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On the impact of leverage constraints on asset prices and trading volume

Marín, José M.; Olivier, Jacques P. - Department of Economics and Business, Universitat … - 1995

Researchers have used stylized facts on asset prices and trading volume in stock markets (in particular, the mean reversion of asset returns and the correlations between trading volume, price changes and price levels) to support theories where agents are not rational expected utility maximizers....

Persistent link: https://www.econbiz.de/10005772264

Illiquidity and under-valuation of firms

Gale, Douglas; Gottardi, Piero - 2009

We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states … of nature and default may lead to the sale of the firms’ assets at fire sale prices when markets are illiquid. This … incompleteness is the only friction in the model and the only cost of default. The anticipation of such losses alone may distort …

Persistent link: https://www.econbiz.de/10010273807

Illiquidity and Under-Valuation of Firms

Gale, Douglas; Gottardi, Piero - CESifo - 2009

Persistent link: https://www.econbiz.de/10008572580

Structure, Clearinghouses and Symmetry

Shubik, Martin; Smith, Eric - Cowles Foundation for Research in Economics, Yale University - 2003

We introduce and justify a taxonomy for the structure of markets and minimal institutions which appear in constructing minimally complex trading structures to perform the functions of price formation, settlement and payments. Each structure is presented as a playable strategic market game and is...

Persistent link: https://www.econbiz.de/10005593560

Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment

Shubik, Martin; Smith, Eric - Cowles Foundation for Research in Economics, Yale University - 2003

In order to explain in a systematic way why certain combinations of market, financial, and legal structures may be intrinsic to certain capabilities to exchange real goods, we introduce criteria for abstracting the qualitative functions of markets. The criteria involve the number of strategic...

Persistent link: https://www.econbiz.de/10005593640

Strategic Freedom, Constraint, and Symmetry in One-period Markets with Cash and Credit Payment

Shubik, Martin; Smith, David Eric - School of Management, Yale University - 2004

Persistent link: https://www.econbiz.de/10005586976

Structure, Clearinghouses and Symmetry

Shubik, Martin; Smith, David Eric - School of Management, Yale University - 2004

Persistent link: https://www.econbiz.de/10005587170

Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium

Geanakoplos, John - Econometric Society - 2004

Introducing default and limited collateral into general equilibrium allows for a theoery of endogenous contracts, .. …

Persistent link: https://www.econbiz.de/10005342221

International capital flows, returns and world financial integration

Evans, Martin D.D.; Hnatkovska, Viktoria V. - In: Journal of International Economics 92 (2014) 1, pp. 14-33

International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and bond markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...

Persistent link: https://www.econbiz.de/10010738192

International Capital Flows, Returns and World Financial Integration

Georgetown University, Department of Economics - 2005

International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and debt markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...

Persistent link: https://www.econbiz.de/10005169607