Prompt Corrective Action & Cross-Border Supervisory Issues in Europe
This Special Paper is a collection of the contributions to the one day conference on Prompt Corrective Action & Cross Border Supervisory Issues In...
Performance measurement and evaluation
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...
The ownership of ratings
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...
Portfolio choice beyond the traditional approach
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...
Whatever became of the Monetary Aggregates?
Peston Lecture in honour of Maurice, Lord Peston, delivered at Queen Mary College, London, on 28th February 2007.
Loan maturity and renegotiation evidence from the lending practices of large and small banks
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term...
Market liquidity and funding liquidity
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...
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
Intergenerational risksharing and equilibrium asset prices
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...
Security-voting structure and bidder screening
This paper analyzes how non-voting shares affect the takeover outcome in a single-bidder model with asymmetric information and private benefit...
A search-based theory of the on-the-run phenomenon
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...
Did NASDAQ market makers successfully collude to increase spreads? A re-examination of evidence from stocks that moved from NASDAQ to the New York or American Stock Exchanges
This paper examines all movements of stock from NASDAQ to the NYSE or Amex from 1983 through 1997 (1044 observations), as did Barclay (1997) for 472...
On the impact of fundamentals, liquidity and coordination on market stability
Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games...
Liquidity and capital structure
This paper solves for a firm’s optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate...
The role of prestige and networks in outside director appointment
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...
