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Pecuniary Externalities in Economies with Financial Frictions
Dávila, Eduardo - 2016
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
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Do Analysts Herd? An Analysis of Recommendations and Market Reactions
Jegadeesh, Narasimhan - 2007
they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following …
Persistent link: https://www.econbiz.de/10012465790
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Coordinated Noise Trading : Evidence from Pension Fund Reallocations
Da, Zhi - 2016
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
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A Market Based Solution for Fire Sales and Other Pecuniary Externalities
Kilenthong, Weerachart T. - 2016
We show how bundling, exclusivity and additional markets internalize fire sale and other pecuniary externalities. Ex …
Persistent link: https://www.econbiz.de/10012456618
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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison - 1997
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
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Chamberlain, Gary - 1982
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
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Consumption Preferences, Asset Demands, and Distribution Effects in International Financial Markets
Krugman, Paul R. - 1981
), have sought to justify the portfolio approach in terms of finance theory, deriving asset demands from a mean …
Persistent link: https://www.econbiz.de/10012478470
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Inflation Risk and Capital Market Equilibrium
Bodie, Zvi - 1979
assets. (3.) A preliminary empirical test of the theory using rates of return on common stocks, long-term bonds, real estate …
Persistent link: https://www.econbiz.de/10012478775
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Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities
Kartashov, Vasily - 2011
This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...
Persistent link: https://www.econbiz.de/10012461152
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A Model of Shadow Banking
Gennaioli, Nicola - 2011
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