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Bank capital, liquid reserves, and insolvency risk
Hugonnier, Julien; Morellec, Erwan - 2015
risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …
Persistent link: https://www.econbiz.de/10011293576
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Innovation, delegation, and asset price swings
Sato, Yuki - 2015
We propose a dynamic asset-market equilibrium model in which (1) an "innovative" asset with as-yet-unknown average payoff is traded, and (2) investors delegate investment to experts. Experts secretly renege on investors' orders and take on leveraged positions in the asset to manipulate...
Persistent link: https://www.econbiz.de/10011293484
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Moral hazard, informed trading, and stock prices
Collin-Dufresne, Pierre; Fos, Vyacheslav - 2013
We analyze a dynamic model of informed trading where a shareholder accumulates shares in an anonymous market and then expends costly effort to change the firm value. We find that equilibrium prices are affected by the position accumulated by the shareholder, because the level of effort...
Persistent link: https://www.econbiz.de/10010258547
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News about zero-leverage firms
Geelen, Thomas A. - 2016
-cycle theory of debt maturity …
Persistent link: https://www.econbiz.de/10011626255
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Opacity in financial markets
Sato, Yuki - 2013
This paper studies the implications of opacity in fi nancial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products)....
Persistent link: https://www.econbiz.de/10010257853
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Agency conflicts around the world
Morellec, Erwan; Nikolov, Boris; Schürhoff, Norman - 2015
We use a dynamic model of financing decisions to measure agency conflicts for a large panel of 12,652 firms from 14 countries. Our estimates show that agency conflicts are large and vary significantly across firms and countries. Differences in agency conflicts are largely due to differences in...
Persistent link: https://www.econbiz.de/10011410744
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Re-use of collateral : leverage, volatility, and welfare
Brumm, Johannes; Kubler, Felix; Grill, Michael; … - 2017
improve welfare as it enables agents to share risk more effectively. Allowing reuse beyond intermediate levels, however, can …
Persistent link: https://www.econbiz.de/10011626567
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Toward a unified framework of credit creation
Becke, Susanne von der; Sornette, Didier - 2014
We identify the origin of the contradicting perspectives on credit creation offered by Austrian, Mainstream and Post Keynesian economists as the neglect of the primacy of such assets as goods, properties and securities, which always pre-exist any transaction and loan. We develop a unified...
Persistent link: https://www.econbiz.de/10010337985
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Competition, cash holdings, and financing decisions
Morellec, Erwan; Nikolov, Boris; Zucchi, Francesca - 2013
We use a dynamic model of cash management in which firms face competitive pressure to show that competition increases … theory …
Persistent link: https://www.econbiz.de/10010258537
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Risk and Resilience Management in Social-Economic Systems
Kovalenko, Tatyana; Sornette, Didier - 2016
resilience build-up and management based on a novel classification of risk and resilience management regimes corresponding to the … of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for … management, Adaptive management, the Black swan regime and the Dragon-king regime. An annotated bibliography is also provided …
Persistent link: https://www.econbiz.de/10011516605