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Strategic financial innovation in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2004

We study an equilibrium model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different trading locations. We edogonize the asset structure as the outcome of the security design game played by the arbitrageurs. The equilibrium...

Persistent link: https://www.econbiz.de/10010745660

Like ripples on a pond: behavioral spillovers and their implications for research and policy

Dolan, Paul; Galizzi, Matteo M. - London School of Economics (LSE) - 2015

No behavior sits in a vacuum, and one behavior can greatly affect what happens next. We propose a conceptual frame within which a broad range of behavioral spillovers can be accounted for when applying behavioral science to policy challenges. We consider behaviors which take place sequentially...

Persistent link: https://www.econbiz.de/10011150276

Because I'm worth it: a lab-field experiment on the spillover effects of incentives in health

Dolan, Paul; Galizzi, Matteo M. - London School of Economics (LSE) - 2014

We conduct a controlled lab-field experiment to directly test the short-run spillover effects of one-off financial …

Persistent link: https://www.econbiz.de/10011126577

A time series analysis of financial fragility in the UK banking system

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...

Persistent link: https://www.econbiz.de/10010744867

A risk assessment model for banks

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

Persistent link: https://www.econbiz.de/10010745460

Best ideas

Silli, Bernhard; Cohen, Randolph B; Polk, Christopher - London School of Economics (LSE) - 2008

Persistent link: https://www.econbiz.de/10010746282

Rational asset pricing implications from realistic trading frictions

Zigrand, Jean-Pierre - London School of Economics (LSE) - 2002

assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …

Persistent link: https://www.econbiz.de/10010746573

Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year

Kang, Johnny; Pekkala, Tapio; Polk, Christopher; … - London School of Economics (LSE) - 2011

We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-o¤ between selling a temporarily depressed stock this year and selling next year, but delaying tax implications by one year. Interest rates do explain the...

Persistent link: https://www.econbiz.de/10011071421

Consistent measures of risk

Danielsson, Jon; Zigrand, Jean-Pierre; Jorgensen, Bjørn N. - London School of Economics (LSE) - 2006

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …

Persistent link: https://www.econbiz.de/10011071496