This article applies quantile regression to assess the factors that influence the risk of incurring high trading costs. Using data on the equity trades of the world's second largest pension fund in the first quarter of 2002, we show that trade timing, momentum, volatility and the type of broker...

Contents: Part I. Measurement of financial-sector competition -- 1. Market power: competition among measures / Sherrill Shaffer and Laura Spierdijk -- 2. The Panzar-Rosse revenue test and market power in banking: an empirical illustration / Sherrill Shaffer and Laura Spierdijk -- 3. Adapting...

Inflation hedging is an important issue for long-term investors, even during prolonged periods of relatively low inflation. This study analyzes the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the years 1983–2012. Our analysis provides only partial...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This article proposes a new method for estimating claim liabilities. Our approach is based on the observation from contract theory that there is information asymmetry between the insurer and the policyholder about the risks incurred by the latter. We show that...</p>

This paper analyzes mean reversion in the stock markets of 18 OECD countries during the years 1900–2009. In this period it takes stock prices about 18.5 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean...

We estimate the myopic (single-period) and intertemporal hedging (long-run) demand for stocks in 20 growth-leading emerging market economies during the 1999–2012 period. We consider two types of investors: a domestic investor who invests in emerging-market assets only (with returns in local...

The Panzar-Rosse test has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...

The quiet life hypothesis posits that firms with market power incur inefficiencies rather than reap monopolistic rents. We propose a simple adjustment to Lerner indices to account for the possibility of forgone rents to test this hypothesis. For a large sample of U.S. commercial banks, we find...