2016-Peking University HSBC Business School(PHBS)

Significance Test in Nonstationary Multinomial Logit Model

We derive the asymptotic distribution of the overall significance LM test in a multinomial logit model with nonstationary covariates when the qualitative response is serially correlated and show that conventional significance tests can result in spurious

Chia-Shang J. Chu*, Nan Liu, Lina Zhang

ARTICLE | Economics Letters |Vol. 143, 2016

Keywords: Nonstationary multinomial logit, Discrete autoregression, Significance test

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Why do Employees Like to be Paid with Options?: A Multi-Period Prospect Theory Approach

The use of options as compensation for non-executive employees is a puzzle Standard, rational, valuation models show that the cost of issuing options is larger than the value placed on the options by employees

Lei Sun, Martin Widdicks*

ARTICLE | Journal of Corporate Finance |Vol.38, 2016

Keywords: Employee stock options, Prospect theory, Overconfidence, Early exercise

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Long-term Perspective on the Stock Market Matters in Asset Pricing

We provide a more intuitive interpretation of Campbell s (1993) intertemporal capital asset pricing model

Bumjean Sohn, Heungju Park

ARTICLE | Finance Research Letters |Vol. 16, 2016

Keywords: Cross-section of equity returns, Long-horizon market return

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Does Dividend Policy Drive Repurchases?

The purpose of this paper is to investigate whether firms repurchase shares to meet or just beat their dividend target as managers perceive share repurchases are more flexible than dividends and managers have a strong desire to maintain dividend levels

Nan Liu, Jamshid Mehran

ARTICLE | Managerial Finance |Vol. 42, 2016

Keywords: Dividends, Benchmark, Repurchase

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Financial Constraints, Board Governance Standards, and Corporate Cash Holdings

This study examines whether financial constraints and board governance play substitution roles in lowering agency concerns in corporate cash holdings

Choonsik Lee, Heungju Park

ARTICLE | Review of Financial Economics |Vol. 28, 2016

Keywords: Financial constraints, Internal monitoring, Corporate cash holdings

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