We use the tools of mechanism design, combined with the theory of risk measures, to analyze how a cash constrained owner of an asset with known stochastic returns raises capital from a population of investors that differ in their risk aversion and budget constraints. The issuer partitions the...

Accruals are regarded as investments in working capital and are an integral component in the growth process of firms. By assuming asymmetry of information among investors when predicting the returns on such investments, investors are exposed to adverse selection problems. Consequently, in market...

This article explores price impact in the context of securities fraud litigation, focusing on the probability of observing directionally-consistent abnormal returns (those that go in the direction of a plaintiff's theory of liability) under the hypothesis of price impact versus no price impact....

Recent declarations and investigations by the Securities and Exchange Commission suggest that blockchain-based assets are potentially subject to regulation as securities under the Securities Act. This Article presents a systematic analysis of the risks and embedded costs of investments in...

Directional bets by short sellers typically forecast future returns, but direct evidence of how other investors acquire information from these bets is nearly nonexistent. Using granular data on the entire Brazilian OTC security lending market and all trades in the Brazilian stock exchange, we...

A liquidity-constrained asset owner designs an asset-backed security to raise funds from an informed liquidity supplier. Information insensitive securities reduce the liquidity supplier's informational rents. The issuer optimally screens the liquidity supplier's private information by offering a...

Using a large database of complex securities, I study how salient attributes of security design distort household investment decisions. I show banks add non-standard (fine-print) conditions to artificially increase advertised rates of headline return and downside protection-a phenomenon I term...

We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyse a global sample of...

Part I - Shorting Fraud - Profiting While Maintaining Market Integrity -- 1 Introduction -- 2 The Proactive Fraud Investment Strategy -- 3 Market integrity rewards and The potential of Corporate Fraud Exposure Capital Gains -- Part II – The Corporate Fraud and The Corporate Fraudster -- 4 The...

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

Securities regulators in the United States have repeatedly asserted that most fungible blockchain-based crypto assets are clearly securities under current law. This perspective may at first seem understandable. Much of the interest in crypto assets to date has been driven by their investment...

This working paper is written by Emre Ozdenoren (London Business School), Kathy Yuan (London School of Economics) and Shengxing Zhang (London School of Economics).Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset....

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Event studies play a central role in class action securities fraud litigation. Event studies are used to assess market efficiency, price impact, loss causation, and damages, all of which are essential elements of a securities fraud claim. However, a substantial increase in market-wide...

Tokenization is a relatively new activity in digital finance. The standard features and characteristics of assets and securities can be enhanced by tokenization, a process that creates a blockchain representation of the underlying instrument. Asset and security tokenization produces many...

Abstract An asset owner designs an asset-backed security and a signal about its value. After privately observing the signal, he sells the security to the monopolistic liquidity supplier. Any optimal signal structure guarantees the security sale and commits the issuer not to learn too positive...

In this chapter we focus on disclosure—the foundation of securities regulation—of uncertain future events. We note two major differences in the United States and European disclosure regimes: the definition of materiality of information about unfolding events and whether disclosure of...

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Liquidity in government securities markets, despite their importance to both private and public agents, has received much attention in the literature only recently due to the fact that high-frequency data from trading in those markets were previously unavailable. This paper attempts to measure...

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...

"The past three decades witnessed rapid and profound change in the investments industry as well as a financial crisis of historic magnitude. The vast expansion of financial markets during this period was due in part to innovations in securitization and credit enhancement that gave birth to new...

We study the transmission of monetary policy through bank securities portfolios using granular supervisory data on U.S. bank securities, hedging positions, and corporate credit. Banks that experienced larger losses on their securities during the 2022-2023 monetary tightening cycle extended less...

DeFi Security -- NFT Security -- DAO Security -- Crypto Asset Exchange Security -- CBDC Security -- Web3 and Ransomware Attacks -- Web3 and Supply Chain Risks -- Web3 and AI Security -- Web3 and Quantum Attacks -- Privacy-Preserving Computation and Web3 -- Summary and Future Trends.