This paper studies sequence economies over an infinite horizon with general security structures. Assumptions are given under which a pseudo-equilibrium exists for all economies and an equilibrium exists for a dense set of (appropriately parameterized) economies. Under these assumptions the indebtedness of the agents in equilibrium can be limited either by an explicit bound on their debts or by ...

This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. In the sixteen-year period that has been analyzed the relation between stock returns and the macroeconomic factors is found to be highly unstable: not only are the betas of individual securities virtually uncorrelated over time, but a high perc...

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...

This dissertation consists of three essays. The first essay is joint work with Dan Bernhardt. We endogenize entry to a security-bid auction, where participation is costly, and bidders must decide given their private valuations whether to participate. We first suppose that the minimum reserve security-bid yields the seller an expected revenue equal to the asset’s stand-alone value to the seller....

Multidefendant securities litigation in conjunction with the complexities created by partial settlements and joint several liability framework present challenging issues under federal laws. Partial arise multidefendant actions when at least one plaintiff (or plaintiff-class) brings suit against both allegedly primary actors (such as issuers or underwriters certain personnel thereof) other viola...

The extant literature offers extensive support for the significant role played by institutions in financialmarkets, but implicit regulation andmonitoringhaveyet to beexamined. This study fills this void in the literature by employing unique Chinese datasets to explore the implicit regulation and penalties imposed by the Chinese government in regulating the initial public offering (IPO) market. ...

This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometricand arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our methodology can be easily modi ed to price similarly structured options issued by other securities rms. The moving-average-lookback option is a call optio...

We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor-manager relationship is non-exclusive. Investors transfer their securities allocations to managers, managers trade in a competitive marketplace to achieve new allocations, and payo↵s are distributed back to investors after subtraction of a por...

This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortalitylinked securities and over-the-counter contracts ö some existing and others still hypothetical ö to manage their longevity...