What Determines Stock Option Contract Design?

This paper analyzes factors driving the design of stock option plans for Finnish firms. We examine determinants of the scope of plans, exercise price, target group, and dividend protection. The scope is found to be negatively related to Tobin’s Q and positively related to proxies for monitoring costs. The scope is also greater in broad-based plans, and in plans with dividend protection. Prior stock return is found to be negatively related to the size of the premium (out-of-the-moneyness), whereas dividend protection increases the premium. The results also suggest that investment intensity, cash flow, and monitoring costs are associated with the likelihood of granting premium (out-of-the-money) stock options. Furthermore, the likelihood of granting broad-based plans is increasing in institutional ownership and cash flow constraints, and decreasing in firm size. Broad-based plans are also more likely among firms in growth industries. We find support that the likelihood of dividend protection is decreasing in foreign ownership. In addition, firms paying zero-dividends are less likely to include dividend protection, whereas higher unsystematic risk is associated with a greater likelihood of including dividend protection.

Stock Option Compensation in Finland: An Analysis of Economic Determinants, Contracting Frequency, and Design

This paper addresses several questions in the compensation literature by examining stock option compensation practices of Finnish firms. First, the results indicate that principal-agent theory succeeds quite well in predicting the use of stock options. Proxies for monitoring costs, growth opportunities, ownership structure, and risk are found to determine the use of incentives consistent with theory. Furthermore, the paper examines whether determinants of stock options targeted to top management differ from determinants of broad-based stock option plans. Some evidence is found that factors driving these two types of incentives differ. Second, the results reveal that systematic risk significantly increases the likelihood that firms adopt stock option plans, whereas total firm risk and unsystematic risk do not seem to affect this decision. Third, the results show that growth opportunities are related to time-dimensional contracting frequency, consistent with the argument that incentive levels deviate more rapidly from optimum in firms with high growth opportunities. Finally, the results suggest that vesting schedules are decreasing in financial leverage, and that contract maturity is decreasing in firm focus. In addition, both vesting schedules and contract maturity tend to be longer in firms involving state ownership.

Dielectric and Impedance Studies on 0.5Li(2)O-0.5K(2)O-2B(2)O(3) Glasses

Transparent glasses in the system 0.5Li(2)O-0.5K(2)O-2B(2)O(3) (LKBO) were fabricated via the conventional melt quenching technique. Amorphous and glassy nature of the samples was confirmed by X-ray diffraction and differential scanning calorimetry (DSC) respectively. Complex dielectric and impedance studies were conducted on the samples at different temperatures in the 100 Hz-10 MHz frequency range. ac conductivity was calculated from the dielectric data and the conductivity relaxation was found to obey the Jonscher's law. The Nyquist's plots (Z `'(omega) vs. Z'(omega)) showed single suppressed semicircles at all the temperatures under study indicating the non ideal Debye type relaxation process to be active. Activation energies for conduction and relaxation process were calculated using the Arrhenius relation. The UV-visible optical transmission spectra was shown a wide transmission window and calculated optical band gap was found to be 5.67 eV.

Calcium/Calmodulin Dependent Protein Kinase II Bound to NMDA Receptor 2B Subunit Exhibits Increased ATP Affinity and Attenuated Dephosphorylation

Calcium/calmodulin dependent protein kinase II (CaMKII) is implicated to play a key role in learning and memory. NR2B subunit of N-methyl-D-aspartate receptor (NMDAR) is a high affinity binding partner of CaMKII at the postsynaptic membrane. NR2B binds to the T-site of CaMKII and modulates its catalysis. By direct measurement using isothermal titration calorimetry (ITC), we show that NR2B binding causes about 11 fold increase in the affinity of CaMKII for ATP gamma S, an analogue of ATP. ITC data is also consistent with an ordered binding mechanism for CaMKII with ATP binding the catalytic site first followed by peptide substrate. We also show that dephosphorylation of phospho-Thr(286)-alpha-CaMKII is attenuated when NR2B is bound to CaMKII. This favors the persistence of Thr(286) autophosphorylated state of CaMKII in a CaMKII/phosphatase conjugate system in vitro. Overall our data indicate that the NR2B- bound state of CaMKII attains unique biochemical properties which could help in the efficient functioning of the proposed molecular switch supporting synaptic memory.

Electrical transport properties of 0.5Li(2)O-0.5M(2)O-2B(2)O(3) (M = Li, Na and K) glasses

Transparent glasses in the system 0.5Li(2)O-0.5M(2)O-2B(2)O(3) (M = Li, Na and K) were fabricated via the conventional melt quenching technique. The amorphous and glassy nature of the samples was confirmed via the X-ray powder diffraction and the differential scanning calorimetry, respectively. The frequency and temperature dependent characteristics of the dielectric relaxation and the electrical conductivity were investigated in the 100 Hz-10 MHz frequency range. The imaginary part of the electric modulus spectra was modeled using an approximate solution of Kohrausch-Williams-Watts relation. The stretching exponent, (3, was found to be temperature independent for 0.5Li(2)O-0.5Na(2)O-2B(2)O(3) (LNBO) glasses. The activation energy associated with DC conduction was found to be higher (1.25 eV) for 0.5Li(2)O-0.5K(2)O-2B(2)O(3) (LKBO) glasses than that of the other glass systems under study. This is attributed to the mixed cation effect. (C) 2011 Elsevier By. All rights reserved.

Pulse vs. Optimal Stationary Fishing: The Northern Stock of Hake

Pulse fishing may be a global optimal strategy in multicohort fisheries. In this article we compare the pulse fishing solutions obtained by using global numerical methods with the analytical stationary optimal solution. This allows us to quantify the potential benefits associated with the use of periodic fishing in the Northern Stock of hake. Results show that: first, management plans based exclusively on traditional reference targets as Fmsy may drive fishery economic results far from the optimal; second, global optimal solutions would imply, in a cyclical manner, the closure of the fishery for some periods and third, second best stationary policies with stable employment only reduce optimal present value of discounted profit in a 2%.

The Importance of Stock Market Returns in Estimated Monetary Policy Rules: a Structural Approach

This paper estimates a standard version of the New Keynesian Monetary (NKM) model augmented with financial variables in order to analyze the relative importance of stock market returns and term spread in the estimated U.S. monetary policy rule. The estimation procedure implemented is a classical structural method based on the indirect inference principle. The empirical results show that the Fed seems to respond to the macroeconomic outlook and to the stock market return but does not seem to respond to the term spread. Moreover, policy inertia and persistent policy shocks are also significant features of the estimated policy rule.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

The Optimality of the Common Fisheries Policy: the Northern Stock of Hake

We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits would have been if the optimal Common Fisheries Policy (CFP) consistent with the target biomass implied by the Fischler’s Recovery Plan had been implemented. The main finding are: i) an optimal CFP would have generated profits of more than 667 millions euros, ii) if side-payments are allowed (implemented by ITQ’s, for example) these profits increase 26%.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Growth variation and stock structure in North Pacific albacore

Working paper NPALB/87/21 submitted to the 10th North Pacific Albacore Workshop. Paper reports the results of ongoing research on validated age and growth models and the elucidation of stock structure for the North Pacific albacore. (Document pdf contains 22 pages)

Stock assessment of protogynous fish: evaluating measures of spawning biomass used to estimate biological reference points

In stock assessments, recruitment is typically modeled as a function of females only. For protogynous stocks, however, disproportionate fishing on males increases the possibility of reduced fertilization rates. To incorporate the importance of males in protogynous stocks, assessment models have been used to predict recruitment not just from female spawning biomass (Sf), but also from that of males (Sm) or both sexes (Sb). We conducted a simulation study to evaluate the ability of these three measures to estimate biological reference points used in fishery management. Of the three, Sf provides best estimates if the potential for decreased fertilization is weak, whereas Sm is best only if the potential is very strong. In general, Sb estimates the true reference points most closely, which indicates that if the potential for decreased fertilization is moderate or unknown, Sb should be used in assessments of protogynous stocks. Moreover, for a broad range of scenarios, relative errors from Sf and Sb occur in opposite directions, indicating that estimates from these measures could be used to bound uncertainty.