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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...
Persistent link: https://www.econbiz.de/10011255488
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A Meta-Analysis of the Equity Premium
Ewijk, Casper van; Groot, Henri L.F. de; Santing, Coos - Tinbergen Instituut - 2010
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....
Persistent link: https://www.econbiz.de/10011257119
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013
Published in the <I>Journal of Reviews on Global Economics</I> (2013). Volume 2, pages 307-329.<P> Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....</p></i>
Persistent link: https://www.econbiz.de/10011256404
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Signaling Quality through Prices in an Oligopoly
Janssen, Maarten C.W.; Roy, Santanu - Tinbergen Instituut - 2007
Firms signal high quality through high prices even if the market structure is highly competitive and price competition … is severe. In a symmetric Bertrand oligopoly where products may differ only in their quality, production cost is … increasing in quality and the quality of each firm’s product is private information (not known to consumers or to other firms …
Persistent link: https://www.econbiz.de/10011255858
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Inverse Adverse Selection: The Market for Gems
Dari-Mattiacci, Giuseppe; Onderstal, Sander; Parisi, … - Tinbergen Instituut - 2011
This paper studies markets plagued with asymmetric information on the quality of traded goods. In Akerlof's setting … uninformed buyer in a traditional market for lemons experiences the quality of the good he purchased; instead, the uninformed … seller may never know the quality of the good that he sold. This renders the conventional legal and contractual solutions to …
Persistent link: https://www.econbiz.de/10011256127
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The Welfare Effects of Discrimination in Insurance
Noll, Rob van der - Tinbergen Instituut - 2006
We study an insurance model characterized by a continuum of risk types, private information and a competitive supply side. We use the model to investigate the welfare effects of discrimination (also known as risk selection). We postulate that a test is available that determines whether an...
Persistent link: https://www.econbiz.de/10011256965
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Coordination Frictions and The Financial Crisis
Gautier, Pieter A. - Tinbergen Instituut - 2009
In this note I argue that the desirability of fiscal policy in response to the current crisis depends on whether one views the current crisis as a temporary deviation from a unique equilibrium or as a bad equilibrium out of multiple equilibria. The paper presents a simple Diamond (1982) type of...
Persistent link: https://www.econbiz.de/10011255641
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012
We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...
Persistent link: https://www.econbiz.de/10011255476
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Efficiency Gains of a European Banking Union
Schoenmaker, Dirk; Siegmann, Arjen - Tinbergen Instituut - 2013
An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...
Persistent link: https://www.econbiz.de/10011255493
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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...
Persistent link: https://www.econbiz.de/10011255629