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Persistent link: https://www.econbiz.de/10014380941
We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk...
Persistent link: https://www.econbiz.de/10012954920
Persistent link: https://www.econbiz.de/10011684581
Complex assets appear to have high average returns and high Sharpe ratios. However,despite these attractive attributes, participation in complex assets markets is very limited.We argue that this is because investing in complex assets requires a model, and investors'individual models expose them...
Persistent link: https://www.econbiz.de/10012935744
The deposit business differs at large versus small banks. We provide a parsimonious model and extensive empirical evidence supporting the idea that much of the variation in deposit-pricing behavior between large and small banks reflects differences in "preferences and technologies." Large banks...
Persistent link: https://www.econbiz.de/10014436996
Capital reallocation is procyclical, despite measured productive reallocative opportunities being acyclical, or even countercyclical. This paper reviews the advances in the literature studying the causes and consequences of capital reallocation (or lack thereof). We provide a comprehensive set...
Persistent link: https://www.econbiz.de/10012480736
We propose a model that starts from the premise that intangible capital needs to be stored on some medium --- software, patents, essential employees --- before it can be utilized in production. Storage implies that intangible capital may be partially non-rival within the firm, leading to scale...
Persistent link: https://www.econbiz.de/10013362030
We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market...
Persistent link: https://www.econbiz.de/10012458250
Building on the Merton (1974) and Leland (1994) structural models of credit risk, we develop a simple, transparent, and robust method for measuring the financial soundness of individual firms using data on their equity volatility. We use this method to retrace quantitatively the history of...
Persistent link: https://www.econbiz.de/10012459459
We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...
Persistent link: https://www.econbiz.de/10012459749