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...
Banking Regulation and Supervision in Japan
Despite significant changes to the governing institutional framework and to operational procedures, a number of serious doubts remain concerning the...
Competition and Stability: What's Special about Banking?
This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and 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...
Revisiting the Rationale for a Single National Financial Services Regulator
This paper reviews developments over the last three and a half years in the UK in an attempt to measure the performance of the Financial Services...
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...
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...
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...
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...
