We develop a model in which time-varying real investment opportunities lead to time-varying adverse selection in the market for initial public offerings. The model is consistent with several stylized facts known about the IPO market: economic expansions are associated with a dramatic increase in...

This study examines various determinants of idiosyncratic risk from the perspective of un-diversified REIT investors, managers holding options, other option holders, and arbitrageurs. Since real estate investment trusts (REITs) enjoy a unique organizational structure and tax status, the relevant...

It is well known that historically a larger number of firms issue common stock and the proportion of external financing accounted for by equity is substantially higher in expansionary phases of the business cycle. We show that this phenomenon is consistent with firms selling seasoned equity when...

The paper analyzes the strategic waiting tendencies of IPO firms. Our model shows why some high-quality firms may strategically delay their initial public offering until a favorable signal about the economic conditions is generated by other issuing firms. Survival analysis suggests that IPOs in...

We develop a model in which time-varying real investment opportunities lead to time-varying adverse selection in the market for initial public offerings. The model is consistent with several stylized facts known about the IPO market: economic expansions are associated with a dramatic increase in...

We develop a framework in which change in lending standards generate endogenous cycles. In particular, we study an environment in which entrepreneurs need to borrow and are privately informed about the quality of their projects. Our characterization is novel in analyzing pooling and separating...

Over the last four decades, the volatility of the firm level component of stock returns has increased relative to the market and industry components. It has also been documented that during the same period, the U.S. economy has experienced a sharp decline in the volatility of GDP growth. Do...

The objective of this research is to determine the optimal rating philosophy for the rating of SMEs, and to describe the consequences of the chosen philosophy on several related aspects. As to our knowledge, this is the first paper that studies the considerations of financial institutions on...

This paper analyzes a model in which the risk associated with entrepreneurial activity implies that the amount of such activity is procyclical and results in both amplification and intertemporal propagation of productivity shocks. In the model risk averse agents choose between a riskless project...