Stress testing and macroprudential regulation: A transatlantic assessment
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...
Cultural Proximity and Loan Outcomes
We present evidence that cultural proximity (shared codes, beliefs, ethnicity) between lenders and borrowers increases the quantity of credit and...
The Systemic Risk Buffer for UK Banks: A Response to the Bank of England's Consultation Paper
On 29 January 2016 the Bank of England (2016a) published for consultation the Financial Policy Committee’s proposed framework for the systemic risk...
European Venture Capital: myths and facts
We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...
An Information Based One-Factor Asset Pricing Model
Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...
Downside Risk Neutral Probabilities
Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...
Informational Black Holes in Financial Markets
We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...
Say on Pay: do shareholders care?
This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...
Everybody right, everybody wrong: Plural rationalities in macroprudential regulation
Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that...
Disaster and Fortune Risk in Asset Returns
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...
Tail Index Estimation: Quantile Driven Threshold Selection
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...
Human capital and international portfolio diversification: A reappraisal
Journal of International Economics, Volume 99, Supplement 1, Pages S78-S96.
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
