Showing 31 - 40 of 619
We study product innovation and imitation in the market of corporate underwriting with a dynamic model where client switching costs and the bankers’ expertise in deal structuring characterize the life cycle of a security. While the clientele loyalty allows positive rent extraction, the superior...
Persistent link: https://www.econbiz.de/10005858093
This paper studies the impact of cash constraints on equilibrium research intensities in a patent race between a current owner of the “state of the art” technology (the incumbent) and entrants. We develop a simple model, where players need to raise funds from imperfectly informed creditors to...
Persistent link: https://www.econbiz.de/10005858096
During the last decade, a surprisingly high percentage of U.S. companies has fulfilled or beatenanalysts´ earnings per share forecasts. One of the most frequently cited reasons for this growingtendency is a change in the nature of U.S. executive compensation structure. As stock options...
Persistent link: https://www.econbiz.de/10005858100
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We...
Persistent link: https://www.econbiz.de/10005858102
We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...
Persistent link: https://www.econbiz.de/10005858107
The book-building procedure for selling initial public offerings to investors hascaptured significant market share from auction alternatives in recent years, despitesignificantly lower costs in both direct fees and initial underpricing when using theauction mechanism. This paper shows that in...
Persistent link: https://www.econbiz.de/10005858113
In this article the problem of the American option valuation in a L´vy process setting is analyzed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps inthe call case), known results concerning the currency option value as well as the exercise...
Persistent link: https://www.econbiz.de/10005858119
While the debate on how economic agents form expectations and how these expectationsshould be modelled has been key to modern macroeconomics, money illusion has been ananathema to macroeconomists until recently. The rational expectations revolution in the1970's thoroughly banned the study of...
Persistent link: https://www.econbiz.de/10005858121
In this paper, we examine formally Keynes' idea that higher order beliefs can drivea wedge between an asset price and its fundamental value based on expected future payoffs. In a dynamic noisy rational expectations model, higher order expectations add an additional term, which we call the higher...
Persistent link: https://www.econbiz.de/10005858141
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavorable years, when indemnities to be paid to the clients exceed collected premia. An investment strategy that does not take liquidity...
Persistent link: https://www.econbiz.de/10005858142