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types of pecuniary externalities: distributive externalities that arise from incomplete insurance markets and collateral … externalities that arise from price-dependent financial constraints. For both types of externalities, we identify three sufficient … pecuniary externalities. We demonstrate how to employ our framework in a number of applications. Whereas collateral …
Persistent link: https://www.econbiz.de/10012456233
they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following …
Persistent link: https://www.econbiz.de/10012465790
We document a novel channel through which coordinated noise trading exerts externalities on financial markets dominated … suggest that giving retirement savers unconstrained reallocation opportunities may exert negative externalities on financial …
Persistent link: https://www.econbiz.de/10012456514
We show how bundling, exclusivity and additional markets internalize fire sale and other pecuniary externalities. Ex …
Persistent link: https://www.econbiz.de/10012456618
We present a model of shadow banking in which financial intermediaries originate and trade loans, assemble these loans into diversified portfolios, and then finance these portfolios externally with riskless debt. In this model: i) outside investor wealth drives the demand for riskless debt and...
Persistent link: https://www.econbiz.de/10012461542
depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …
Persistent link: https://www.econbiz.de/10012461632
The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain …
Persistent link: https://www.econbiz.de/10012462943
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...
Persistent link: https://www.econbiz.de/10012462964
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472491
We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span...
Persistent link: https://www.econbiz.de/10012478108