Organisation : Département Finance
-
Events
Asset Pricing In a World of Imperfect Foresight
En savoir plusWe consider a canonical model of asset pricing, where agents with quadratic preferences are allowed to re-trade a limited set of securities for a number of periods, afterwhich these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have perfect foresight: they correctly predictprices in all future…
-
Events
Private Equity and Financial Stability: Evidence from Failed Bank Resolution in the Crisis
En savoir plus -
-
Events
Bank Competition, Bank Runs and Opacity
En savoir plusAbstractWe examine the competition among and the opacity of bankssubject to rollover risk. Banks imperfectly compete for uninsureddeposits and choose the opacity of their risky investment. In astatic setup, higher bank competition increases the deposit rate,which increases withdrawal incentives due to strategiccomplementarity and thus raises bank fragility. In a dynamic setupwith entry, a theory of…
-
Events
Factor Models for Conditional Asset Pricing
En savoir plusAbstract:This paper develops a methodology for inference on no-arbitrage conditional asset pricing models linear in latent risk factors, valid when the number of assets diverges but the time series dimension is fixed, possibly very small. We show that the no-arbitrage condition permits to identify the risk premia as the expectation of the latent risk factors.…
-
Events
A Theory of Debt Accumulation and Deficit Cycles
En savoir plusAbstractThis paper introduces a tractable model of sovereign debt in which governments face intertemporal tradeoffs between (i) preferring more primary deficits to less and (ii) avoiding costly defaults. Governments run deficits when debt and, then, the marginal costs of increasing debt are low. After an extended period of debt accumulation, the probability of default increases,…
-
-
-
-
Events
Pay for Future Returns
En savoir plusIs managerial compensation sensitive to future performance or only to realized returns? We show that salary raises of U.S. American CEOs predict positive stock returns in the year after. The wealth e ffect of an average raise is $1.6 million, implying a wealth increase of $0.28 million per 1% stock price increase in the next…