鮮少人知，權益報酬在新舊股東間的配置法則，經常因為銀行CEO過度信心扭曲投資決策而導致錯誤的結果。我們採用Black and Scholes (1973) 和 Merton (1974) 限制架構之選擇權評價模式。來探新舊股東因為CEO過於自負，導致既有股東與外來新股東的利益衝突。制定出的投資計劃使投資外部資金過多，內部資金缺乏時造成的衝突。銀行利差或權益報酬，導致既有股東不利，CEO過度信心扭曲投資決策和外部投資都相關聯。 With the growth in banking bailout programs has come a growing need to understand the potential effectiveness of these policies. In particular, a “bad bank” created by regulatory authorities uses funds to buy troubled loans from its selected banks and commits additional capital to them. This paper develops a two-stage call-put pricing framework that is used to study the selected bank’s interest margin determination with the bad bank’s help. We find that the selected bank’s call option-based interest margin is positively related to its troubled loans bought by the bad bank, and to its equity capital inflow from the bad bank. We also show that the call-put option-based value of the bad bank’s equity return increases with the selected bank’s equity volatility.
Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments caused by mood effects induced by good weather. With the good mood influences on bank lending, this paper shows that sunshine is negatively correlated with the default risk in equity returns.
Less is known about how equity returns allocated between current and new shareholders are altered to react to chief executive officer (CEO) overconfidence. This paper uses a nonlinear constrained contingent claim methodology of Black and Scholes (1973) and Merton (1974) to explore interest conflicts between current and new shareholders when an overconfident bank CEO overestimates returns on investment projects, and sequentially raises too much in external funds when internal resources become scarce. We show that low levels of bank interest margins or equity returns, which decrease the claims of current shareholders, are associated with investment distortions; but high levels of bank equity returns, which dilute the claims of current shareholders, are associated with external financing distortion.
