Global equity markets experienced a significantly negative return of over 4.7 percent on June 24, 2016 in response to news of Britain's decision (BREXIT) to leave the European Union. Stock market indices for members of the European Union were hard hit with nearly all experiencing significantly...

The sub-prime mortgage crisis raises serious questions about the role of a lender-of-last resort in containing the spread of a financial crisis. We use the founding of the Federal Reserve as a historical experiment to provide some insight into whether a lender-of-last resort can stabilize...

This paper incorporates institutional features of trading markets including the discrete nature of the price grid and determines the consequences for prices and strategic behavior. Interactions between market makers is complex: because equilibrium prices are not determined by a...

Testing for long-run abnormal performance has become an increasingly important part of the finance literature. We propose a test for abnormal performance in long-run event studies using the buy and hold abnormal return (BHAR). We augment the control firm approach of Barber and Lyon (1997) by...

This paper characterizes the optimal risk-taking strategies of mutual fund managers competing in multi-period winner-take-all tournaments. With competition among mutual funds, every fund begins by taking maximum risk. In the final period, all funds continue to take maximum risk except possibly...

We use the founding of the Federal Reserve as a historical experiment to provide some insight into whether a lender of last resort can stabilize financial markets. Following the Panic of 1907, Congress passed two measures that established a lender of last resort in the United States: (1) the...

To examine the potential role cohort preferences play in asset pricing cycles and puzzles, we consider a model with stochastic generational variation in preferences. In our structure, the pricing kernel reflects an investing generation's consumption growth from mid-life to retirement rather than...

Recent regulatory proposals for margin requirements on non-cleared over-the-counter derivative products (i.e., derivatives that are not traded and not cleared on an exchange but instead are traded directly between two parties) could have resulted in dramatic changes in the ability of market...