During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure...

This paper studies the question of the economic scale of financial institutions. We show that banks actively smooth book equity by adjusting payouts to achieve a desired trajectory of book equity. The countercyclical nature of net payouts of financial institutions leads to procyclical book...

Option prices embed predictive content for the outcomes of pending mergers and acquisitions. This is particularly important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that exploits the joint information in target stock and option...

Do asset managers reach for yield because of competitive pressures in a low-rate environment? I propose a tournament model of money market funds (MMFs) to study this issue. When funds care about relative performance, an increase in the risk premium leads funds with lower default costs to...

Las firmas poseen un valor en función de su capacidad de generar flujos de fondos futuros. El concepto de valor llave refleja la diferencia entre el valor de mercado de una colección de activos y su valor de libros, siendo este último asociado a su valor de incorporación neto del uso de los...

En términos financieros una firma arbitra flujos de fondos en su origen y aplicación, con el objetivo que la renta de la aplicación le permita repagar en exceso los costos financieros que esperan obtener en contraprestación los proveedores de capital. Los impuestos en Argentina afectan a la...

Los aspectos de análisis financiero juegan un papel relevante tanto en la gestión eficiente de la firma como en la evaluación de proyectos de inversión, más aún en un contexto inflacionario y de mercados de crédito restringidos. Ex ante, los proyectos de inversión se evalúan en la...

The discounting of future felicity flows transposes to the intertemporal optimization context the assumption of interest-bearing wealth or savings. The validity of the hypothesis has been challenged by several empirical (ir)regularities and by the theoretical implications for human decision...

The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to...

This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic factors on stock market performance in Ghana. We show that the popular parametric specification in the existing literature suffers from functional misspecification. The evidence...