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...
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...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
Political Economy of a Euro Area Banking Crisis
This paper features a keynote address given by Panicos O. Demetriades at “Politics, Finance and Growth” Conference Reserve Bank of South Africa...
What is the expected return on the market?
This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...
The Dynamics of expected returns: evidence from multi-scale time series modelling
Conventional wisdom posits that all the relevant investors’ information lies at the highest possible frequency of observation, so that long-run...
The United States dominates global investment banking: does it matter for Europe?
In the aftermath of the global financial crisis, the market share of US investment banks is increasing, while that of their European counterparts is...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...
Shadow Banks and Systemic Risks
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...
Exchange Rates and Monetary Policy Uncertainty
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...