As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of markets to converge towards fundamental values. This paper confirms their insights theoretically within the evolutionary finance model of Evstigneev, Hens, and Schenk-Hopp (2006)...

Recent studies have found unmeasured intangible capital to be large and important. In this paper we observe that by nature intangible capital is also very different from physical capital. We find it plausible to argue that the accumulation process for intangible capital differs significantly...

In production economies, the extent to which non-equilibria are blocked dependson specific rules that allocate authority among shareholders, because a blocking coalition’sresources are affected by the firms it jointly owns with outsiders. Based on anotion of stochastic blocking, we extend...

Banking regulators often practice forbearance and ambiguity in insolvency resolutions. The paperexamines the effects of regulatory forbearance and ambiguity in a context of allocational efficiency.Bailouts, liquidations and their stochastic policy mix lead to suboptimal allocations if banks do...

Financial intermediaries may increase economic efficiency through intertemporal risk smoothing.However without an adequate regulation, intermediation may fail to do this. This paper studiesthe effects of a production shock in a closed economy and compares abilities of market-based andbank-based...

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the possibility that trees experience unexpected disasters. We exploit themarket clearing mechanism, in the presence of multiple positive net supply assets, to showthat the implications of...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices. They present an equilibrium model which focuses on the stochastic behavior of tastes in addition to the dynamics of investor beliefs.

Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....