scispace - formally typeset
Search or ask a question
Author

Marti G. Subrahmanyam

Bio: Marti G. Subrahmanyam is an academic researcher from New York University. The author has contributed to research in topics: Market liquidity & Credit risk. The author has an hindex of 52, co-authored 202 publications receiving 7641 citations. Previous affiliations of Marti G. Subrahmanyam include New York University Shanghai & Indian Institute of Management Ahmedabad.


Papers
More filters
Journal ArticleDOI
TL;DR: In this paper, the authors investigate whether liquidity is an important price factor in the US corporate bond market, and find that liquidity effects account for approximately 14% of the explained market-wide corporate yield spread changes.

255 citations

Journal ArticleDOI
TL;DR: In this paper, a new method for pricing and hedging American options along with an efficient implementation procedure is presented, which is efficient and accurate in computing both option values and various option hedge parameters.
Abstract: In this article, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computational accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also suggest how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

253 citations

Posted Content
TL;DR: In this paper, the authors investigate whether liquidity is an important price factor in the US corporate bond market and find that liquidity factors account for approximately 14% of the explained market-wide corporate yield spread changes.
Abstract: We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and nd that liquidity eects account for approximately 14% of the explained market-wide corporate yield spread changes. We conclude that the economic impact of the liquidity measures is signicantly larger in periods of crisis, and for speculative grade bonds.

252 citations

Posted Content
TL;DR: In this article, the determinants of business groups' ownership structure using unique panel data on Korean chaebols were studied. And they found that poor past performance predicts an increase in the degree of pyramiding in a firm's ownership structure.
Abstract: In this paper we study the determinants of business groups' ownership structure using unique panel data on Korean chaebols. In particular, we attempt to understand how pyramids form over time. We find that chaebols grow vertically (that is, pyramidally) as the family uses well-established group firms ("central firms'') to set up and acquire younger firms that have low profitability and high capital requirements. Chaebols grow horizontally (that is, using direct family ownership) when the family acquires firms that are highly profitable and require less capital. Our evidence suggests that the (previously documented) lower profitability of pyramidal firms is partly due to a selection effect (e.g., the family optimally places low profitability firms in pyramids). To show this, we examine instances of large changes in the ownership structure of group firms. Specifically, we find that poor past performance predicts an increase in the degree of pyramiding in a firm's ownership structure. Most compellingly, we find that the profitability of new group firms in the year before they are added to the group predicts whether they are added to pyramids or controlled directly by the family. We also examine the relative valuation of chaebol firms. We find that the group's central firms trade at a discount relative to other public group firms possibly due to the selection of low-profitability, high capital intensity firms into pyramids. Our results shed light on the process by which pyramids form, and provide new evidence on the performance and valuation of business group firms.

234 citations


Cited by
More filters
Journal ArticleDOI
TL;DR: In this article, the authors draw on recent progress in the theory of property rights, agency, and finance to develop a theory of ownership structure for the firm, which casts new light on and has implications for a variety of issues in the professional and popular literature.

49,666 citations

Book
01 Jan 2009

8,216 citations

Journal ArticleDOI
TL;DR: In this paper, the authors analyze a firm owned by atomistic shareholders who observe neither cash flows nor management's investment decisions and find that management is forced to invest too little when cash flow is low and too much when it is high.

3,687 citations

Journal Article
TL;DR: In this paper, the authors integrate elements from the theory of agency, property rights and finance to develop a theory of the ownership structure of the firm and define the concept of agency costs, show its relationship to the separation and control issue, investigate the nature of the agency costs generated by the existence of debt and outside equity, demonstrate who bears costs and why and investigate the Pareto optimality of their existence.
Abstract: This paper integrates elements from the theory of agency, the theory of property rights and the theory of finance to develop a theory of the ownership structure of the firm. We define the concept of agency costs, show its relationship to the ‘separation and control’ issue, investigate the nature of the agency costs generated by the existence of debt and outside equity, demonstrate who bears costs and why, and investigate the Pareto optimality of their existence. We also provide a new definition of the firm, and show how our analysis of the factors influencing the creation and issuance of debt and equity claims is a special case of the supply side of the completeness of markets problem. The directors of such [joint-stock] companies, however, being the managers rather of other people’s money than of their own, it cannot well be expected, that they should watch over it with the same anxious vigilance with which the partners in a private copartnery frequently watch over their own. Like the stewards of a rich man, they are apt to consider attention to small matters as not for their master’s honour, and very easily give themselves a dispensation from having it. Negligence and profusion, therefore, must always prevail, more or less, in the management of the affairs of such a company. — Adam Smith (1776)

3,246 citations

Journal ArticleDOI
TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.

2,667 citations