This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to...

In recent decades, economic growth in developing economies and the growth of the middle class lead to a surge in energy consumption and greenhouse gas emissions. Within the framework of the United Nations (UN) sustainable development goals established in 2015, the solution to poverty and...

In this paper we study, both theoretically and empirically, the relationship between barter and the indebtedness of Russian firms. We build a model in which a firm uses barter to protect its working capital against outside creditors even when barter involves high transaction costs. The main...

English Abstract. The paper is addressed to one of the most famous man of Nizhny Novgorod at the end of XX and the beginning of XXI century, Dmitry Vasilevich Sirotkin, the last pre-revolutionary mayor of this city. The famous shipmanufacturer at Volga, later emigrant in Belgrade, he linked with...

Hedge funds provide an opportunity for investing with few government regulations and high potential returns. Since 1980 this has lead to the dramatic, 25% annual increase in the number of hedge funds, and with nearly $700 billion managed by hedge funds in 2003. However, high risks associated...

We apply machine-learning techniques to construct nonlinear nonparametric forecasting models of consumer credit risk. By combining customer transactions and credit bureau data from January 2005 to April 2009 for a sample of a major commercial bank’s customers, we are able to construct...

Purpose – The purpose of this paper is to analyse regulatory reform in the wake of the financial crisis of 2007-2008.Design/methodology/approach – The paper proposes a framework for regulatory reform that begins with the observation that financial manias and panics cannot be legislated away,...

Market prices are well known to efficiently collect and aggregate diverse information regarding the value of commodities and assets. The role of markets has been particularly suitable to pricing financial securities. This article provides an alternative application of the pricing mechanism to...

The quantitative aspirations of economists and financial analysts have for many years beenbased on the belief that it should be possible to build models of economic systems—andfinancial markets in particular—that are as predictive as those in physics. While this perspective has led to a...