Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...
The shape of the risk premium: evidence from a semiparametric GARCH model
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...
Club Enlargement: Early Versus Late Admittance
We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...
External Financing Costs and Banks' Loan Supply: Does the Structure of the Bank Sector Matter
This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...
Strategic Trading and Learning About Liquidity
Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...
Bank Capital Regulation With Random Audits
We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...
Reallocation of Corporate Resources and Managerial incentive in Internal Capital Markets
One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...
Yield curve estimation by kernel smoothing
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...
Pricing Convexity Adjustment with Wiener Chaos
This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...
Public Trading and Private Incentives
This paper studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in...
Excessive Continuation and Dynamic Agency Costs of Debt
This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...
Debt, Incentives and Performance: Evidence from UK Panel Data
A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...
Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns
This paper develops a new estimation procedure for characteristic-based factor models of stock returns. It describes a factor model in which the...
