New Research in Financial Markets

by Biais, Bruno; Pagano, Marco

ISBN13:
9780199243228
ISBN10:
0199243220
Format: Paperback
Copyright: 2002-05-03
Publisher: Oxford University Press
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Summary

The selection of papers presented in these two volumes reflects the depth and breadth of the research interests of European scholars in financial economics. Topics discussed include asset pricing in the context of perfect markets and of market imperfections, the interaction between business cycle and financial imperfections, take over bids, and the interplay between banks and financial markets. These two volumes will provide an invaluable reference tool for scholars in the field.

Introduction

vii

PART I. ASSET PRICING

Evaluating Portfolio Performance with Stochastic Discount Factors

Magnus Dahlquist

Paul Soderlind

Source: Journal of Business (1999), 72/3

(36)

Implied Volatility Functions: Empirical Tests

Bernard Dumas

Jeff Fleming

Robert E. Whaley

Source: Journal of Finance (1998), 53/6

(46)

PART II. MARKET MICROSTRUCTURE

Insider Trading without Normality

Jean-Charles Rochet

Jean-Luc Vila

Source: Review of Economic Studies (1994), 61/1

(28)

Insider and Liquidity Trading in Stock and Options Markets

Bruno Biais

Pierre Hillion

Source: Review of Financial Studies (1994), 7/4

113

(36)

The Speed of Information Revelation in a Financial Market Mechanism

Xavier Vives

Source: Journal of Economic Theory (1995), 67

149

(26)

PART III. SPECULATION

Arbitrage Chains

James Dow

Gary Gorton

Source: Journal of Finance (1994), 49/3

175

(32)

Asset Price Dynamics and Infrequent Feedback Trades

Pierluigi Balduzzi

Giuseppe Bertola

Silverio Foresi

Source: Journal of Finance (1995), 50/5

207

(20)

Asset Prices and Trading Volume in a Beauty Contest

Bruno Biais

Peter Bossaerts

Source: Review of Economic Studies (1998), 65

227

(40)

Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks

Stephen Morris

Hyun Song Shin

Source: American Economic Review (1998), 88/3

267

(18)

PART IV. ASSET PRICING AND CORPORATE FINANCE

Design and Valuation of Debt Contracts

Ronald W. Anderson

Suresh Sundaresan

Source: Review of Financial Studies (1996), 9/1

285

(30)

Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

Rene M. Stulz

Walter Wasserfallen

Source: Review of Financial Studies (1995), 8/4

315

(34)

Index

349

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