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Risk Taking and Optimal Contracts for Money Managers

Palomino, Frédéric; Prat, Andrea - C.E.P.R. Discussion Papers - 1999

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …

Persistent link: https://www.econbiz.de/10005504241

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

Persistent link: https://www.econbiz.de/10005067673

Are Stocks Really Less Volatile in the Long Run?

Pástor, Luboš; Stambaugh, Robert F. - C.E.P.R. Discussion Papers - 2009

Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that...

Persistent link: https://www.econbiz.de/10005662327

Capital Flows, Push versus Pull Factors and the Global Financial Crisis

Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

Persistent link: https://www.econbiz.de/10009207523

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

Persistent link: https://www.econbiz.de/10009144737

Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation

Philippon, Thomas - C.E.P.R. Discussion Papers - 2014

A quantitative investigation of financial intermediation in the U.S. over the past 130 years yields the following results : (i) the finance industry’s share of GDP is high in the 1920s, low in the 1950s and 1960s, and high again in the 1990s and 2000s; (ii) most of these variations can be...

Persistent link: https://www.econbiz.de/10011083657

Predicting Winners in Civil Wars

Haber, Stephen H; Mitchener, Kris; Oosterlinck, Kim; … - C.E.P.R. Discussion Papers - 2014

We develop a method to estimate which side will win a civil war. The key insight we deliver is that, for typical sovereign debt contracts, the probability of debt repayment will equal the probability of victory in a civil war. We test our predictor for standard outcomes in civil wars, including...

Persistent link: https://www.econbiz.de/10011083912

Capital Controls and Recovery from the Financial Crisis of the 1930s

Mitchener, Kris; Wandschneider, Kirsten - C.E.P.R. Discussion Papers - 2014

We examine the first widespread use of capital controls in response to a global or regional financial crisis. In particular, we analyze whether capital controls mitigated capital flight in the 1930s and assess their causal effects on macroeconomic recovery from the Great Depression. We find...

Persistent link: https://www.econbiz.de/10011084261

The Great Leveraging

Taylor, Alan M. - C.E.P.R. Discussion Papers - 2012

What can history can tell us about the relationship between the banking system, financial crises, the global economy, and economic performance? Evidence shows that in the advanced economies we live in a world that is more financialized than ever before as measured by importance of credit in the...

Persistent link: https://www.econbiz.de/10011084609

Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907

Fohlin, Caroline; Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2015

Using a new daily dataset for all stocks traded on the New York Stock Exchange, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the run on the market increased...

Persistent link: https://www.econbiz.de/10011207393