We explain why underpricing in IPOs can be large in magnitude and clustered, using a signalling model where firms have private information about their qualities (high or low). A novel feature is that a firm, if perceived by the market as high quality, benefits from the industry's publicity which...

Bank loans are more available and cheaper for new and small businesses in the U.S. in concentrated banking areas than in competitive banking areas. To explain this anomaly, we analyze banks' decisions to screen projects and their subsequent competition in loan provisions. It is shown that, by...

Bank loans are more available and cheaper for new and small businesses in the U.S. in areas with highly concentrated banks than in areas with highly competitive banks. To explain this fact, we analyze banks' decisions to screen the project and their subsequent competition in loan provisions. It...

When it is costly for agents to find a match, integrating small markets into a larger one increases the matching difficulty. We examine such dependence of the number of matches on the market size by explicitely modelling firms' attempt to attract workers by posting wages. It is shown that...

We analyse the coordination problem in the labour market by endogenizing the matching function and the wage share. Each firm posts a wage to maximize the expected profit, anticipating how the wage affects the expected number of applicants. In equilibrium workers apply to firms with mixed...

The log-normal Garman and Kohlhagen (1983) currency option model usually creates pricing biases when matched with the market prices. The observed price bias pattern is generally consistent with the mixed jump-diffusion distribution for exchange rates. Various studies have provided evidence of...

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market portfolio with return predictability, endogenous stochastic volatility and interest rates. Equilibrium conditions imply that the mean-reverting of the rate of dividend growth...

This paper integrates labor market search into an intertemporal equilibrium model to analyze the dynamic macroeconomic effects of a tariff. The model captures the intuitive argument in the earlier literature that a permanent increase in the tariff improves the country's terms of trade, which...

This paper introduces search unemployment into an intertemporal maximization model with capital accumulation. It characterizes the decentralized search equilibrium, examines the dynamic effects of factor income taxation and calculates the welfare cost of the taxation. Four tax policies are...