New Research in Financial Markets: A Reader by Bruno BiaisNew Research in Financial Markets: A Reader by Bruno Biais

New Research in Financial Markets: A Reader

EditorBruno Biais, Marco Pagano

Paperback | February 1, 2002

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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 strongflow 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 marketimperfections. 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.
Bruno Biais is Professor at the Universite des Sciences Sociales, Toulouse. Marco Pagano is Professor of Economics at the University of Salerno.
Title:New Research in Financial Markets: A ReaderFormat:PaperbackDimensions:376 pages, 9.21 × 6.14 × 0.83 inPublished:February 1, 2002Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199243220

ISBN - 13:9780199243228


Table of Contents

Bruno Biais and Marco Pagano: IntroductionI. Asset Pricing1. Magnus Dahlquist and Paul Soderlind: Evaluating Portfolio Performance with Stochastic Discount Factors2. Bernard Dumas, Jeff Fleming, and Robert E. Whaley: Implied Volatility Functions: Empirical TestsII. Market Microstructure3. Jean-Charles Rochet and Jean-Luc Vila: Insider Trading without Normality4. Bruno Biais and Pierre Hillion: Insider and Liquidity Trading in Stock and Options Markets5. Xavier Vives: The Speed of Information Revelation in a Financial Market MechanismIII. Speculation6. James Dow and Gary Gorton: Arbitrage Chains7. Pierluigi Balduzzi, Giuseppe Bertola, and Silverio Foresi: Asset Price Dynamics and Infrequent Feedback Trades8. Bruno Biais and Peter Bossaerts: Asset Prices and Trading Volume in a Beauty Contest9. Stephen Morris and Hyun Song Shin: Unique Equilibrium in a Model of Self-Fulfilling Currency AttacksIV. Asset Pricing and Corporate Finance10. Ronald W. Anderson and Suresh Sundaresan: Design and Valuation of Debt Contracts11. Rene M. Stulz and Walter Wasserfallen: Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence