G - Financial Economics
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An Analysis of Closure Policy under Alternative Regulatory Structures
The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close. -
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000). -
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002. -
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. -
Trade Credit and Credit Rationing in Canadian Firms
Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing. -
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. -
The Monetary Origins of Asymmetric Information in International Equity Markets
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. -
Modelling the Evolution of Credit Spreads in the United States
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. -
International Equity Flows and Returns: A Quantitative Equilibrium Approach
The authors model trading by foreign and domestic investors in developed-country equity markets.