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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Liquidity Models in Continuous and Discrete Time
Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010
The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...
Persistent link: https://www.econbiz.de/10009305121
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Approximate Derivative Pricing for Large Class ofHomogeneous Assets
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008
prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order …
Persistent link: https://www.econbiz.de/10005868923
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Anschleichen an Übernahmeziele mittelsCash Settled Equity Derivaten – ein Regelungsvorschlag
Baums, Theodor; Sauter, Maike - Institute for Law and Finance <Frankfurt, Main> - 2009
Die vorstehenden Überlegungen zeigen die Komplexität eines Versuches auf, Cash SettledEquity-Instrumente kapitalmarktrechtlich einzufangen, um die Umgehung vonMitteilungspflichten und das Anschleichen an Zielunternehmen mit Hilfe dieser Instrumentetunlichst auszuschalten. Diese Schwierigkeiten...
Persistent link: https://www.econbiz.de/10005869576
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Why do firms issue abroad? : lessons from onshore and offshore corporate bond finance in Asian emerging markets
Mizen, Paul; Packer, Frank; Remolona, Eli M.; Tsoukas, … - 2012
Persistent link: https://www.econbiz.de/10009722663
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CORPORATE CREDIT AND MONETARY POLICY:THE IMPACT OF FIRM-SPECIFICCHARACTERISTICS ON FINANCIAL STRUCTURE
Cihan, Yalcin; Bougheas, Spiros; Mizen, Paul - University <Nottingham> / Department of Economics - 2002
This paper examines the impact of monetary policy on UK firms’ access to bank and market finance whenallowance is made for differences in firm-specific characteristics. A theoretical model determines the cut-off valuesfor project profitability that would allow firms to access bank or market...
Persistent link: https://www.econbiz.de/10005868913
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Institutional investors, credit supply uncertainty, and the leverage of the firm
Massa, Massimo (contributor); Yasuda, Ayako (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003727612
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Expanding microenterprise credit access : using randomized supply decisions to estimate the impacts in Manila
Karlan, Dean; Zinman, Jonathan - 2009
Persistent link: https://www.econbiz.de/10003880912
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Expanding microenterprise credit access : using randomized supply decisions to estimate the impacts in Manila
Karlan, Dean; Zinman, Jonathan - 2009
Microcredit seeks to promote business growth and improve well-being by expanding access to credit. We use a field experiment and follow-up survey to measure impacts of a credit expansion for microentrepreneurs in Manila. The effects are diffuse, heterogeneous, and surprising. Although there is...
Persistent link: https://www.econbiz.de/10003868654
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Leveraged borrowing and boom-bust cycles
Pintus, Patrick A.; Wen, Yi - 2010
Persistent link: https://www.econbiz.de/10008668651