This paper takes a close look at the quot;behavioural financequot; explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment...

This paper provides a selective review of the theoretical literature on delegated portfolio management as a principal-agent relationship. The main focus of the paper is to review the analytical issues raised by the peculiar nature of the delegated portfolio management relationship within the...

This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to understanding the functioning of the euro area money market, The main result of the analysis is that liquidity has normally been provided by the ECB in a neutral and smooth manner, but...

This paper deals with the optimal allocation of risks for an agent whose preferences may be represented with prospect theory (Tversky and Kahneman, 1992). A simple setting is considered with an identically distributed and symmetric sources of risk. Under expected utility, equal diversification...

We study the role of institutional characteristics of mortgage markets in affecting the strength and timing of the effects of monetary policy shocks on house prices and consumption in a sample of OECD countries. We document three facts: (1) there is significant divergence in the structure of...

This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...

There is a broad consensus that the quality of the political system and its institutions are fundamental for a country's prosperity. The paper focuses on Italy's troubled politics over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy's financial...

We construct an empirical model of corporate investment which allows for the various effects of uncertainty and credit market imperfections described in the theoretical literature. The model is estimated using cross-sectional data from the South African stock exchange. Evidence is found for some...

This paper analyses the evolution of demand for bank deposits in Cocirc;te d`Ivoire over a period including the CFA Franc devaluation in 1994. Once we have allowed for smooth transitions in the deterministic component of the demand function, the estimated relationship between deposits and income...