We track 38,000 money market trades from execution to delivery and return to provide a first empirical analysis of settlement delays in financial markets. In line with predictions from recent models showing that financial claims are settled strategically, we document a tendency by lenders to...

This paper investigates the relationship between market overconfidence and occurrence of stock-price bubbles. Sixty participants traded stocks in ten experimental asset markets. Markets were constructed on the basis of subjects' overconfidence, measured in pre-experimental sessions. The most...

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

We examine whether financial capability has impacts on psychological health independent of income and financial resources more generally using a nationally representative survey. British Household Panel Survey data are used to construct a measure of financial capability, which we relate to...

This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary...

This dissertation consists of three self-contained chapters on monetary policy and fiscal policy. All three papers concern the effects of monetary and fiscal policy in the presence of financial frictions. In the first paper this friction is a zero lower bound on the nominal interest rate, which...

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid.Moreover, recent experience has shown that distress and lack of active trading can jump “around”between seemingly unconnected parts of the financial system contributing to transforming...

Applying the framework of conditional event studies shows that equity issues reveal managers‟private information about stock mispricing, which investors only partially discount into stockprices at the seasoned equity offering (SEO) announcement date. Negative abnormal returnsoccur as prices...

Der private Investor mit Fokus Immobiliendirektinvestitionen verfügt über relativ konstante Cash Flows aus dem Immobilienbestand, so wie allenfalls unregelmäßig anfallenden Erträgen aus Verkäufen, beziehungsweise Entwicklungsgewinnen. Den Erträgen stehen antizipierbare Kosten gegenüber....