New Research in Financial Markets

Erscheinungsjahr 2002
ISBN: 978-0-19-924322-8
Verlag: OUP Oxford

Buch, Englisch, 376 Seiten, Print PDF, Format (B × H): 156 mm x 234 mm, Gewicht: 576 g

In recent years, European financial economists have been brought together, via research projects and conferences, by the Centre for Economic Policy Research (CEPR). These fruitful interactions have contributed to the development of financial economics in Europe, and have generated a strong flow of interesting writing---both theoretical and empirical. The chapters in this volume reflect the depth and breadth of the research interests of European scholars in financial economics.

The first section uses empirical analysis of financial market data to test the robustness of the pricing kernel model. The second section is on market microstructure, which is based on the observation of high frequency data. It explores the implications of asymmetric information and market imperfections. The third section points to how the study of speculation may link both the pricing kernel and the microstructure approaches. The final section on corporate finance suggests that contractual and agency problems have a significant impact on the pricing of financial assets.

Autoren/Hrsg.

Biais, Bruno

Pagano, Marco

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung

Inhaltsverzeichnis

- Introduction

- I. Asset Pricing

- 2: Bernard Dumas, Jeff Fleming, and Robert E. Whaley: Implied Volatility Functions: Empirical Tests

- II. Market Microstructure

- 4: Bruno Biais and Pierre Hillion: Insider and Liquidity Trading in Stock and Options Markets

- 5: Xavier Vives: The Speed of Information Revelation in a Financial Market Mechanism

- III. Speculation

- 7: Pierluigi Balduzzi, Giuseppe Bertola, and Silverio Foresi: Asset Price Dynamics and Infrequent Feedback Trades

- 8: Bruno Biais and Peter Bossaerts: Asset Prices and Trading Volume in a Beauty Contest

- 9: Stephen Morris and Hyun Song Shin: Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks

- IV. Asset Pricing and Corporate Finance

- 11: René M. Stulz and Walter Wasserfallen: Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

Über Autor(innen)

Bruno Biais is Professor at the Université des Sciences Sociales, Toulouse.; Marco Pagano is Professor of Economics at the University of Salerno.