[PDF] Top 20 Essays in information and asset pricing

... how asset prices form and evolve when agents participating in financial markets are asymmetrically informed has been a concern to financial economists for a long ...the information that is ... See full document

... conditioning information reduces the pricing errors by allowing the prices of risks to vary with the business ...freedom in the minimization problem and is better able to fit the ...specified ... See full document

... statistics, and algebra, is used frequently in finance to illustrate different ...them). In this research, a network’s incidence function is defined as the cross-correlation of assets inside a stock ... See full document

... parts. In the first, we place the incentive problem facing banks in a theoretical framework, both when selling loans and also when monitoring duties are shared amongst banks We then take up an ... See full document

... 1987 and 2011 in the Dealscan dataset from the Loan Pricing ...this information to borrower balance sheet and stock market performance characteristics from the Com- pustat and ... See full document

... used in the related literature to estimate this kind of models is the Kalman filter [for example: Schwartz (1997), Schwartz and Smith (2000) and Cortazar and Naranjo ...variables and ... See full document

... consumption and arbitrarily set production by fixing γ = ...moment in the model matches qualitatively the OLS slope coefficient estimated from the data, though it does not clearly get into data 95% bands ... See full document

... children in an immigrant’s household as control, but did not take any particular characteristics or circumstances of these children into ...2003; and Djajic, ...differences in children’s ... See full document

... Advances in Information Security and its Application; Communications in Computer and Information Science; 3rd International Conference on Information Security and ... See full document

... 4 In doing so, I follow the tradition of the literature on optimal fiscal policy built upon Lucas and Stokey ...variation in the time preference of ...rate and, at moderate inflation rates, ... See full document

... Asset Backed Securities Asociación de Intermediarios de Activos Financieros Arbitrage Pricing Theory Bono Americano Bono Cupón Cero Buonis del Tesoro poliennali Bonos por Reducción de No[r] ... See full document

... Gabaix and Landier (2008) present a model of superstars in which the most talented managers are matched to the largest firms and small differ- ences in CEO skills translate into large ... See full document

... of information sharing among basic informed agents does not significantly change when quasi-insider agents are introduced in the market, as can be seen in the comparison between T1 - agents provided ... See full document

... sport in Europe, and the UEFA Champions League is the major continental competition for European soccer ...divided in 8 groups of 4 teams each and offers to these teams the opportunity to be ... See full document

... intuitive. In general, since the banks are protected by limited liability in case the gamble fails, a high insurance induces them to ...gamble. In this case, as the banks do not have to pay back ... See full document

... velocities and with jumps occurring when the velocity ...are in the certain correspondence with the velocity directions of the underlying random motion with respect to the interest rate, the model is free ... See full document

... instability and higher income risk. Only suciently poor agents are in favor of extreme policy ...voters in favor of extreme ...redistribution and it also aects the eect of changes in ... See full document

... power and bank risk taking when banks compete in a monopolistically competitive deposit market, and then exploit such association to study the effects of bank mergers and deposit insurance on ... See full document

... increase in the demand for gas has resulted in various bottlenecks in the supply of natural ...gas in the United States now reflects the quasi rents to these ...gas in the present, ... See full document

... follows. In Chapter 1 we introduce the general definition and basic properties of the telegraph process on the real line performed by a stochastic motion at finite speed driven by an inhomogeneous Poisson ... See full document