Organisation : Département Finance
-
-
-
Events
Dynamic Information Acquisition and Entry into New Markets
En savoir plusWe model dynamic information acquisition and entry by a strategic trader into a new trading opportunity. Instead of restricting the trader to make her choices before the market opens, we allow her to optimally choose when to enter in response to public news. We show that there exists a unique equilibrium in which optimal entry…
-
Events
Affordable Housing and City Welfare
En savoir plusHousing affordability has become the main policy challenge for most large citiesin the world. Key policy levers are zoning, rent control, housing vouchers, and taxcredits. We build a new dynamic stochastic spatial equilibrium model to evaluate theeffect of these policies on house prices, rents, residential construction, labor supply,output, income and wealth inequality, as well as…
-
-
Events
The Time Variation in Risk Appetite and Uncertainty
En savoir plusAbstract We develop new measures of time-varying risk aversion and economic uncertainty that can be calculated from observable financial information at high frequencies. Our approach has four important elements. First, we formulate a dynamic no-arbitrage asset pricing model that consistently prices all assets under assumptions regarding the joint dynamics among asset-specific cash ow dynamics, macroeconomic fundamentals…
-
-
Events
CANCELLED – Forest Behind the Trees
En savoir plusThis event has been cancelled and should be rescheduled in 2019.
-
Events
Household Debt Revaluation and the Real Economy: Evidence from a Foreign Currency Debt Crisis
En savoir plus -
Events
Identifying Price Infomativeness
En savoir plusAbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional…