DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Wolves in the Hen-House? The Consequences of Formal CEO Involvement in the Executive Pay-Setting Process

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Department of Economics and Finance College of Business and Economics University of Canterbury Christchurch, New Zealand

We document, describe and interpret changes in New Zealand corporate board characteristics between 1995 and 2010, a period centred around the 2003 introduction of the NZX Corporate Governance Best Practice Code. Unsurprisingly, the representation of non-executive, independent and female directors on NZ boards rose during the period, as did real chair and director fees and the importance of boar...

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND A Capital Adequacy Buffer Model

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default, and the timeless capital asset pricing model (CAPM) which measures additional ret...

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND ABC on Deals

We develop, and experimentally test, a behavioral model of dealmaking which includes binding contracts and informal agreements as distinct but related special cases. The key assumptions: people are mostly honest; they suffer costs of overcoming temptation to renege; and they tend to split gains down the middle. ∗MD: University of Arizona, University of Gothenburg, and the CESifo Network; martin...

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND An Examination of Frank Wolak’s Model of Market Power and its Application to the New Zealand Electricity Market

We appraise the theoretical basis and the consequent empirical work of Frank Wolak in his study of the New Zealand Electricity Market in a report to the New Zealand Commerce Commission released in March 2009. The report found no multilateral actions, but concluded there was evidence of unilateral market power. We find that the theoretical and empirical methodologies employed to reach this posit...