employee compensation packages theoretically unsatisfactory and, potentially, empirically distortive. In this paper, we propose an option-based framework for ex-ante valuation of cash bonus contracts. After obtaining closed-form expressions for ex-ante values of several frequently used types of bonus contracts, we utilize them to explore the e¤ects that the shape of a bonus contract has on the executive’s attitude toward risk-taking. We, also, study pay-performance sensitivity of such contracts. We show that the terms of a bonus contract can dramatically impact both risk-taking behavior as well as pay-performance incentives. Several testable predictions are made, and venues of future research outlined.Executive compensation, cash bonus, incentives, risk-taking behavior

Overconfidence and Market Efficiency with Heterogeneous Agents

We study financial markets in which both rational and overconfident agents coexist and make endogenous information acquisition decisions. We demonstrate the following irrele- vance result: when a positive fraction of rational agents (endogenously) decides to become informed in equilibrium, prices are set as if all investors were rational, and as a conse- quence the overconfidence bias does not affect informational efficiency, price volatility, ra- tional traders expected profits or their welfare. Intuitively, as overconfidence goes up, so does price informativeness, which makes rational agents cut their information acquisition activities, effectively undoing the standard effect of more aggressive trading by the overcon- fident. The main intuition of the paper, if not the irrelevance result, is shown to be robust to different model specifications.partially revealing equilibria, overconfidence, rational expectations, information acquisition, price informativeness.

Overconfidence and market efficiency with heterogeneous agents

We study financial markets in which both rational and overconfident agents coexist and make endogenous information acquisition decisions. We demonstrate the following irrelevance result: when a positive fraction of rational agents (endogeneously) decides to become informed in equilibrium, prices are set as if all investors were rational, and as a consequence the overconfidence bias does not aect informational efficiency, price volatility, rational traders’ expected profits or their welfare. Intuitively, as overconfidence goes up, so does price infornativeness, which makes rational agents cut their information acquisition activities, effectively undoing the standard effect of more aggressive trading by the overconfident.Partially revealing equilibria, overconfidence, rational expectations, information

Mean univariate- GARCH VaR portfolio optimization: actual portfolio approach

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR optimization method where VaR is estimated using a univariate Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting Genetic Algorithm (NSGA-II). On a sample of 40 large US stocks, our procedure provided superior mean-VaR trade-offs compared to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true in both low and high volatility samples

Senzorni kvalitet trosortnih šljivovica

The paper presents the results of sensory analysis involving 6 monovarietal plum brandies (cultivars: Crvena ranka, Požegača, Dragačica, Stanley, Čačanska rodna and Čačanska lepotica) and 8 trivarietal plum brandies obtained by blending these cultivars, where all of the distinctive blands (coupages) had a 50% content of the brandy made from the Crvena ranka cultivar, combined with two of the other brandies, each represented with a 25% share. The blends (coupages) were produced using two methods – blending the monovarietal distillates either before or after the redistillation (with 4 brandies in each one). By forming the corrrespodning trivarietal blends, it is possible to obtain plum brandies which – apart from possessing a higher sensory quality than the monovarietal brandies – also constitute an excellent base for the production of supreme plum brandies.U radu su prikazani rezultati senzorne analize 6 monosortnih šljivovica (sorata Crvena ranka, Požegača, Dragačica, Stenlej, Čačanska rodna i Čačanska lepotica) i 8 trosortnih šljivovica dobijenih mešanjem ovih sorata, pri čemu je, u svim mešavinama (kupažima), sa 50% bila zastupljena rakija sorte Crvena ranka, a dve rakije od ostalih pomenutih sorata sa po 25%. Mešavine (kupaži) su proizvedene na dva načina – mešanjem monosortnih destilata pre ili nakon redestilacije (po 4 rakije). Formiranjem odgovarajućih trosortnih mešavina mogu se dobiti šljivovice koje imaju viši senzorni kvalitet od komponentnih monosortnih rakija, i koje su odlična osnova za proizvodnju vrhunskih šljivovica

Risk factors associated with poor clinical outcome in pyogenic spinal infections : 5-years’ intensive care experience

Introduction: Management of pyogenic spinal infections (PSI) after the development of neurological deficit has not been specifically addressed in the literature. We aimed to describe real-life clinical outcomes of PSI in patients admitted to an intensive care unit with neurological deficit and identify factors associated with good prognosis. Methodology: Consecutive patients admitted to ICU with a possible diagnosis of spinal infection over five years’ period were included. Descriptive statistics were performed to examine the demographics and clinical parameters. Results: The majority (71%) of patients were male. The mean age was 57.4 years (27-79), and 71% were > 50 years old. At least one underlying risk factor was identified in 68% of the patients; the most common comorbidity was diabetes mellitus (DM). All patients have presented with fever accompanied by a neurological deficit (86%) and back pain (79%). A complete recovery was achieved in 25% of patients. However, the majority of patients had adverse outcomes with 21.4% mortality, and 43% remaining neurological sequelae. Increased age with a cut-off of 65 years and pre-existing DM were identified as being associated with poor outcome. Conclusion: Mortality among patients admitted to ICU with PSI was significantly higher than reported in the literature. The residual neurological deficit was common, one-third of patients had remaining neurological sequelae, and only one-fourth had complete recovery. Increased age and background DM were the most important determinants of poor clinical outcome. The impact of DM appears to be much more important than currently recognised in this population.Publisher PDFPeer reviewe

tick borne encephalitis in serbia a case series

Introduction: In the Europe, the number of tick-borne encephalitis (TBE) has been increased in the last decade, and the number of endemic areas has been also increased and is still growing. In the present case series, we present clinical and socio-epidemiological data of patients with TBE hospitalized in the period of TBE virus epidemic in Serbia. Methodology: A case series was conducted in Serbia in 2017. Patients with confirmed TBE were included in the study. Biochemical and serological analysis of blood and CSF, as well as radiological imaging (CT and MRI) were done. Results: In total, 10 patients with TBE were included in the study. M:F ratio was 1.5:1, while average age was 45.1 years. Half of the patients had severe clinical picture. Endocranial CT scan and MRI did not reveal any abnormality, except in the patient with the most severe CNS infection (meningoencephalomyelitis). Mean value of sedimentation and CRP was slightly elevated (29.6 mm/1hours and 20.1 mg/L, respectively) in 80% of the patients, although elevation was almost negligible. The average number of leucocytes in the cerebrospinal fluid (CSF) was 171×106/L, the mean value of the CSF protein was 1.1g/L. There were no fatal outcomes. Conclusion: Since other CNS infections have similar clinical picture and CSF finding as TBE, serological analysis for TBE should be included in routine diagnostic practice