For an economy with dysfunctional intertemporal financial markets the financial sector is modelled as a competitive banking sector offering deposit contracts. In a setting related to Allen and Gale (1998) properties of the optimal liquidity provision are analyzed for illiquid assets with...

In this paper we present a model of fire sales and market breakdowns, and of the financial amplification mechanism that follows from them. The distinctive feature of our model is the central role played by endogenous uncertainty. As conditions deteriorate, more “banks” within the financial...

The event study is an important methodology in management research that enables the assessment of value attributable to firm initiatives based on the responses of capital markets to news about firm actions. While capital markets are efficient in processing information about firms, their ability...

The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly...

We use two administrative data sets, from a large internet broker and from a major commercial bank, together with regional data to ask three questions: (i) whether financial advisors tend to be matched with poorer, uninformed investors or with richer, experienced but presumably busy investors;...

We use two data sets, one from a large brokerage and another from a major bank, to ask: (i) whether financial advisors are more likely to be matched with poorer, uninformed investors or with richer and experienced investors; (ii) how advised accounts actually perform relative to self-managed...

Banerjee, Kaniel, and Kremer (2009) claim that specific models of disagreement (their Examples 3 and 4) illustrate positive return autocorrelation (price drift). Based on a formal definition of equilibrium with heterogeneous beliefs, we prove that these examples do not actually generate price...

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...

We present an intertemporal consumption model of consumer investment in financial literacy. Consumers benefit from such investment because their stock of financial literacy allows them to increase the returns on their wealth. Since literacy depreciates over time and has a cost in terms of...

We study the relation between cognitive abilities and stockholding using the recent Survey of Health, Ageing and Retirement in Europe (SHARE), which has detailed data on wealth and portfolio composition of individuals aged 50+ in 11 European countries and three indicators of cognitive abilities:...