Based upon structural credit models, we investigate the changes of the effects of employee stock options (ESOs) on bond yield spreads due to the revision of SFAS No. 123R (No.123R) which requires expensing ESO amounts. Using American bond observations from year 1995 to 2007, we find that the...

This paper focuses on analyzing functional relationships among performance measures, centered on the adjusted differential risk premium between the asset and the benchmark and on Sharpe-1994 ratio. First, we develop a risk normalization procedure for variance and Aumann–Serrano riskiness which...