Finance / Markets

Taxing pensions
There exists a wide variety of tax treatments of pensions across the world. And the reasons for…
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Demonstration Effect and Dynamic Efficiency
We show that contrary to conventional wisdom intergenerational family transfers dominate fiscal policies as a remedy to…
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Lobbying, family concerns and the lack of political support for estate taxation
We provide an explanation for why estate taxation is surprisingly little used over the world, given the…
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Earmarking and the political support of fat taxes
A fat and a healthy good provide immediate gratification, and cause health costs or benefits in the…
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Integrating profitability prospects and cash management
We develop a bi-dimensional dynamic model of corporate cash management in which shareholders learn about a firm's…
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Household bargaining and the design of couples’ income taxation
This paper studies the design of couples’ income taxation when consumption and labor supply decisions within the…
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Financial reporting and market efficiency with extrapolative investors
We model a …financial market in which companies engage in strategic …financial reporting knowing that investors only…
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Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets…
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Lobbying, family concerns and the lack of political support for estate taxation
We provide an explanation for why estate taxation is surprisingly little used over the world, given the…
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CEO Pay and Firm Size: an Update after the Crisis
In the competitive talent market view formalized in Gabaix and Landier (2008), CEO compensation is determined in…
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The (ir)resistible rise of agency rents
The rents agents can extract from principals increase with the magnitude of incentive problems, which the literature…
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Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy
This paper offers a new test of the "lending channel" view, based on banks' exposures to interest…
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The WACC Fallacy: The Real Effects of Using a Unique Discount Rate
We document investment distortions induced by the use of a single discount rate within firms. According to…
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Rethinking dynamic capital structure models with roll-over debt
Dynamic capital structure models with roll-over debt rely on widely accepted arguments that have never been formalized.…
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Illiquidity and All Its Friends
The recent crisis was characterized by massive illiquidity. This paper reviews what we know and don't know…
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Bubbly Liquidity
This paper analyzes the possibility and the consequences of asset price overvaluation in a dynamic economy where…
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Collective Moral Hazard, Maturity Mismatch, and Systemic Bailouts
The paper shows that time-consistent, imperfectly targeted support to distressed institutions makes private leverage choices strategic complements.…
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Stock Price Manipulation by Hedge Funds
We find evidence for significant price manipulation at the stock level by hedge funds at critical report…
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"Réguler en informant", La Jaune et la Rouge
Dans l’économie moderne, réguler c’est rassembler de l’information, puis la diffuser le plus largement possible. La crise…
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Investisseurs de Long Terme : Expliciter les Objectifs, Optimiser les Incitations
Le but de cette contribution est de croiser les travaux récents d’économie des incitations (théorie des contrats) et…
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Bootstrapping realized multivariate volatility measures
We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as…
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Expected net present value, expected net future value, and the Ramsey rule
present value implies a term structure of discount rates that is decreasing to the smallest possible interest…
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The Taxpayer Burden of Bank Restructuring
We formalize the taxpayer burden implied by various bank restructuring plans. Even assuming minimal frictions, in spirit…
Eliciting Beliefs: Proper Scoring Rules, Incentives, Stakes and Hedging
Accurate measurements of probabilistic beliefs have become increasingly important both in practice and in academia. Introduced by…
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Securitization, Insurance and Reinsurance
This paper considers strengths and weaknesses of reinsurance and securitization in managing insurable risks. Traditional reinsurance operates…
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Valuation in insurance and financial crisis
In the course of the recent financial crisis, the issue of asset valuation has regularly moved to…
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Using Capital Allocation to Steer the Portfolio towards Profitability
A modern reinsurance company needs to manage its capital efficiently. The problem is that there are many…
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An Illustrative Example of Pricing Risk
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Pension funds: a European overview
All the countries in Western Europe have all launched reforms of their retirement systems with a view…
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The financial services sector is a crucible for many of these developments. The automation of clerical, back…
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This paper investigates the impact of insurance premiums on stock market development in 37 developing countries over…
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This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European…
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This 15th issue of the Insurance and Finance newsletter features key insights from a seminar held in…
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The rapid expansion of the Internet has led to a proliferation of so-called virtual communities. This has…
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As the UK economy creeps out of recession (see Figure 1), many UK based companies are looking…
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Bermuda-based alternative asset focused reinsurance has grown in popularity over the last decade as a joint venture…
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This article examines how the third generation can influence the financial markets and aims to identify some…
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We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the…
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Using various techniques, authors have shown that in one-dimensional markets, complex (pathdependent) contracts are generally not optimal…
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Using firm-specific variables that proxy for the motivations of life insurers’ decision to participate in derivative transactions,…
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Some firms utilize one or more tranches of warrant issues to supplement their capital base. Unlike exchange-traded…
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In this paper we analyze the derivatives holdings of U.S. insurers to empirically investigate the general hypotheses…
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In 2009, in the aftermath of the Global Financial Crisis, 140 American banks failed–and hundreds of other…
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