We model financial market liquidity as provided by financially constrained arbitrageurs. Market liquidity increases with the level of arbitrage capital, i.e., internal and external capital arbitrageurs can access frictionlessly. We show that liquidity dry-ups follow periods of low returns of arbitrageurs’ risky investment opportunities, and that liquidity is correlated across markets. A welfare...

We examine the relationship between real and financial integration. Real integration is measured by productivities of capital and labor from trade data for 1982 to 1997. Financial integration is measured by the black market exchange rate. We find more evidence of convergence to equality for returns to capital than for returns to labor. There is some support for associating the convergence of bl...

Capital market imperfections are widely believed to explain why consumption deviates from the martingale implications of the REPIH. However, empirical modelling and theoretical analysis of consumption under capital market imperfections is hindered by the absence of any tractable theoretical model. By modelling capital market imperfections as consumers facing an upward sloping interest rate sche...

This study examines the disclosure of labor-related costs by US firms, and estimates the proportion of these costs that are valued as an asset (human capital) by the market. Separate identification of labor-related costs in US financial reports is voluntary, and is made consistently only by about 10% of all US Compustat firms. The probability of disclosure is found to be positively related to f...

We study issues related to the long-run distribution of wealth in two variants of Ramsey’s model of optimal capital accumulation. First we show that, in the case where a government levies a progressive income tax, there exist infinitely many stationary equilibria in which all households own positive capital stocks. Moreover, it is demonstrated that non-stationary equilibria can exhibit complica...

We examine the influence of strategic choice on working capital configurations and observe how the relationship between working capital ratio and operational performance differs depending on strategy. By clustering the strategic factors of the wholesale and retail industry, we find three categories of strategies: terminal market strategy, middle market strategy, and hybrid strategy. Using the p...

In this paper, we present a model that simulates the behaviour of a heterogenous collection of financial traders on a market. Each trader is modelled as an autonomous, interactive agent and the agregation of their behavior results in market behaviour. 1 We specifically look at the role of information arriving at the market and the influence of heterogeneity on market dynamics. The main conclusi...

This paper investigates the relationship of capital structure and corporate performance of firm before and during crisis (2007). This study focuses on construction companies which are listed in Main Board of Bursa Malaysia from 2005 to 2008. All the 49 construction companies are divided into big, medium and small sizes, based on the paid-up capital. The result shows that there is relationship b...

Banks routinely invest in the venture capital market. Why are they interested in venture capital, and how do their investments differ from independent venture capitalists? The banking literature suggests that banks may have some valuable expertise that they might want to leverage into venture capital. Alternatively, banks may want to build relationships in the venture market for their core lend...

Do credit market conditions affect corporate capital structures? In an attempt to answer this question, I study two natural experiments that affect corporate access to bank credit: the 1961 expansion of bank credit due to the emergence of the market for CDs, and the contraction associated with the 1966 credit crunch. I document several capital structure reactions to these changes in credit mark...