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Trading and Information Diffusion in Over-the-Counter Markets (1)

Peter Kondor (Central European University)

IDEI, 12 novembre 2012, 12h30–14h00, salle MF 323

This paper studies the informational efficiency of over-the-counter markets. We consider an over-the-counter market where dealers trade an asset with a stochastic payoff. Trade is bilateral, and each dealer can simultaneously participate in multiple transactions. The value of the asset is...

Capitalizing property rights insecurity in natural resource assets (1)

Christopher Costello (University of California - Santa Barbara)

Toulouse : TSE, 12 novembre 2012, 11h00–12h30, salle MS 003

Property rights are commonly touted as a solution to common pool resource problems. In practice, however, the security of property rights over natural resources varies sub- stantially, which may affect returns to ownership as well as asset values. We examine theoretically the capitalized asset...

Public Disclosure by 'Small' Traders (1)

Luca Gelsomini (Ieseg Lille)

6 novembre 2012

Macroeconomic Modeling in Times of Crisis (1)

Paris : Banque de France, 25–26 octobre 2012

Cultural Proximity and Loan Outcomes (1)

Vikrant Vig (London Business School)

TSE, 22 octobre 2012, 12h30–14h00, salle MF 323

We present evidence that shared codes, beliefs, ethnicity --cultural proximity-- be- tween lenders and borrowers improves the efficiency of credit allocation. We identify in-group preferential treatment using dyadic data on the religion and caste of officers and borrowers from a bank in India, and...

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles (1)

Simone Manganelli (BCE)

16 octobre 2012

Bank Capital Requirements for Tail Risk: The Internal Agency Problem Matters! (1)

Nataliya Klimenko (Université Aix Marseille)

TSE, 15 octobre 2012, 12h30–14h00, salle MF 323

The top executives of banks made an important "contribution" to the 2007-09 financial crisis. Given short-term performance incentives, they were engaged in excessive risk-taking in order to receive immediate gains, without regard for the long-term consequences of management practices adopted. In...

Non-Renewable Resource Supply: Substitution Effect, Compensation Effect, and All That (1)

Julien Daubanes (CER-ETH, Zurich)

Toulouse : TSE, 15 octobre 2012, 11h00–12h30, salle MS 001

The resource literature has studied market and other equilibria extensively. Yet no systematic synthetic treatment of non-renewable resource supply has been provided. In this note, we examine the supply decision of individual resource suppliers facing given prices. We establish instantaneous...

A Theoretical and Empirical Comparison of Systemic Risk Measures (1)

Christophe Hurlin (Université d'Orléans)

15 octobre 2012

What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models (1)

Christian Julliard (London School of Economics)

IDEI, 8 octobre 2012, 12h30–14h00, salle MF 323

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a potentially unobservable, model-specific, one. Exploiting this decomposition we derive new entropy bounds that restrict the admissible regions for the...

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