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A Search-Based Theory of the On-the-Run Phenomenon
Vayanos, Dimitri; Weill, Pierre-Olivier - National Bureau of Economic Research (NBER) - 2006
they must deliver the asset they borrowed. That asset enjoys greater liquidity, measured by search times, and a higher … lending fee ("specialness"). Liquidity and specialness translate into price premia that are consistent with no-arbitrage. We …
Persistent link: https://www.econbiz.de/10005085179
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Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Scheuer, Florian - National Bureau of Economic Research (NBER) - 2012
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equilibria when agents can trade claims to consumption contingent on aggregate shocks in financial...
Persistent link: https://www.econbiz.de/10009652853
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Limits of Arbitrage: The State of the Theory
Vayanos, Dimitri; Gromb, Denis - National Bureau of Economic Research (NBER) - 2010
faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in …
Persistent link: https://www.econbiz.de/10008627156
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Fire Sales in a Model of Complexity
Caballero, Ricardo J; Simsek, Alp - National Bureau of Economic Research (NBER) - 2009
Financial assets provide return and liquidity services to their holders. However, during severe financial crises many … asset prices plummet, destroying their liquidity provision function at the worst possible time. In this paper we present a … not control or understand. The liquidity of the market quickly vanishes and a financial crisis ensues. The model exhibits …
Persistent link: https://www.econbiz.de/10008634664
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Fund Managers, Career Concerns, and Asset Price Volatility
Guerrieri, Veronica; Kondor, Péter - National Bureau of Economic Research (NBER) - 2009
We propose a model where investors hire fund managers to invest either in risky bonds or in riskless assets. Some managers have superior information on the default probability. Looking at the past performance, investors update beliefs on their managers and make firing decisions. This leads to...
Persistent link: https://www.econbiz.de/10005710479
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An Institutional Theory of Momentum and Reversal
Vayanos, Dimitri; Woolley, Paul - National Bureau of Economic Research (NBER) - 2008
We propose a rational theory of momentum and reversal based on delegated portfolio management. An investor can hold assets through an index or an active fund. Investing in the active fund involves a time-varying cost, interpreted as managerial perk or ability. The investor responds to an...
Persistent link: https://www.econbiz.de/10005778202
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Measuring and Interpreting Expectations of Equity Returns
Manski, Charles; Dominitz, Jeff - National Bureau of Economic Research (NBER) - 2005
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999 %uF8182001 and in the Michigan Survey of Consumers in 2002 %uF8182004. Our empirical findings suggest that individuals use interpersonally variable but intrapersonally stable processes...
Persistent link: https://www.econbiz.de/10005778477
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Crises and Prices: Information Aggregation, Multiplicity and Volatility
Angeletos, George-Marios; Werning, Iván - National Bureau of Economic Research (NBER) - 2004
Many argue that crises -- such as currency attacks, bank runs and riots -- can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of...
Persistent link: https://www.econbiz.de/10005050153
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Complexity and Financial Panics
Caballero, Ricardo J; Simsek, Alp - National Bureau of Economic Research (NBER) - 2009
During extreme financial crises, all of a sudden, the financial world that was once rife with profit opportunities for financial institutions (banks, for short) becomes exceedingly complex. Confusion and uncertainty follow, ravaging financial markets and triggering massive flight-to-quality...
Persistent link: https://www.econbiz.de/10005055417
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Five Open Questions About Prediction Markets
Wolfers, Justin; Zitzewitz, Eric - National Bureau of Economic Research (NBER) - 2006
Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decision-making and risk management -- in both the public and private sectors. This paper outlines five open questions in the literature,...
Persistent link: https://www.econbiz.de/10005034916