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Posted on March 21st, 2012
This paper reproduces the slope of the uncovered interest rate parity (UIP) re- gression for six different country pairs within one standard deviation under rational expectations. While standard theory predicts a slope of one, the empirically observed slope of the regression of currency returns on the interest rate differential between two countries [...] Posted on November 16th, 2011
This paper investigates the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. The authors characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such [...] Posted on July 6th, 2011
This paper investigates the effect of interest rate policy on stock market bubbles and trading behavior in experimental asset markets. For this purpose, it introduces the possibility of investing in interest bearing bonds to the classical laboratory asset market design of Smith, Suchanek, and Williams (1988). In a series of experiments treatment groups [...] Posted on March 28th, 2011
This paper is the first to empirically analyze the value to shareholders of the ability to have a binding vote on management pay. It studies stock price reactions on and around an event that is uniquely suited for this purpose. On February 26, 2008, in a surprise announcement, it became public that a [...] 1 pages
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