This paper contributes to the literature comparing the relative performance of financial intermediaries and markets by studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries provide insurance to households against a liquidity...

Using the firm-level data set, this paper attempts to examine the dynamic patterns in the allocation of credit across firms in Korea. Supposedly, in Korea, the economic crisis in 1997 had a significant impact on the pattern in the allocation of credit across firms. In particular, this paper aims...

Abstract The literature on rural credit market has generally assumed that farm households are rationed in their access to subsidised formal credit. Due to lack of infrastructure and poor access to institutional credit, exploitation of farmers in interlocked credit market is expected to be high....

This paper is concerned with the general question of the provision of information by financial intermediaries to their customers. Specifically, it analyzes the different ways the market can be organized and its effects on pricing and the level of information investors obtain. We find that market...

Liquid markets where agents have limited capacity to sign exclusive contracts, as well as imperfect knowledge of previous transactions by others, raise the following risk: An agent can promise the same asset to multiple counterparties and subsequently default. I show that in such markets an...

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an...

In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...

It is known that stock returns are affected by monetary policy. This paper theoretically and empirically investigates whether asymmetric information between the Federal Reserve and the public causes the relation between stock returns and monetary policy actions. The paper concludes that...