Some Determinants of the Price of Default Risk
In this paper we study the pricing of credit risk as reflected in the market for credit default swaps (CDS) between 2003 and 2008. This market has...
Interest Rate Forecasts: A Pathology
This is the first of three prospective papers examining how well forecasters can predict the future time path of short-term interest rates. Most prior...
Do reputational concerns lead to reliable ratings?
This paper examines to what extent reputational concerns give rating agencies incen- tives to reveal information. It demonstrates that, in a simple...
Do errors in forecasting inflation lead to errors in forecasting interest rates?
In the first of three related, and consecutive, papers we showed that forecasts for short-term policy interest rates in NZ and UK deteriorated over...
Can rare events explain the equity premium puzzle?
Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is...
Bond supply and excess bond returns
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...
Asset pricing tests with long run risks in consumption growth
The Bansal and Yaron (2004) model of long run risks (LLR) in aggregate consumption and dividend growth and its extension that captures potential co...
Research highlight
Money Illusion and Housing Frenzies
The Review of Financial Studies, 21 (1), 135–180
From fiction to fact: the impact of CEO social networks
This paper investigates the relationship between a CEO’s social network, firm identity, and firm performance. There are two competing theories that...
The Emergence of Cross-Border Insurance Groups within Europe with Centralised Risk Management
This paper analyses the degree of internationalisation of insurance business. Using a novel dataset of 25 large EU insurance groups, we find that the...
Pension plan funding, risk sharing and technology choice
This paper presents a general equilibrium analysis on the interactions between pen- sion plan funding, capital structure, technology choice and the...
