We investigate whether bank performance during the credit crisis of 2008 is related to CEOincentives and share ownership before the crisis and whether CEOs reduced their equity stakes intheir banks in anticipation of the crisis. There is no evidence that banks with CEOs whoseincentives were...

Large shareholders may play an important role for firm performance and policies, butidentifying this empirically presents a challenge due to the endogeneity of ownershipstructures. We develop and test an empirical framework which allows us to separateselection from treatment effects of large...

Some investment advisors offer multiple versions of a fund with the same manager and highlycorrelated returns. But these “twin” funds are separate portfolios for different investors withdiffering abilities to select and monitor managers. Using a matched sample of retail andinstitutional twin...

We investigate whether a bank’s performance during the 1998 crisis, which was viewed at the timeas the most dramatic crisis since the Great Depression, predicts its performance during the recentfinancial crisis. One hypothesis is that a bank that has an especially poor experience in a...

We study changes in the design of CEO contracts when firms transition from being public with dispersedshareholders to having strong principals in the form of private equity sponsors. These principals redesignsome, but far from all, contract characteristics. There is no evidence that they reduce...

Our paper addresses the correction of the aggregation bias in linear rational expectations modelswhen there is some unobserved micro-parameter heterogeneity and only macro data are available.Starting from Lewbel (1994), we propose two new consistent estimators, which rely on aexible parametric...

It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....