Discussion Papers

Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension...

Motivated by the credit crisis 2007-08, this paper presents a theory of "capital market banks"; banks that use derivative programs to exploit...

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability...

We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...

Banks can enter new countries either through greenfield entry or by acquiring local banks. I model the effect of a foreign bank's mode of entry on the...

In a market with informationally connected traders, the dynamics of volume, price informa- tiveness, price volatility, and liquidity are severely...

This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...

This paper analyses how entry by an international bank into a developing economy affects the credit market equilibrium. It offers a novel explanation...

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...

We develop a theory of control rights in the context of licensing interim innovative knowledge for further development, which is consistent with the...

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of...

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...

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...

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...

This paper examines to what extent reputational concerns give rating agencies incen- tives to reveal information. It demonstrates that, in a simple...

Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is...