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...
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...
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 —...
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
The Great Risk/Return Inversion - Who Loses Out?
Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...
Land and Stock Bubbles, Crashes and Exit Strategies in Japan Circa 1990 and in 2013
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is...
Ballooning Finance
The Global Crisis has intensified debates over the merits of financial innovation and the optimal size of the financial sector. This column presents a...
Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...