We develop a Bayesian Markov chain Monte Carlo algorithm for estimating risk premia in dynamic stochastic general equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that makes estimation of large-scale DSGE models...

Using 4-dimensional panel data (time, industry, country, companies) we examine the differences between European quoted and non-quoted companies at the level financial performance and some financial ratios. We find that quoted companies perform significantly better not only in terms of profit,...

We investigate the impact of managerial investment diversion on a firm's investment paths and the investment-return relation in a dynamic q-theory model. When efficiency of investment is not observed by shareholders, the manager may divert investment for private benefits. An agency investment...

Managers with higher risk incentives (greater options vega) issue less readable disclosures. Those in the top-quartile of vega file annual reports that are about 15.4% more voluminous than the filings of bottom-quartile-vega managers. The effect of vega on obfuscation remains after controlling...

This paper reviews recent research on the causes and consequence of different forms of financial market misconduct and potential agency conflicts and the impact of regulating financial market misconduct. We examine regulatory responses to financial market misconduct and highlight the presence of...