A new approach to the study of stock returns is proposed. A simple model is developed to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of financial resources distributed...

Since the outbreak of the financial crisis in 2007, the level and volatility of Euribor � OIS differentials have increased significantly. According to the extant literature, this variability is mainly explained by credit and liquidity risk premia. I provide evidence that part of the...

This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...

Since the outbreak of the financial crisis in 2007, the level and volatility of the Euribor–OIS spreads have increased significantly. According to the literature, this variability is mainly explained by credit and liquidity risk premia. I provide evidence that part of the variability might...

We propose a structural model of two-sided matching and a semi-parametric procedure for its estimation that allow to analyze determinants of managers’ compensation such as firm’s and manager’s quality, production technology, bargaining power and inter-temporal preferences. We use the...

We use an index of riskiness recently proposed by Aumann and Serrano ([Aumann, Robert J., 2008]) to analyze how the riskiness of diversified portfolios of corporate bonds changes across rating classes and through time and how it compares to the riskiness of other financial instruments. We find...

We propose a new approach to the study of stock returns. We develop a simple model to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of inancial resources distributed or...

We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular...