The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
What is the Expected Return on a Stock?
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...
Systemic Risk and the Dynamics of Temporary Financial Networks
This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...
Stationary Markov Equilibria for Approximable Discounted Stochastic Games
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...
On K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
The Divergent Postcommunist Paths to Democracy and Economic Freedom
This paper presents evidence from 29 postcommunist countries that the economic transition has been more successful than the political transformation...
Macro-Modelling, Default and Money
Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...
Women in Finance
Across countries, banks have less gender diverse boards than other firms. Bank board diversity is particularly low in countries with greater gender...
Learning in Crowded Markets
We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...
Cultural Proximity and Loan Outcomes
We present evidence that cultural proximity (shared codes, beliefs, ethnicity) between lenders and borrowers increases the quantity of credit and...
Informational Black Holes in Financial Markets
We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...
European Venture Capital: myths and facts
We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...
An Information Based One-Factor Asset Pricing Model
Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...
Downside Risk Neutral Probabilities
Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...
Say on Pay: do shareholders care?
This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...
