Overview

In recent years, European financial economists have been brought together, via research projects and conferences, by the Centre for Economic Policy Research (CEPR). These fruitful interactions have contributed to the development of financial economics in Europe, and have generated a strong flow of interesting writing---both theoretical and empirical. The chapters in this volume reflect the depth and breadth of the research interests of European scholars in financial economics. The first section uses empirical analysis of financial market data to test the robustness of the pricing kernel model. The second section is on market microstructure, which is based on the observation of high frequency data. It explores the implications of asymmetric information and market imperfections. The third section points to how the study of speculation may link both the pricing kernel and the microstructure approaches. The final section on corporate finance suggests that contractual and agency problems have a significant impact on the pricing of financial assets.

Full Product Details

Author:   Bruno Biais (, University of Toulouse) ,  Marco Pagano (, University of Salerno)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 15.60cm , Height: 2.10cm , Length: 23.50cm
Weight:   0.549kg
ISBN:  

9780199243228

ISBN 10:   0199243220
Pages:   376
Publication Date:   07 March 2002
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   To order  
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Table of Contents

Bruno Biais and Marco Pagano: Introduction I. Asset Pricing1: Magnus Dahlquist and Paul Söderlind: Evaluating Portfolio Performance with Stochastic Discount Factors 2: Bernard Dumas, Jeff Fleming, and Robert E. Whaley: Implied Volatility Functions: Empirical Tests II. Market Microstructure3: Jean-Charles Rochet and Jean-Luc Vila: Insider Trading without Normality 4: Bruno Biais and Pierre Hillion: Insider and Liquidity Trading in Stock and Options Markets 5: Xavier Vives: The Speed of Information Revelation in a Financial Market Mechanism III. Speculation6: James Dow and Gary Gorton: Arbitrage Chains 7: Pierluigi Balduzzi, Giuseppe Bertola, and Silverio Foresi: Asset Price Dynamics and Infrequent Feedback Trades 8: Bruno Biais and Peter Bossaerts: Asset Prices and Trading Volume in a Beauty Contest 9: Stephen Morris and Hyun Song Shin: Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks IV. Asset Pricing and Corporate Finance10: Ronald W. Anderson and Suresh Sundaresan: Design and Valuation of Debt Contracts 11: René M. Stulz and Walter Wasserfallen: Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

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Author Information

Bruno Biais is Professor at the Université des Sciences Sociales, Toulouse.; Marco Pagano is Professor of Economics at the University of Salerno.

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