No abstract is available.

No abstract is available.

China’s financial system has been undergoing major reforms during the last decade, with the aim of establishing a modern commercial banking system and the development of stock market(s). In recent years there have been large capital injections into ailing state-owned banks, and currently...

What are the equilibrium features of a market where a sizeable portion of traders face career concerns? This question is central to our understanding of Þnancial markets that are increasingly dominated by institutional investors. We construct a model of delegated portfolio management that...

This paper uses recently developed methods for estimating dynamic heterogeneous cointegrated panel data models - which allows for heterogeneity in parameters and dynamics across agents - to study housing wealth effects in a dynamic model of the 50 US states and the District of Columbia from the...

We develop a theory of control rights in the context of licencing interim innovative knowledge for further development, which is consistent with the inalienability of initial innovator's intellectual property rights. Control rights of a downstream development unit, a buyer of the interin...

We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are...

 This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...

This paper investigates the process determining mutual funds conditional probability of closure, i.e. their hazard function. Using a nonparmetric approach to estimate the effects of a funds age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship....

We present a continuous-time asset pricing model of the levered firm where shareholders select not only the timing but also the form of control transfers. Owners are allowed to walk out of the firm either by (I) defaulting on their debt obligations or (ii) selling the firm with its debt...