Over the last 10 years or so a mathematical theory of bubbles has emerged, following a martingale theory based on an absence of arbitrage, as opposed to an equilibrium theory. This paper attempts to explain the major developments of the theory as it currently stands, including equities, options,...

In this paper I study the impact of competition in financial markets on incentive to reveal information. In a sample of mutual funds, I find that discretionary portfolio disclosure and advertising related expenses decrease with competition. This is interesting, as one would ordinarily expect...

Pension assets have seen rapid growth world-wide over the past decades, although they suffered large losses during the global financial crisis of 2007–2008. This paper seeks to identify the impact of Asian pension funds on selected key transmission mechanisms from pension reform to financial...

This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...

Seminal papers on the size of the firm emphasise the benefits of in-sourcing over outsourcing services from the market. This provides a rationale for the development of large firms, especially in circumstances of market risk and uncertainty as to the price and quantity of available services....

While the Dodd Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...

This paper reviews the policies for foreign portfolio investments and empirically assess the impact FIIs investments on Indian equity market. Particularly, the study tries to examine the effects of FIIs investment on equity return, stock market liquidity and volatility. Using monthly data and...

Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...

While the Dodd-Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...

This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious...