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Optimal hedging strategies and interactions between firms
Loss, Frederic - London School of Economics (LSE) - 2002
This paper studies corporate risk management in a context with financial constraints and imperfect competition on the … product market. We show that the interactions between firms heavily affect their hedging demand. As a general rule, the firms …’ hedging demand decreases with the correlation between firms’ internal funds and investment opportunities. We show that when …
Persistent link: https://www.econbiz.de/10010745252
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Flight to quality, flight to liquidity, and the pricing of risk
Vayanos, Dimitri - London School of Economics (LSE) - 2004
We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is...
Persistent link: https://www.econbiz.de/10010928794
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Search and endogenous concentration of liquidity in asset markets
Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004
We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one asset, but can decide which one. We show that there exists a "clientele" equilibrium where one...
Persistent link: https://www.econbiz.de/10010928661
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Dynastic management
Caselli, Francesco; Gennaioli, Nicola - London School of Economics (LSE) - 2006
The most striking difference in corporate-governance arrangements between rich and poor countries is that the latter rely much more heavily on the dynastic family firm, where ownership and control are passed on from one generation to the other. We argue that if the heir to the family firm has no...
Persistent link: https://www.econbiz.de/10010928662
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A search-based theory of the on-the-run phenomenon
Vayanos, Dimitri; Weill, Pierre-Olivier - London School of Economics (LSE) - 2005
We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the spot and the asset-lending market operate through search. Short-sellers can endogenously...
Persistent link: https://www.econbiz.de/10010745747
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Pricing of Asian options on interest rates in the CIR model
Dassios, Angelos; Nagaradjasarma, Jayalaxshmi - London School of Economics (LSE) - 2011
probability distribution function. Applications to the valuation of derivatives, including Asian options prices in closed form … others areas of finance, among which stochastic volatility and credit derivatives. …
Persistent link: https://www.econbiz.de/10010746216
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Equilibrium analysis, banking, contagion and financial fragility
Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003
This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The model is a simplified version of the real world consisting of a non-bank private sector, banks, a central bank, a government and a regulator. The model is used to analyse...
Persistent link: https://www.econbiz.de/10010884714
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A model to analyse financial fragility: applications
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...
Persistent link: https://www.econbiz.de/10010745587
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Opening and closing the market: evidence from the London Stock Exchange
Ellul, Andrew; Shin, Hyun Song; Tonks, Ian - London School of Economics (LSE) - 2004
Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening and closing periods. We investigate the performance of call markets at the open and close from a unique natural experiment provided by the...
Persistent link: https://www.econbiz.de/10010745849
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Speculation: futures and capitalism in India: opening statement
Bear, Laura; Birla, Ritu; Puri, Stine Simonsen - London School of Economics (LSE) - 2015
Persistent link: https://www.econbiz.de/10011274872