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Dynamic Hedging in Incomplete Markets: A Simple Solution

Basak, Suleyman; Chabakauri, Georgy - C.E.P.R. Discussion Papers - 2011

deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when …Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson …

Persistent link: https://www.econbiz.de/10009024486

Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies

Acharya, Viral V; Almeida, Heitor; Campello, Murillo - C.E.P.R. Discussion Papers - 2005

will allocate cash flows into cash holdings if their hedging needs are high (i.e., if the correlation between operating … if their hedging needs are low. The empirical examination of debt and cash policies of a large sample of firms reveals … hedging needs have a strong propensity to save cash out of cash flows while leaving their debt positions unchanged. In …

Persistent link: https://www.econbiz.de/10005124183

Financial Black-Holes: The Interaction of Financial Regulation and Bailout Guarantees

Rancière, Romain; Tornell, Aaron - C.E.P.R. Discussion Papers - 2011

This paper argues that the U.S. financial crisis is a new type of crisis: a "financial black hole." Financial black holes are characterized by the breaking-up of credit market discipline and the large-scale financing of negative NPV projects. In a theoretical model, we explain how the...

Persistent link: https://www.econbiz.de/10008854497

The Democratic Transition

Murtin, Fabrice; Wacziarg, Romain - C.E.P.R. Discussion Papers - 2011

Over the last two centuries, many countries experienced regime transitions toward democracy. We document this democratic transition over a long time horizon. We use historical time series of income, education and democracy levels from 1870 to 2000 to explore the economic factors associated with...

Persistent link: https://www.econbiz.de/10009320398

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010

weak. Theoretical results, simulation experiments and empirical applications highlight the relevance of Factor-GMM …

Persistent link: https://www.econbiz.de/10008468588

Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias

Kleck, Gary; Kovandzic, Tomislav; Schaffer, Mark E - C.E.P.R. Discussion Papers - 2005

-protection), mismeasurement of gun levels, and omitted/confounding variables - and show how the Generalized Method of Moments (GMM) can provide an …

Persistent link: https://www.econbiz.de/10005123831

Foreign Direct Investment, Competitive Pressure and Spillovers. An Empirical Analysis of Spanish Firm Level Data

Sembenelli, Alessandro; Siotis, Georges - C.E.P.R. Discussion Papers - 2005

A short review of the theoretical and empirical evidence indicates that foreign direct investment (FDI) has the potential to increase the intensity of competition as well as to act as a channel for technology transfers. One would expect, all else equal, an increase in average firm performance...

Persistent link: https://www.econbiz.de/10005497928

Estimating the Probability of Leaving Unemployment Using Uncompleted Spells from Repeated Cross-Section Data

Güell, Maia; Hu, Luojia - C.E.P.R. Discussion Papers - 2003

We propose a new econometric estimation method for analysing the probability of leaving un-employment using uncompleted spells from repeated cross-section data, which can be especially useful when panel data are not available. The proposed method-of-moments-based estimator has two important...

Persistent link: https://www.econbiz.de/10005504490

An Investment-Growth Asset Pricing Model

Li, Qing; Vassalou, Maria; Xing, Yuhang - C.E.P.R. Discussion Papers - 2001

model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM …. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth …

Persistent link: https://www.econbiz.de/10005504559

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634