Portfolio choice beyond the traditional approach
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
Intergenerational risksharing and equilibrium asset prices
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...
Security-voting structure and bidder screening
This paper analyzes how non-voting shares affect the takeover outcome in a single-bidder model with asymmetric information and private benefit...
Loan maturity and renegotiation evidence from the lending practices of large and small banks
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term...
Market liquidity and funding liquidity
We provide a model that links an asset’s market liquidity — i.e., the ease with which it is traded — and traders’ funding liquidity — i.e., the ease...
A search-based theory of the on-the-run phenomenon
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a...
On the impact of fundamentals, liquidity and coordination on market stability
Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games...
Liquidity and capital structure
This paper solves for a firm’s optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate...
Evolution of decision and control rights in venture capital contracts: an empirical analysis
We analyze the structure and evolution of the allocation of decision and control rights in venture capital contracts by using a sample of 464...
The role of prestige and networks in outside director appointment
We study the role of prestige and social networks in the selection of outside directors, and the subsequent effect on firm value. Both prestige and...
Recovery rates, default probabilities and the credit cycle
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this...
Financial structure, managerial compensation and monitoring
When a firm has external debt and monitoring by shareholders is essential, managerial bonuses are shown to be an optimal solution. A small managerial...
Corporate governance and regulation: Can there be too much of a good thing?
For a large number of companies from different countries, we analyze how company corporate governance practices and country regulatory regimes...
Are there Monday effects in stock returns: a stochastic dominance approach
We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic...
Money Illusion and Housing Frenzies
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...
