Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...
This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...
Most of those who take macro and monetary policy decisions are agents. The worst penalty which can be applied to these agents is to sack them if they...
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...
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...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...
We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational...
Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant...
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
This paper studies corporate risk management in a context with financial constraints and imperfect competition on the product market. We show that the...
Many if not most markets with network externalities are two-sided. To succeed, platforms in industries such as software, portals and media, payment...
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
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...
