Discussion Papers

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

We present evidence that cultural proximity (shared codes, beliefs, ethnicity) between lenders and borrowers increases the quantity of credit and...

Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...

We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...

We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers smaller out-of-sample...

This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...

Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...

Conventional wisdom posits that all the relevant investors’ information lies at the highest possible frequency of observation, so that long-run...

We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...

We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...