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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

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

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

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

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

Credit Risk and Disaster Risk

Gourio, Francois - 2011

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

Limited Capital Market Participation and Human Capital Risk

Berk, Jonathan - 2010

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

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph S.J. - 2010

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

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

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