We review the theory of leverage developed in collateral equilibrium models with incomplete markets. We explain how leverage tends to boost asset prices, and create bubbles. We show how leverage can be endogenously determined in equilibrium, and how it depends on volatility. We describe the...

Our study considers whether ethical investments are also good investments. In contrast with previous studies, we utilize long-run event study methodology to examine abnormal returns associated with firms being included in, and dropped from, the MSCI KLD400 Social Index (MSCI KLD400). We find...

A minőségi borokba történő befektetés mint valós befektetési alternatíva az utóbbi évtizedekben virágkorát éli, mára a borok több indexét is jegyzik a Bloomberg és más adatszolgáltatók platformjain. A Liv-ex (London International Vintners Exchange) a globális minőség...

Tanulmányunk egyrészt arra a kérdésre keresi a választ, vajon helytálló-e a tőkepiaci árazási modell (CAPM) azon feltevése, hogy a piaci kockázat mérőszáma, a béta és a várható hozam között lineáris kapcsolat áll fenn. Másrészt nem tudjuk, hogy megalapozott-e a...

This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...

Purpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In...

The marginal cost of aggregate fluctuations has a term structure that is a simple transformation of the term structures of equity and interest rates. I extract evidence from index option markets to infer a downward-sloping, volatile and procyclical term structure of welfare costs. On average,...

Generally-accepted appraisal practice assumes the Hypothetical Buyer is not well-diversified because the typical real-world buyer does not possess sufficient wealth to own a well-diversified portfolio with assets each in similar value to the subject closely-held interest under appraisal (e.g.,...

We develop a new method for calculating reliable discounts for lack of marketability (DLOMs) for minority family limited partnership (FLP) interests, which we term the Managed Asset Portfolio Market (MAPM) Analysis. DLOMs typically are the largest valuation adjustment in, and often the most...

We examine the dynamic relationship between self-tender returns, volatility and order imbalances. Since market makers care more about volatilities than inventory risk, they tend to lower the bid-ask spread to mitigate volatility. This result is different from the previous argument whereby market...