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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno; Pelizzon, Loriana; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 2015
managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash …
Persistent link: https://www.econbiz.de/10011165663
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Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …
Persistent link: https://www.econbiz.de/10005662411
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EMU and European Stock Market Integration
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …
Persistent link: https://www.econbiz.de/10005792218
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Optimal Financial Market Integration and Security Design
Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003
We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …
Persistent link: https://www.econbiz.de/10005792424
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Equilibrium Cross-Section of Returns
Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002
intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …
Persistent link: https://www.econbiz.de/10005123908
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Entrepreneurial Incentives in Stock Market Economies
Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2002
A Capital Asset Pricing Model of a stock market economy is examined under different corporate governance structures in which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned with those of shareholders and investors because of...
Persistent link: https://www.econbiz.de/10005124325
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How Often Should you Open the Door? Optimal Monitoring to Screen Heterogeneous Agents
Ichino, Andrea; Muehlheusser, Gerd - C.E.P.R. Discussion Papers - 2004
This Paper shows that over monitoring a partner in the initial phase of a relationship may not be optimal if the goal is to determine loyalty and if the cost of ending the relationship increases over time. This intuition is simple: by monitoring too much we lose the opportunity to learn how the...
Persistent link: https://www.econbiz.de/10005504367
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Punishment Without Crime? Prison as a Worker-Discipline Device
Miller, Marcus; Smith, Jennifer C - C.E.P.R. Discussion Papers - 2007
An ‘efficiency wage’ model developed for Western economies is reinterpreted for Soviet Russia assuming that it was the Gulag not unemployment that acted as a ‘worker-discipline device’. Archival data now available allows for a basic account of the dynamics of the Gulag to be estimated....
Persistent link: https://www.econbiz.de/10005504586
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Adversarial and Inquisitorial Procedures in Arbitration
Shin, Hyun Song - C.E.P.R. Discussion Papers - 1997
Should arbitrators adjudicate on the basis of their own investigations, or invite the interested parties to make their cases and decide on the basis of the information so gathered? I call the former the inquisitorial procedure in arbitration and the latter the adversarial procedure. I conduct a...
Persistent link: https://www.econbiz.de/10005504638