This paper analyses predictions of a simple model of currency crises in which the peg will beabandoned when the currency overvaluation hits a certain threshold, unknown to the agents. Due tolearning about the threshold, some features usually observed in the data and identified with modelswith...

This paper analyzes the investment timing of firms facing two dimensions of financingconstraints: Liquidity constraints and capital market frictions inducing financing costs. We showthat liquidity constraints are not sufficient to explain voluntary investment delay. However, whenadditionally...

Using detailed holdings of exchange-traded options, we examine how mutual funds use optionsand how options affect portfolio performance and risk. Options users underperform nonusers bytwo to three percent per year. The underperformance is especially pronounced for funds that areheavy users of...

We consider a continuous time multivariate financial market with proportionaltransaction costs and study the problem of finding the minimal initialcapital needed to hedge, without risk, European-type contingent claims. Themodel is similar to the one considered in Bouchard and Touzi (2000)...

Was seit 1973 als Durchbruch in der Optionspreistheorie gilt und im Jahre1997 mit dem Wirtschafts-Nobelpreis ausgezeichnet wurde, hat der sterreicherVinzenz Bronzin 65 Jahre frher – im Jahr 1908 – umfassender, einfacherverstndlich und notabene: auf deutsch in einer kurzen Monografie...

We study probabilities which determine the payo of barrier options:the probability that an asset hits a barrier before maturity, theprobability that the asset is below the barrier at maturity, and theratio of both probabilities. The correct estimation of these probabilitieshas crucial eects on...

In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...