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A DSGE model of banks and financial intermediation with default risk
Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011
assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …
Persistent link: https://www.econbiz.de/10009293986
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Demand-Based Option Pricing
Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
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Valuation in Over-the-Counter Markets
Duffie, Darrell; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2006
, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …
Persistent link: https://www.econbiz.de/10005661894
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Why Russian Workers Do Not Move: Attachment Of Workers Through In-Kind Payments
Friebel, Guido; Guriev, Sergei - C.E.P.R. Discussion Papers - 2000
(RLMS) support our theory. Workers who receive in-kind payments are less probable to move than workers who do receive their …
Persistent link: https://www.econbiz.de/10005788929
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Easy Targets and the Timing of Conflict
Bester, Helmut; Konrad, Kai A. - C.E.P.R. Discussion Papers - 2004
Contestants have to choose whether to initiate a contest or war, or whether to remain peaceful for another period. We find that agents wait and initiate the contest once their rival is sufficiently weak to be an easy target.
Persistent link: https://www.econbiz.de/10005123608
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Delay in Contests
Bester, Helmut; Konrad, Kai A. - C.E.P.R. Discussion Papers - 2003
Why is there delay in contests? In this Paper we follow and extend the line of reasoning of Carl von Clausewitz to explain delay. For a given contest technology, delay may occur if there is an asymmetry between defense and attack, if the expected change in relative strengths is moderate, and if...
Persistent link: https://www.econbiz.de/10005504736
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Rare Events, Financial Crises, and the Cross-Section of Asset Returns
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015
-value stocks. This helps to explain the cross section of asset returns when risk is priced according to a version of the "Bad Beta …
Persistent link: https://www.econbiz.de/10011213314
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Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015
We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS … exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less … liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various …
Persistent link: https://www.econbiz.de/10011272713
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Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015
We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond yield spreads as bank credit supply tightens. Debt...
Persistent link: https://www.econbiz.de/10011252612
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Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect
Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...
Persistent link: https://www.econbiz.de/10011252613