The Risk and Price Volatility of Stock Options in General Equilibrium

1995 ◽  
Vol 97 (3) ◽  
pp. 459 ◽  
Author(s):  
Burkhard Drees ◽  
Bernhard Eckwert
Keyword(s):  
General Equilibrium ◽  
Stock Options ◽  
Price Volatility

scholarly journals News Shocks and Asset Price Volatility in General Equilibrium

2011 ◽  
Author(s):  
Akito Matsumoto ◽  
Pietro Cova ◽  
Massimiliano Pisani ◽  
Alessandro Rebucci
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Volatility ◽  
News Shocks

Discretionary Reporting of Stock Options by IPO Firms

2005 ◽  
Vol 19 (4) ◽  
pp. 223-236 ◽  
Author(s):  
Joseph D. Beams ◽  
Anthony J. Amoruso ◽  
Frederick M. Richardson
Keyword(s):  
Initial Public Offering ◽  
Stock Price ◽  
Stock Options ◽  
Peer Group ◽  
Price Volatility ◽  
Fair Value ◽  
Employee Stock Options ◽  
Public Companies ◽  
Option Values ◽  
Public Offering

The revision of SFAS No. 123 (SFAS No. 123R, FASB 2004) requires companies to recognize the fair value of employee stock options. In addition, nonpublic companies will no longer be permitted to assume stock price volatility of zero when calculating the fair value of their stock options. This study finds that the zero volatility assumption allowed under the original version of SFAS No. 123 (FASB 1995) resulted in an average estimated fair value of options that was $1.06 (40 percent) less than the fair value calculated using a peer group volatility estimate for firms undergoing an initial public offering (IPO). However, IPO firms that estimated their volatility underreported option values by an even larger magnitude than the group using the zero volatility assumption. Perhaps these firms reported a downward-biased estimate of volatility to inhibit analysts from computing option values using more reasonable volatility estimates. Contrary to the findings for public companies, we find that a large percentage of sample firms issued in-the-money options prior to going public. Following the IPO, only a small portion of firms issued in-the-money options. The concerns regarding recognizing option expense may be less important than the benefits of granting in-the-money options for IPO firms.

scholarly journals News shocks and asset price volatility in general equilibrium

2011 ◽  
Vol 35 (12) ◽  
pp. 2132-2149 ◽  
Author(s):  
Akito Matsumoto ◽  
Pietro Cova ◽  
Massimiliano Pisani ◽  
Alessandro Rebucci
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Volatility ◽  
News Shocks

Asset price volatility in a nonconvex general equilibrium model

1998 ◽  
Vol 12 (3) ◽  
pp. 649-665 ◽  
Author(s):  
Costas Azariadis ◽  
Shankha Chakraborty
Keyword(s):  
General Equilibrium ◽  
Equilibrium Model ◽  
Asset Price ◽  
Price Volatility ◽  
General Equilibrium Model

scholarly journals New Shocks and Asset Price Volatility in General Equilibrium

2011 ◽  
Vol 11 (110) ◽  
pp. 1
Author(s):  
Alessandro Rebucci ◽  
Akito Matsumoto ◽  
Pietro Cova ◽  
Massimiliano Pisani ◽  
◽  
...  
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Volatility

scholarly journals ENDOGENOUS CREDIT AND INVESTMENT CYCLES WITH ASSET PRICE VOLATILITY

2017 ◽  
Vol 22 (7) ◽  
pp. 1859-1874 ◽  
Author(s):  
Francesco Carli ◽  
Leonor Modesto
Keyword(s):  
General Equilibrium ◽  
Equilibrium Model ◽  
Asset Price ◽  
Price Volatility ◽  
Credit Market ◽  
Macroeconomic Fluctuations ◽  
Limited Commitment ◽  
Driving Factor ◽  
Bond Price ◽  
Credit Market Frictions

It is commonly accepted that credit market frictions are an important source of macroeconomic fluctuations. But what is the link between the two? And what is the driving factor of asset prices volatility? To answer these questions, we have introduced a specific credit friction, limited commitment, in a general equilibrium model with production and investment in productive capital, where agents can trade bonds. The model always displays a stationary equilibrium where bonds are traded. More importantly, limited commitment may generate stochastic endogenous fluctuations driven by self-fulfilling volatile expectations (sunspots), yielding credit and investment cycles and bond price volatility consistent with data.

New Shocks and Asset Price Volatility in General Equilibrium

2011 ◽  
Author(s):  
Akito Matsumoto ◽  
Pietro Cova ◽  
Massimiliano Pisani ◽  
Alessandro Rebucci
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Volatility
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