In this paper, we compare the performance of four single-period portfolio selection models: Mean-Variance model (MV), Mean Absolute Deviation model (MAD), Conditional Value-at-Risk model (CVaR) and Minimax model (MM). Real features such as transaction cost and cardinality constraint are...

We examine whether stress tests distort banks' risk‐taking decisions. We study a model in which a regulator may choose to rescue banks in the event of concurrent bank failures. Our analysis reveals a novel coordination role of stress tests. Disclosure of stress‐test results informs banks of...

We investigate how provisioning models affect bank regulation. We study an accuracy vs. timeliness trade-off between an incurred loss model (IL) and a current expected credit loss model (CECL). Relative to IL, CECL improves efficiency by enabling timely intervention to curb inefficient ex post...

We study asset recognition principles in terms of the level of uncertainty in the future benefits to such assets. From a real effects perspective, we establish that there is a threshold of uncertainty beyond which it is better to leave assets unmeasured and comingled with operating profits. We...

We examine whether stress tests distort banks' risk-taking decisions. We study a model in which a regulator may choose to rescue banks in the event of concurrent bank failures. Our analysis reveals a novel coordination role of stress tests. Disclosure of stress-test results informs banks of the...

This paper studies the effect of competition on opacity in the financial system. In my model, two financial institutions competing for investors simultaneously make a public disclosure decision when both are exposed to rollover risk. I find that in the face of rollover risk, competition between...

We study firms' investment in internal control to reduce accounting manipulation. We first show the peer pressure for manipulation: one manager manipulates more if he suspects reports of peer firms are more likely to be manipulated. As a result, one firm's investment in internal control has a...