We analyze the classical asset pricing model assuming non fully rational agents. Agents forecast future prices cum dividend through an adaptive learning rule. This assumption provides an explanation of some anomalies encountered in the empirical analysis of asset prices under full rationality:...

We analyze the optimal capital structure of a bank issuing countercyclical contingent capital, i.e., notes to be converted into common shares in poor macroeconomic conditions. A comparison of the main effects produced by the countercyclical asset with the simple equity-debt capital structure,...

We study a class of forward looking economic models with heterogeneous agents in a bounded rationality setting. The agents employ the same recursive learning rule to update beliefs but are characterized by different memory parameters. The peculiarity of the learning mechanism is that the...

We develop the classical asset pricing analysis assuming that the representative agent is characterized by endogenous aspirations. The agent's aspirations at time t are given by a linear combination of the standard of living (habit) at time t (the “forward” part) and of the conditional...

In general, a comparison Lemma for the solutions of Forward-Backward Stochastic Differential Equations (FBSDE) does not hold. Here we prove one for the backward component at the initial time, relying on certain monotonicity conditions on the coefficients of both components. Such a result is...

We consider general stochastic volatility models driven by continuous Brownian semimartingales, we show that the volatility of the variance and the leverage component (covariance between the asset price and the variance) can be reconstructed pathwise by exploiting Fourier analysis from the...

We evaluate the determinants of corporate governance of companies listed at the Italian Stock Exchange. We consider ownership structure, balance sheet data, company performance and some qualitative features as determinants. We evaluate the convergence of Italian companies' governance towards a...

We provide a discussion of bounded rationality learning behind traditional learning mechanisms, i.e., Recursive Ordinary Least Squares and Bayesian Learning. These mechanisms lack for many reasons a behavioral interpretation and, following the Simon criticism, they appear to be 'substantively...