New Research in Financial Markets

New Research in Financial Markets

by Bruno Biais, Marco Pagano
     
 

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… See more details below

Overview

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.

Product Details

ISBN-13:
9780199243211
Publisher:
Oxford University Press, USA
Publication date:
05/16/2002
Pages:
384
Product dimensions:
6.40(w) x 9.30(h) x 1.20(d)

Table of Contents

Introduction
Pt. IAsset Pricing
1Evaluating Portfolio Performance with Stochastic Discount Factors3
2Implied Volatility Functions: Empirical Tests39
Pt. IIMarket Microstructure
3Insider Trading without Normality85
4Insider and Liquidity Trading in Stock and Options Markets113
5The Speed of Information Revelation in a Financial Market Mechanism149
Pt. IIISpeculation
6Arbitrage Chains175
7Asset Price Dynamics and Infrequent Feedback Trades207
8Asset Prices and Trading Volume in a Beauty Contest227
9Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks267
Pt. IVAsset Pricing and Corporate Finance
10Design and Valuation of Debt Contracts285
11Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence315
Index349

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