Resultados de la búsqueda: Stomper, Alex

Financial Architecture ” conference in Oxford (2002). We are grateful to Franklin

research assistance and we thank the Peter Moores Foundation for financial support.

We are grateful to Wei Xiong for extensive discussions. We are also grateful for comments from An...

About Excessive Volatility and Sentiment Fluctuations? Our objective is to understand the trading strategy that would allow an investor to take advantage of “excessive ” stock price volatility and “sentiment ” fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile because one class is overconfident about a public signal. As a result, this class of irrational agents changes its expectations too often...

Snow and leverage

Giroud, Xavier; Mueller, Holger M.; Stomper, Alex; Westerkamp, Arne

Using a sample of highly (over-)leveraged Austrian ski hotels undergoing debt restructurings, we show that reducing a debt overhang leads to a significant improvement in operating performance (return on assets, net profit margin). In particular, a reduction in leverage leads to a decrease in overhead costs, wages, and input costs, and to an increase in sales. Changes in leverage in the debt restructurings are instrumented with Unexpected Snow, which captures the extent to which a ski hotel ex...

Snow and Leverage

Xavier Giroud; Holger M. Mueller; Alex Stomper; Arne Westerkamp

Using a sample of highly (over-)leveraged Austrian ski hotels undergoing debt restructurings, we show that reducing a debt overhang leads to a significant improvement in operating performance (return on assets, net profit margin). In particular, a reduction in leverage leads to a decrease in overhead costs, wages, and input costs, and to an increase in sales. Changes in leverage in the debt restructurings are instrumented with Unexpected Snow, which captures the extent to which a ski h...

IPO Pricing with Bookbuilding and a When-Issued Market

Aussenegg, Wolfgang; Pichler, Pegaret; Stomper, Alex

A Theory of Banks' Industry Expertise, Market Power, and Credit Risk

Alex Stomper

The author analyzes banks' incentives to acquire expertise in judging the creditworthiness of borrowers in an industry with uncertain business conditions. The analysis shows that industry expertise enables banks to extract rents proportional to their exposure to industry-specific credit risk. This exposure is in turn determined by the number of banks aiming to focus on lending to an industry. In equilibrium, the industry receives funding from a limited number of banks with industry expertise,...

Conditioning and Updating under Cumulative Prospect Theory

Alex Stomper; Marie-Louise Vierø

Under expected utility theory, unconditional expected utility can be decomposed into a weighted sum of conditional expected utilities where the weights are marginal probabilities. We derive necessary and sufficient conditions for a similar decomposition in the framework of Cumulative Prospect Theory (CPT). The conditions also ensure that a decision maker's conditional preferences (given some event) remain within the CPT class. Our results are important for empirical analyses in which weighted...

Sticky Prices. IPO Pricing on Nasdaq and the Neuer Markt.

Aussenegg, Wolfgang; Pichler, Pegaret; Stomper, Alex

This paper examines the IPO pricing processes of two different markets, each of which employs bookbuilding methods for marketing the IPO shares. For each market we investigate two questions: Does bookbuilding serve mainly as a method for distributing shares, or also as a means for gathering information? And, to what extent do underwriters respond in IPO pricing to any information that they obtain through bookbuilding? We find that a direct comparison of these two markets sheds light on the bo...

Primary Market Design: Direct Mechanisms and Markets

Alex Stomper; Pegaret Pichler

We develop a model that allows for the coexistence of bookbuilding and when-issued trading. We show that, due to interactions between these two processes, allowing for when-issued trading is for the most part beneficial for issuers. When-issued trading may interfere with information gathering thorough bookbuilding, in the case that informative bookbuilding is not needed. However, informative bookbuilding may be a prerequisite for the when-issued market to function. In this case the existence ...

IPO Pricing with Bookbuilding and a When-Issued Market

Alex Stomper; Wolfgang Aussenegg; Pegaret Pichler

This paper examines the German IPO pricing process which combines bookbuilding with a liquid pre-IPO when-issued market. We find no partial adjustment phenomenon, as has been documented for U.S. IPOs. We thus find no evidence that bookbuilding provides information for IPO pricing, beyond the information that is required to set preliminary price ranges. Once price ranges are set, when-issued trading commences and indicates how IPOs should be priced in the primary market. However, the evidence ...