This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for German energy corporations. By using event study methodology, we consider the last minute victory of the acting government in the 2002 German federal elections to the Lower...

This paper examines the relationship between corporate activities to address climate change and stock performance. By separately analyzing the US and European stock markets for different sub-periods, we highlight the impact of the underlying climate policy regime. Methodologically, we compare...

In a pure-exchange, continuous-time economy, agents, who have different subjective discount rates and heterogenous beliefs on the fundamentals, trade with each other motivated not only by the benefit of risk sharing but also by speculation. This aggressiveness in trading can increase stock price...

We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options...

It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates...

This thesis investigates volatility clustering, scaling and dynamics in financial series of asset returns and studies the underlying mechanism. We propose a direct measure of volatility clustering based on the conditional probability distribution (CPD) of the returns given the return in the...

An important feature of transition economies such as the Central and Eastern European countries is the so-called phenomenon of dollarization. It is of particular interest since extensive currency substitution not only makes domestic monetary and scal policies less ecurren;ective, it also makes...

In general equilibrium models of financial markets, the capital asset pricing formula does not hold when agents have von Neumann-Morgenstern utility with constant relative risk aversion. In this paper we examine under which conditions on endowments and dividends the pricing formula provides a...

The general equilibrium model with incomplete asset markets provides a unified framework for many problems in finance and macroeconomics. In its simplest version with only two time periods and a single physical commodity the model is ideally suited for the study of problems in cross sectional...