This paper is about identification and endogeneity in models that estimate the effects of instrument choice on performance (or wealth or welfare) in situations where the instruments are chosen to optimize performance. Such models occur frequently in corporate finance, analysis of happiness and...

We develop a set of theoretical models to show how differences in real estate developers' optimism about market demand affects construction and sales decisions. The model is a variation of asymmetric Cournot duopoly where developers choose levels of output conditioned on their rivals' output and...

This study modifies the cross-sectional absolute deviation of returns (CSAD) of Chang, Cheng and Khorana's (2000) by adding trading volume variable and find significant evidence of herding in the Hong Kong stock market using daily data. Specifically, higher trading volume induces more herding....

The recent financial turmoil has triggered a credit crunch whereby illiquid, but not necessarily insolvent, banks were not able to borrow money and were forced to be liquidated, bought or bailed out. A response to this problem has been contingent convertible bonds (or CoCo bonds), which are...

Purpose– Motivated by the unique characteristics and profit generating nature of real estate investments, this paper aims to study if investors herd differently in corresponding securities versus other non‐real estate securities.Design/methodology/approach– The authors choose the Hong Kong...

We build a market equilibrium model of loan securitization as an alternative explanation of the cause of the recent Financial Crisis where there was initially deteriorating loan quality but coupled with aggressive securitization, and later investors “flight to quality” and market...

This paper models incentives for risk-taking by managers of banks or securitization deals. Of particular interest are risk-retention rules for producers of structured securitization deals, which have been mandated by the Dodd-Frank Act; the model can also be applied to bank managers. We show how...