This paper is the first to present evidence on the magnitude of derivative use by mutual funds. Using a unique data set of detailed balance sheet information on open-end mutual funds, we characterize the nature of derivative use by these funds. Most mutual funds using derivatives do so to a very...

This paper documents the importance of testing for structural change in the context of emerging markets. Typically, asset pricing factor models for emerging markets are conditioned on world financial market factors such as world equity excess returns, risk and maturity spreads as well as other...

We evaluate biodiversity in a real options framework, when the resources in use are substitutable. We examine optimal conservation decisions given that a biodiversity loss is irreversible and that future use values are uncertain. While species substitutability is generally believed to reduce the...

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets in which agents have general preference and endowment distributions. We show that these properties are distinct....

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent volatility imply that standard time series models of the...

This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...

We analyze the long-run performance of the population of Canadian firms that cross-list in the US between 1990 and 2005, paying particular attention to cross-delisting companies. We ask why, since numerous firms cross-list to get the advantages associated with cross-listing, these firms'...

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates...

Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching models. We point to limits of these tools to...