We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this by incorporating the potentially asymmetric links into the system of 'independent' predictive regressions of returns and volatility, allowing for asymmetric cross-correlations,...

We build a two-country model with imperfect financial intermediation. Banks face limits to arbitrage which lead to positive excess returns in the investment markets and a risk premium in the international credit market. Gross capital flows affect the exchange rate since banks are balance sheet...

In this paper, we use Bayesian nonparametric learning to estimate the skill of actively managed mutual funds and also to estimate the population distribution for this skill. A nonparametric hierarchical prior, where the hyperprior distribution is unknown and modeled with a Dirichlet process...

The paper analyzes the intensity of choice in an agent based financial optimization problem. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. We specify a model for the allocation of new funds, switching between funds, and withdrawals and...

We study 852 companies with dividend reinvestment plans in 1999 matched by total assets to 852 companies without such plans. We use discrete choice methods to predict the classification of these companies. We interpret the misclassified companies as being likely to switch their plan status. That...

Angel investors invest billions of dollars in thousands of entrepreneurial projects annually, far more than the number of firms that obtain venture capital. Previous research has calculated realized internal rates of return on angel investments, but empirical estimates of expected returns have...

This paper analyzes detailed differences in patterns of financial development across the major Asian economies, including three of the region's largest economies (China, Japan and South Korea), to understand how these differences might affect possibilities for greater regional financial...

The purpose of this paper is to assess whether the banking system, over and beyond its credit function, has a significant impact on per capita GDP by providing means of payment. An annual database of 85 countries spanning the 1980-2008 period is exploited to this end. On the descriptive front,...

This paper delves into the importance of access to .nancing for the performance of firms in export markets. Based on a unique microeconomic database that combines data on Argentine firms' characteristics and export performance with information on their domestic and external financing, we provide...

In order to promote public policies aimed at enhancing financial inclusion, the Central Bank of Argentina makes periodic efforts to study, measure and analyze the processes of access and use of financial services by households in Argentina. The main objective of this paper is to use the...