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Separated by a common currency? Evidence from the Euro changeover

Bris, Arturo; Rupérez-Micola, Augusto - Department of Economics and Business, Universitat … - 2008

We study the price convergence of goods and services in the euro area in 2001-2002. To measure the degree of … suggests that the markets were very integrated before the euro changeover. Moreover, we do not identify an integration effect … attributable to the introduction of the euro. We then explore the determinants of the European borders. We find that different …

Persistent link: https://www.econbiz.de/10005572641

Patent collateral investor commitment and the market for venture lending

Hochberg, Yael V.; Serrano, Carlos J.; Ziedonis, … - Department of Economics and Business, Universitat … - 2014

The use of debt to finance risky entrepreneurial-firm projects is rife with informational and contracting problems. Nonetheless, we document widespread lending to startups in three innovation-intensive sectors and in early stages of development. At odds with claims that the secondary patent...

Persistent link: https://www.econbiz.de/10010940078

The credit ratings game

Bolton, Patrick; Freixas, Xavier; Shapiro, Joel - Department of Economics and Business, Universitat … - 2009

The spectacular failure of top-rated structured finance products has brought renewed attention to the conflicts of interest of Credit Rating Agencies (CRAs). We model both the CRA conflict of understating credit risk to attract more business, and the issuer conflict of purchasing only the most...

Persistent link: https://www.econbiz.de/10005012008

Security analysts as frame-makers

Ibáñez, Daniel Beunza; Garud, Raghu - Department of Economics and Business, Universitat … - 2004

In this paper we explore the mechanisms that allow securities analysts to value companies in contexts of Knightian uncertainty, that is, in the face of information that is unclear, subject to unforeseeable contingencies or to multiple interpretations. We address this question with a...

Persistent link: https://www.econbiz.de/10005772023

Interbank comptetition with costly screening

Freixas, Xavier; Hurkens, Sjaak; Morrison, Alan D.; … - Department of Economics and Business, Universitat … - 2004

We analyse credit market equilibrium when banks screen loan applicants. When banks have a convex cost function of screening, a pure strategy equilibrium exists where banks optimally set interest rates at the same level as their competitors. This result complements Broecker’s (1990) analysis,...

Persistent link: https://www.econbiz.de/10005772155

The credit ratings game

Bolton, Patrick; Freixas, Xavier; Shapiro, Joel - Department of Economics and Business, Universitat … - 2010

The collapse of so many AAA-rated structured finance products in 2007-2008 has brought renewed attention to the causes of ratings failures and the conflicts of interest in the Credit Ratings Industry. We provide a model of competition among Credit Ratings Agencies (CRAs) in which there are three...

Persistent link: https://www.econbiz.de/10008455571

Bank versus venture capital

Ueda, Masako - Department of Economics and Business, Universitat … - 2000

Why do some start-up firms raise funds from banks and others from venture capitalists? To answer this question, I develop a model of start-up financing when intellectual property rights are not well protected. The upside of VC financing is that the VC understands the business better than a bank....

Persistent link: https://www.econbiz.de/10005572591

A century of global equity market correlations

Quinn, Dennis; Voth, Joachim - Department of Economics and Business, Universitat … - 2006

In this paper, we use a unique long-run dataset of regulatory constraints on capital account openness to explain stock market correlations. Since stock returns themselves are highly volatile, any examination of what drives correlations needs to focus on long runs of data. This is particularly...

Persistent link: https://www.econbiz.de/10005827461

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

Ledoit, Olivier; Wolf, Michael - Department of Economics and Business, Universitat … - 2001

This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators: the sample covariance matrix and single-index covariance matrix. This method is generally known as shrinkage, and it is standard in decision theory and in empirical...

Persistent link: https://www.econbiz.de/10005827499

The long and the short of it: Sovereign debt crises and debt maturity

Fernández, Raquel; Martin, Alberto - Department of Economics and Business, Universitat … - 2014

We present a simple model of sovereign debt crises in which a country chooses its optimal mix of short and long-term debt contracts subject to standard contracting frictions: the country cannot commit to repay its debts nor to a specific path of future debt issues, and contracts cannot be made...

Persistent link: https://www.econbiz.de/10011206911