In this paper we investigate whether the secondary market trading of syndicated loans compromises the quality of bank lending practices. We compare the performance of borrowers of traded loans following the initial trading event against the performance of borrowers of non-traded loans following...

Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical financial risk exposures from regulators and the public. We develop methods for sharing and aggregating...

This paper examines whether theoretical models of bubbles based on the notion that the price of an asset can deviate from its fundamental value are useful for understanding phenomena that are often described as bubbles, and which are distinguished by other features such as large and rapid booms...

We examine the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that investors' uncertainty about the extent of manipulation can cause excess movements in stock price relative to fluctuations in output. When faced with...

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

We present a model to study the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that limited market participation can arise endogenously in the presence of earnings management. Our model generates novel predictions on how...

Behavioral biases like disposition effect and over-confidence have received much attention as a potential driver of numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these biases and induce stronger irrational behavior among...

Information provided by the U.S. Department of Homeland Security regarding potential terrorist attacks significantly affects U.S. equity and Treasury securities markets. When the government announces heightened terror alert levels, investors' perceptions of risk increase (as measured by both...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...