Capital Structure, Investment, and Fire Sales
We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...
Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...
The SSM sails past the starting line seekinghigh-quality supervision and level playing field
Remarks by Ignazio Angeloni, Member of the Supervisory Board of the European Central Bank on the occasion of the International conference on “Start of...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
Destabilizing carry trades
We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive...
How insurers differ from banks: Implications for systemic regulation
Having completed the regulatory framework for systemically important banks, the Financial Stability Board is turning to insurance companies. The...
Regulating the global insurance industry: Motivations and challenges
Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight...
Employment and Wage insurance within Firms: Wordlwide Evidence
We investigate the determinants of firms’ implicit employment and wage insurance to employees against industry-level and idiosyncratic shocks. We rely...
Asset Management Contracts and Equilibrium Prices
We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...
The Value of Informativeness for Contracting
The informativeness principle demonstrates qualitative benefits to increasing signal precision. However, it is difficult to quantify these benefits —...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
Networked Default: Public Debt, Trade Embeddedness, and Partisan Survival in Democracies since 1870
Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the...
Performance Pay, CEO Dismissal, and the Dual Role of Takeovers
Review of Finance, 19 (4), 1383–1414.
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...
Long-Term Debt and Hidden Borrowing
The Review of Corporate Finance Studies, Volume 3, Issue 1-2, Pages 87–122
