New Research in Financial Markets

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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.
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Product Details

  • ISBN-13: 9780199243211
  • Publisher: Oxford University Press, USA
  • Publication date: 5/16/2002
  • Pages: 384
  • Product dimensions: 6.40 (w) x 9.30 (h) x 1.20 (d)

Meet the Author

Universite des Sciences Sociales Toulouse

University of Salerno

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Table of Contents

Introduction
Pt. I Asset Pricing
1 Evaluating Portfolio Performance with Stochastic Discount Factors 3
2 Implied Volatility Functions: Empirical Tests 39
Pt. II Market Microstructure
3 Insider Trading without Normality 85
4 Insider and Liquidity Trading in Stock and Options Markets 113
5 The Speed of Information Revelation in a Financial Market Mechanism 149
Pt. III Speculation
6 Arbitrage Chains 175
7 Asset Price Dynamics and Infrequent Feedback Trades 207
8 Asset Prices and Trading Volume in a Beauty Contest 227
9 Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks 267
Pt. IV Asset Pricing and Corporate Finance
10 Design and Valuation of Debt Contracts 285
11 Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence 315
Index 349
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