Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Skewness and Kurtosis Implied By Option Prices: A Second Comment
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...
How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...
Rational Asset Pricing Implications From Realistic Trading Frictions
We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational...
Market Timing and Return Prediction Under Model Instability
Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant...
A structural model of corporate bond pricing with co-ordination failure
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
Venture capital contracts and market structure
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
Optimal Hedging Strategies and Interactions Between Firms
This paper studies corporate risk management in a context with financial constraints and imperfect competition on the product market. We show that the...
Platform Competition in Two Sided Markets
Many if not most markets with network externalities are two-sided. To succeed, platforms in industries such as software, portals and media, payment...
Momentum in the UK stock market
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
Pricing catastrophe insurance derivatives
We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...
Daily closing inside spreads and trading volumes around earnings announcements
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...
Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets
This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...
The fallacy of new business creation as a disciplining device for managers
This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...
Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle
Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...
