Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Mark Schroder"'
Autor:
Mahdi Nezafat, Mark Schroder
Publikováno v:
Journal of Economic Theory. 210:105664
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::403f7e455152c0a96a0b09296ac39886
https://doi.org/10.1016/j.jet.2023.105664
https://doi.org/10.1016/j.jet.2023.105664
Autor:
Pedram Nezafat, Mark Schroder
Publikováno v:
The Review of Financial Studies. 35:1009-1063
We study the role of private information in the equity lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trade aggr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf2f372e920c708bf137dce8d814f197
https://doi.org/10.1093/rfs/hhab043
https://doi.org/10.1093/rfs/hhab043
Publikováno v:
Journal of Economic Theory. 172:273-312
During financial crises, financial market regulators often restrict short-selling to support prices and curb volatility. However, evidence suggests that short-selling bans during the turmoil in financial markets in 2007–2009 failed to achieve regul
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::097cd6f41e6ff5ec65668aeed2f500e7
https://doi.org/10.1016/j.jet.2017.09.007
https://doi.org/10.1016/j.jet.2017.09.007
Autor:
Mark Schroder, R. N. Chaudhuri
Publikováno v:
Review of Financial Studies. 28(5):1462-1505
Empirical evidence shows that the pricing kernel, or stochastic discount factor (SDF), is not always downward sloping when estimated using S&P 500 data. On the other hand, we show that individual stock SDFs are in general downward sloping. We show th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3bece5343d44907659a06c1b8667e760
http://hdl.handle.net/10.1093/rfs/hhv011
http://hdl.handle.net/10.1093/rfs/hhv011
Autor:
Mark Schroder, Mohammad A. Rezaei
Publikováno v:
SSRN Electronic Journal.
We examine a dynamic model of R&D investment by competing firms with an uncertain payout and uncertain time to development success. The effect of competition on R&D investment depends critically on whether firms are able to monitor, and react to, eac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ae269279f548489ca7d45fae81b253ff
https://doi.org/10.2139/ssrn.3009416
https://doi.org/10.2139/ssrn.3009416
Publikováno v:
Mathematical Finance. 26:86-121
We study a class of optimization problems involving linked recursive preferences in a continuous-time Brownian setting. Such links can arise when preferences depend directly on the level or volatility of wealth, in principal-agent (optimal compensati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91f22e5ce90cd941984d23fe7736f6e9
https://doi.org/10.1111/mafi.12047
https://doi.org/10.1111/mafi.12047
Publikováno v:
Statistics & Probability Letters. 83:2019-2026
The Ito formula was extended recently by Dupire (2009) to functionals of paths of continuous semimartingales, and by Cont and Fournie (2010a) to functionals of paths of RCLL semimartingales. In contrast to the traditional formula that applies to func
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eac4afa1719a69ca52a83cf1dd27c759
https://doi.org/10.1016/j.spl.2013.05.010
https://doi.org/10.1016/j.spl.2013.05.010
Autor:
Pedram Nezafat, Mark Schroder
Publikováno v:
SSRN Electronic Journal.
An important consideration in informed trading is to explicitly take into account the effects of trades on asset prices. In this paper we develop a general equilibrium model of information acquisition and asset pricing under imperfect competition. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8eb3924bf5530c6aa7f064272db9b489
https://doi.org/10.2139/ssrn.2716348
https://doi.org/10.2139/ssrn.2716348
Autor:
Naveen Khanna, Mark Schroder
Publikováno v:
Journal of Economic Theory. 145:156-188
We show that optimal debt contracts in the presence of product market competition are typically different from standard debt contracts. We consider a market with two incumbents, one levered (target) and one with deep pockets (competitor). Renewal of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::137298faf03ace78e2794fae29487705
https://doi.org/10.1016/j.jet.2009.05.005
https://doi.org/10.1016/j.jet.2009.05.005
Publikováno v:
Journal of Clinical Anesthesia. 25:676-678
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f86025443df9414585a78f31e3d4e3f
https://doi.org/10.1016/j.jclinane.2013.06.003
https://doi.org/10.1016/j.jclinane.2013.06.003