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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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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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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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The value of insolvency safe harbours
Paech, Philipp - London School of Economics (LSE) - 2015
‘Safe harbour’ is shorthand for a bundle of privileges in insolvency which are typically afforded to financial institutions. They are remotely comparable to security interests as they provide a financial institution with a considerably better position as compared to other creditors should...
Persistent link: https://www.econbiz.de/10011264787
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The political economy of natural disaster damage
Neumayer, Eric; Plümper, Thomas; Barthel, Fabian - London School of Economics (LSE) - 2014
Economic damage from natural hazards can sometimes be prevented and always mitigated. However, private individuals tend to underinvest in such measures due to problems of collective action, information asymmetry and myopic behavior. Governments, which can in principle correct these market...
Persistent link: https://www.econbiz.de/10011126175
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Some determinants of the price of default risk
Anderson, Ronald W. - London School of Economics (LSE) - 2008
In this paper we study the pricing of credit risk as reflected in the market for credit default swaps (CDS) between 2003 and 2008. This market has newly emerged as the reference for credit risk pricing because of its use of standardized contract specifications and has achieved a higher level of...
Persistent link: https://www.econbiz.de/10011071320
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Balance sheet capacity and endogenous risk
Danielsson, Jon; Song Shin, Hyun; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2011
Banks operating under Value-at-Risk constraints give rise to a welldefined aggregate balance sheet capacity for the banking sector as a whole that depends on total bank capital. Equilibrium risk and market risk premiums can be solved in closed form as functions of aggregate bank capital. We...
Persistent link: https://www.econbiz.de/10010884614
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Assessing the costs of protection in a context of switching stochastic regimes
Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel - London School of Economics (LSE) - 2012
make advance provision, or hedge, for these costs at time 0. We evaluate the amount of provision, or the hedging premium …
Persistent link: https://www.econbiz.de/10010745247
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Optimal hedging strategies and interactions between firms
Loss, Frederic - London School of Economics (LSE) - 2002
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 … the hedging demand of a firm is high in the case where investments are strategic substitutes, its hedging demand is low in …
Persistent link: https://www.econbiz.de/10010745252