We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under natural conditions, prices are lower and illiquidity discounts higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners...

Initiated by the seminal work of Diamond/Dybvig (1983) and Diamond (1984), advances in the theory of financial intermediation have sharpened our understanding of the theoretical foundations of banks as special financial institutions. What makes them "unique" is the combination of accepting...

The paper presents an empirical analysis of the alledged transformation of the financial systems in the three major European economies, France, Germany and the UK. Based on a unified data set developed on the basis of national accounts statistics, and employing a new and consistent method of...

This paper suggests that changing risk conveys information useful to improve performance.

This papers studies the CDS-bond basis, i.e. a measure of price discrepanciesbetween CDS and bonds spreads, for a sample of investment-graded US rms. Resultsshow that during the 2007/09 nancial crisis the basis was time varying and negativelycorrelated to: the \Libor-OIS" spread, a proxy for the...

In this paper we investigate the stock market response to international monetary policychanges in the UK and Germany. Specifically, we analyse the impact of (un)expectedchanges in UK and German/Euro area policy rates on UK and German aggregate andsectoral equity returns in an event study. The...

This paper presents an in-depth analysis of developments in the microfinance sector beforeand after the Lehman Brothers collapse in 2008 by comparing them with developments intraditional banking sectors of emerging market economies and developing countries. Thefindings indicate that microfinance...

In this paper, we explore the stochastic nature of implied recovery rates. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different defaultconditionalrecovery rates. Specifically, we extract information from Credit Default Swaps...

This paper provides an overview of the complex conceptual and practical challenges thatemerging market economies face as they attempt to reform their frameworks for financialregulation. These economies are striving to balance the quest for financial stability with theimperatives of financial...

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as theBlack-Scholes model with constant volatility. In this paper, we examine...