Information linkages and correlated trading
In a market with informationally connected traders, the dynamics of volume, price informa- tiveness, price volatility, and liquidity are severely...
Best ideas
This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...
Foreign bank entry: a liquidity based theory of entry and credit market segmentation
This paper analyses how entry by an international bank into a developing economy affects the credit market equilibrium. It offers a novel explanation...
Central banks and financial crises
The paper draws lessons from the experience of the past year for the conduct of central banks in the pursuit of macroeconomic and financial stability...
Control Rights over Intellectual Property: Corporate Venturing and Bankruptcy Regimes
We develop a theory of control rights in the context of licensing interim innovative knowledge for further development, which is consistent with the...
Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of...
Some Determinants of the Price of Default Risk
In this paper we study the pricing of credit risk as reflected in the market for credit default swaps (CDS) between 2003 and 2008. This market has...
Interest Rate Forecasts: A Pathology
This is the first of three prospective papers examining how well forecasters can predict the future time path of short-term interest rates. Most prior...
Do errors in forecasting inflation lead to errors in forecasting interest rates?
In the first of three related, and consecutive, papers we showed that forecasts for short-term policy interest rates in NZ and UK deteriorated over...
Do reputational concerns lead to reliable ratings?
This paper examines to what extent reputational concerns give rating agencies incen- tives to reveal information. It demonstrates that, in a simple...