Narrow search
Showing 1 - 10 of 152
Cover Image
Debt maturity and the liquidity of secondary debt markets
Bruche, Max; Segura, Anatoli - London School of Economics (LSE) - 2013
debt markets, and an over-the-counter secondary debt market with search frictions. Liquidity in this market is related to …
Persistent link: https://www.econbiz.de/10010746682
Cover Image
Capital structure, investment, and fire sales
Gale, Douglas; Gottardi, Piero - London School of Economics (LSE) - 2014
, trading off the tax advantages of debt against the risk of costly default. The costs of bankruptcy are endogenously determined …
Persistent link: https://www.econbiz.de/10011170093
Cover Image
How to sell a (bankrupt) company?
Cornelli, Francesca; Felli, Leonardo - London School of Economics (LSE) - 2010
The restructuring of a bankrupt company often entails the sale of such company. This paper suggests a way to sell the company that maximizes the creditors’ proceeds. The key to this proposal is the option left to the creditors to retain a fraction of the shares of the company. Indeed, by...
Persistent link: https://www.econbiz.de/10011071365
Cover Image
Rational trader risk
Kondor, Peter - London School of Economics (LSE) - 2004
i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …
Persistent link: https://www.econbiz.de/10010884635
Cover Image
Portfolio choice beyond the traditional approach
Penaranda, Francisco - London School of Economics (LSE) - 2007
traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there …
Persistent link: https://www.econbiz.de/10010745189
Cover Image
The international diversification puzzle is not worse than you think
Julliard, Christian - London School of Economics (LSE) - 2002
consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric …: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it. …
Persistent link: https://www.econbiz.de/10010746135
Cover Image
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
Cover Image
Optimal expectations
Brunnermeier, Markus K.; Parker, Jonathan A. - London School of Economics (LSE) - 2002
This paper introduces a tractable, structural model of subjective beliefs. Since agents that plan for the future care about expected future utility flows, current felicity can be increased by believing that better outcomes are more likely. On the other hand, expectations that are biased towards...
Persistent link: https://www.econbiz.de/10010746723
Cover Image
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...
Persistent link: https://www.econbiz.de/10011170088
Cover Image
Mark-to-market accounting and systemic risk: evidence from the insurance industry
Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - London School of Economics (LSE) - 2013
amplification of systemic risk. We caution against focusing on the accounting rule in isolation, and instead emphasize the …-based information, our results indicate that regulatory simplicity may be preferred to the complexity of risk-weighted capital ratios … that gives rise, through interactions with accounting rules, to distorted risk-taking incentives and potential build-up of …
Persistent link: https://www.econbiz.de/10011171756