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costlessly hardened' and passed along within the hierarchy. As a concrete application of the theory, the paper discusses the …, this is exactly what the theory would lead one to expect …
Persistent link: https://www.econbiz.de/10012471056
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
We develop a theory of stock-market crashes based on differences of opinion among investors. Because of short …
Persistent link: https://www.econbiz.de/10012471408
This paper addresses the following question: what ties together the traditional commercial banking activities of deposit-taking and lending? We begin by observing that since banks often lend via commitments, or credit lines, their lending and deposit-taking may be two manifestations of the same...
Persistent link: https://www.econbiz.de/10012471845
We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the supply of long-term bonds in...
Persistent link: https://www.econbiz.de/10012481468
periods when the ratio of government debt to total debt is higher; and ii) by firms with stronger balance sheets. Our theory …
Persistent link: https://www.econbiz.de/10012464558
We develop a model that clarifies the respective advantages and disadvantages of academic and private-sector research. Our model assumes full protection of intellectual property rights at all stages of the development process, and hence does not rely on lack of appropriability or spillovers to...
Persistent link: https://www.econbiz.de/10012467136
The majority of asset-management intermediaries (e.g., mutual funds, hedge funds) are structured on an open-end basis, even though it appears that the open-end form can be a serious impediment to arbitrage. I argue that the equilibrium degree of open-ending in an economy can be excessive from...
Persistent link: https://www.econbiz.de/10012468434
done better over the same period. This theory makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the theory yields …
Persistent link: https://www.econbiz.de/10012468685
currently dominated by these irrational investors, and hence is overvalued. This theory can also explain how managers might …
Persistent link: https://www.econbiz.de/10012469899