Search results for: Yisong S. Tian

Items from 1 to 10 out of 10 results

article

Analoging the digital: Designing better binary option contracts

Yisong S. Tian

Financial Markets, Institutions & Instruments > 30 > 4 > 113 - 128

Binary option pays a fixed dollar amount if it matures in the money and nothing otherwise. While this cash‐or‐nothing payoff structure is very attractive to speculators, it also creates incentives to manipulate the underlying asset price in order to gain extra payoff. In this paper, we propose better designs for binary options that disincentivize market manipulation and highlight two key features...

article

Enhancing managerial equity incentives with moving average payoffs

Yisong S. Tian

Journal of Futures Markets > 40 > 10 > 1562 - 1583

Prior research suggests that Asian stock options provide stronger managerial equity incentives than traditional stock options do, holding the cost of the option grant constant. Although this is true on the grant date, it is not over the life of the option grant. Very little of the initial advantage remains after 2 years because Asian stock options have diminishing incentive effects over time. A simple...

article

Managerial gaming of stock and option grants

Yisong S. Tian

Financial Markets, Institutions & Instruments > 26 > 3 > 127 - 152

In this paper, we examine managerial gaming of different types of equity grants, both at the initial award of the equity grants (front‐end gaming) and the unwinding of the equity holdings in the future (back‐end gaming). We find that the potential gains from stock price manipulation vary substantially across different types of equity grants. While traditional stock option grants are less vulnerable...

article

Executive compensation and the corporate spin-off decision

Yi Feng, Debarshi K. Nandy, Yisong S. Tian

Journal of Economics and Business > 2015 > 77 > Complete > 94-117

We investigate the effect of CEO equity incentives on corporate spin-off decisions and find that CEOs with stronger equity incentives are, ceteris paribus, more likely to engage in corporate spin-offs (after correcting for potential endogeneity concerns). In addition to confirming previous findings that spin-offs are followed by positive announcement and long-run abnormal stock returns, we show that...

article

Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices

Yisong S. Tian

Journal of Banking and Finance > 2013 > 37 > 2 > 415-432

Traditional stock option grant is the most common form of incentive pay in executive compensation. Applying a principal-agent analysis, we find this common practice suboptimal and firms are better off linking incentive pay to average stock prices. Among other benefits, averaging reduces volatility by about 42%, making the incentive pay more attractive to risk-averse executives. Holding the cost of...

article

A random walk down the options market

George J. Jiang, Yisong S. Tian

Journal of Futures Markets > 32 > 6 > 505 - 535

Under the efficient market hypothesis, option‐implied forward variance forms a martingale and changes in forward variance follow a random walk. In this study, we extract forward variance from option prices following a model‐free approach and empirically test the random walk hypothesis. Although results from standard orthogonality tests support the martingale restriction, further results from autoregressive...

article

Misreaction or misspecification? A re-examination of volatility anomalies

George J. Jiang, Yisong S. Tian

Journal of Banking and Finance > 2010 > 34 > 10 > 2358-2369

Existing research examines the impact of volatility shocks on the relative pricing of long-term vs. short-term options and documents patterns of “short-horizon underreaction” and “long-horizon overreaction” in the options market. These studies, however, rely on implied volatilities derived from specific option-pricing models and are thus subject to model specification errors. In this paper, we show...

article

Too much of a good incentive? The case of executive stock options

Yisong S. Tian

Journal of Banking and Finance > 2004 > 28 > 6 > 1225-1245

Using a utility-maximization framework, I show that the incentive to increase stock price does not always increase as more options are granted. Keeping the total cost of his compensation fixed, granting more options creates greater incentives to increase stock price only if option wealth does not exceed a certain fraction of total wealth. Beyond this critical level, granting more options actually...

article

Efficiency in index options markets and trading in stock baskets

Lucy F. Ackert, Yisong S. Tian

Journal of Banking and Finance > 2001 > 25 > 9 > 1607-1634

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. We find that pricing efficiency...

article

Non-Segmented Equilibria Under Differential Taxation: Evidence from the Canadian Government Bond Market

Alexandra E. Mackay, Eliezer Z. Prisman, Yisong S. Tian

Review of Finance > 2000 > 4 > 3 > 253-278

This paper investigates tax effects in the Canadian government bond market during the period 1964–1986. Unlike previous studies, we apply both statistical and nonstatistical tests to analyze clientele effects and market equilibria. The results divide the sample into two distinct periods of time, with the end of 1976 marking the division. We find that taxeffects are almost non-existent in the Canadian...

Filter options

Publication date

Set your own date range

Keywords

Data set

Elsevier (5)
Wiley (4)
Springer (1)

Journal

Journal of Banking and Finance (4)
Financial Markets, Institutions & Instruments (2)
Journal of Futures Markets (2)
Journal of Economics and Business (1)
Review of Finance (1)

INFONA - science communication portal

Search results for: Yisong S. Tian

Add recipient

Sending message cancelled

Are you sure you want to cancel sending this message?

Send message

Filter options

Publication date

Date range setting

Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.

Keywords

Data set

Journal

Reporting an error / abuse

Sending the report failed

Accessibility options