Discussion Papers

Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...

We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...

This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...

A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This...

We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...

In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...

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...

Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term...

This paper analyzes how non-voting shares affect the takeover outcome in a single-bidder model with asymmetric information and private benefit...

We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...

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...

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games...

This paper solves for a firm’s optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate...

We analyze the structure and evolution of the allocation of decision and control rights in venture capital contracts by using a sample of 464...

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...