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...
Evolution of decision and control rights in venture capital contracts: an empirical analysis
We analyze the structure and evolution of the allocation of decision and control rights in venture capital contracts by using a sample of 464...
Recovery rates, default probabilities and the credit cycle
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this...
Financial structure, managerial compensation and monitoring
When a firm has external debt and monitoring by shareholders is essential, managerial bonuses are shown to be an optimal solution. A small managerial...
Corporate governance and regulation: Can there be too much of a good thing?
For a large number of companies from different countries, we analyze how company corporate governance practices and country regulatory regimes...
Are there Monday effects in stock returns: a stochastic dominance approach
We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic...
Money Illusion and Housing Frenzies
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...
Monetary policy and its informative value
This paper analyzes the welfare effects of economic transparency in the conduct of monetary policy. We propose a model of monopolistic competition...
The optimal design of funded pensions
In many countries, pension funds based on individual accounts have been affected by high operating costs. Contract theory helps to unravel the nature...
Long-term care insurance, annuities and asymmetric information: the case for bundling contracts
Within an asymmetric information set-up in which individuals differ in terms of their risk aversion and can choose whether or not to take preventative...
Speculative attacks with multiple sources of public information
We propose a speculative attack model in which agents receive multiple public signals. It is characterised by its focus on an informational structure...
