Shareholder agreements govern the relations among shareholders in privately-held firms, such as joint ventures or venture capital-backed firms. We provide an explanation for the use of put and call options, tag-along rights, drag-along rights, demand rights, piggy-back rights, and catch-up...

We treat information acquisition by potential investors in IPOs asendogenous. With endogenous information, the critical question iswhy underwriters would allow investors to spend resources acquiringsuperior information intended solely to effect a wealth transfer. Weshow that institutional...

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...

Successful estimation of the Pareto tail index from extreme order statistics relies heavily on the procedure used to determine the number of extreme order statistics that are used for the estimation. Most of the known procedures are based on the minimization of (an estimate of) the asymptotic...

While the relationship between volatility and risk is central to much of thefinancial literature it has not been incorporated systematically into assessment ofsovereign debt sustainability. This paper attempts to fill this gap by studying how the probability distribution of sovereign debt to GDP...

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for...

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic expansions and recessions. We find that the information content of macroeconomic announcements is mostimportant when it contains bad news for bond returns in expansions and,...

The paper examines a class of random dynamical systems related to the classical von Neumann and Gale models of economic dynamics. Such systems are defined in terms of multivalued operators in spaces of random vectors, possessing certain properties of convexity and homogeneity. We establish a...

We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the...

Empirical investigations of analysts forecast surveys concerning earnings realizations find significant time varying biases usually attributed to the analysts liability to cognitive limitations. For example, a positive autocorrelation of analysts forecast errors is commonly explained by...