An actuarial theoretical setting is presented to characterise the money demand and the monetary equilibrium. Two main hypotheses are stated that contradict assumptions normally sustained in empirical investigations of the money demand: national output is assumed to be a random variable, and...

The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...

We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk aversion, and reduces the allocation to...

This paper investigates the importance of status in household consumption and financial decisions using household data from the Survey of Consumer Finances (SCF) linked to neighborhood data in the American Community Survey (ACS). We find evidence that a household's income rank — its position...

Purpose:The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Methodology/approach: We use a Monte Carlo simulation framework to simulate a real estate assets cash-flows in which lease...

I develop a model that enables the disaggregation of exit rates into ability and risk components. Consequent on this disaggregation, I find decreasing returns to scale within the cross-section of the VC market is induced by strictly concave relations that obtain between the risk component of...

In this paper, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in banks' asset holdings. We draw on a growing strand of theoretical literature that studies the systemic externalities of banks' balance sheet asset...

The paper is aimed at examining the impact of introduction of currency derivatives on exchange rate volatility of Pound. The data used in this paper comprises of daily exchange rate of Pound in terms of Indian rupees for the sample period April 2006 to December 2013. To explore the time series...

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcements and annual meetings of shareholders, even after controlling for the realized stock return volatility shortly before these information...

The question of whether liquidity is priced is a subject for a huge volume of papers in the asset pricing literature. The common results are a negative relationship between these two variables as investors demand for higher returns to compensate for higher stock volatility. This paper...