Discussion Papers

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...

This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...

We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...

This paper presents evidence from 29 postcommunist countries that the economic transition has been more successful than the political transformation...

Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...

Across countries, banks have less gender diverse boards than other firms. Bank board diversity is particularly low in countries with greater gender...

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

We present evidence that cultural proximity (shared codes, beliefs, ethnicity) between lenders and borrowers increases the quantity of credit and...

Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...

Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...

We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...

This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...

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...