Showing 61 - 70 of 1,260
In this paper we provide a characterization of the welfare properties of rational expectations equilibria of economies in which, prior to trading, agents have some information over the realization of uncertainity. We study a model with asymmetrically informed agents, treating symmetric...
Persistent link: https://www.econbiz.de/10009440278
In this paper we explain the apparent diversification discount of conglomerates without assuming inefficent-cross subsidisation through internal capital markets. Instead we assume that an internal capital market efficiently redistributes scare resources across a conglomerates divisions between...
Persistent link: https://www.econbiz.de/10009440280
The paper sets out to tackle the following puzzle when insiders of a firm have more information than outside investors. The insiders desire to sell overpriced securities creates an Adverse Selection problem leading to two contradictory results. On the one hand, it leads to Myers & Majluf...
Persistent link: https://www.econbiz.de/10009440281
We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by outside shareholders but run by managers has the prospect of a process innovation which arrives stochastically. Adopting the innovation requires...
Persistent link: https://www.econbiz.de/10009440282
Motivated by the success of internal habit formation preferences in explaining asset pricing puzzles, we introduce these preferences in a life-cycle model of consumption and portfolio choice with liquidity constraints, undiversifiable labor income risk and stock-market participation costs. In...
Persistent link: https://www.econbiz.de/10009440309
Commodity trade and financial asset trade are both integral parts of globalization, yet little has been studied on their interplay. In a framework that integrates these two paradigms of trade, a new force driving international capital flows emerges: capital tends to flow towards countries that...
Persistent link: https://www.econbiz.de/10009440319
Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine...
Persistent link: https://www.econbiz.de/10009440331
Interactions between economic development and financial development are studied by looking at the roles of financial institutions in selecting R&D projects (including for both imitation and innovation). Financial development is regarded as the evolution of the financing regimes. The...
Persistent link: https://www.econbiz.de/10009440345
Does capital markets uncertainty affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United States, and that during the Great Moderation, aggregate stock market volatility explains, alone, up to 55% of real growth. In out- of-sample...
Persistent link: https://www.econbiz.de/10009440349
The classical doctrine of the Lender of Last Resort, elaborated by Thornton (1802) and Bagehot (1873), asserts that the Central Bank should lend to “illiquid but solvent” banks under certain conditions. Several authors have argued that this view is now obsolete: when interbank markets are...
Persistent link: https://www.econbiz.de/10009440435