Showing 1 - 10 of 1,148
This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing on a model scalar game with linear dynamics in...
Persistent link: https://www.econbiz.de/10012981483
This paper estimates an empirical model of two-sided many-to-many matching game in which private equity investors acquire publicly traded companies in leveraged buyouts, and examines the value creation of these transactions. This method calculates match-specific values by exploiting the...
Persistent link: https://www.econbiz.de/10012905045
The purpose of this study is to describe the present taxonomy of money, summarize potential CBDC regimes that central banks worldwide could adopt, and explore the implications of the introduction of each of these central bank digital currency (CDBC) regimes for money laundering through the lens...
Persistent link: https://www.econbiz.de/10013238331
Crowdfunding platforms are providing funds to an increasing number of projects, among which many have a strong social/community impact. Under a all-or-nothing program, the success of the investment depends on the ability of a crowd of potential investors to put their funds into the project...
Persistent link: https://www.econbiz.de/10012926422
We analyse the combined effects of bargaining power, managerial ability/effort, and risk-taking strategies on the choice of hedge fund (HF) incentive contracts, and hedge fund performance. In our model, the HF manager and outside investors first negotiate over the type of contract (asymmetric or...
Persistent link: https://www.econbiz.de/10013128473
We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The...
Persistent link: https://www.econbiz.de/10012901619
The paper investigates the strategic behavior of hedge fund families. It focuses on decisions to start and liquidate family-member funds. Hedge fund families tend to liquidate funds that underperform compared to other member funds, and to replace them by new ones. By choosing a launch time after...
Persistent link: https://www.econbiz.de/10013135997
We introduce a novel methodology to identify copycat behavior in mutual funds. We find that imitation is pervasive in the mutual fund industry. While most copycats underperform, a small number are 'smart imitators'. We find that funds at the high and low ends of the Copycat Score range...
Persistent link: https://www.econbiz.de/10012853549
In the aftermath of the global financial crisis, US regulators have required banks to disclose more details regarding the valuation techniques of their traded assets and liabilities. Using data from 2013 and 2014 annual reports for nine primary dealers, we examine the determinants of the choice...
Persistent link: https://www.econbiz.de/10012936340
Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only...
Persistent link: https://www.econbiz.de/10012848838