New research in financial markets /
New research in financial markets /
edited by Bruno Biais and Marco Pagano.
- xix, 356 pages : illustrations ; 25 cm.
Includes bibliographical references and index.
Machine derived contents note: Introduction --
Part I. Asset Pricing --
1. Evaluating Portfolio Performance with Stochastic Discount Factors, Magnus Dahlquist and Paul Soderlind --
2. Implied Volatility Functions: Empirical Tests, Bernard Dumas, Jeff Fleming, and Robert E. Whaley --
Part II. Market Microstructure --
3. Insider Trading without Normality, Jean-Charles Rochet and Jean-Luc Vila --
4. Insider and Liquidity Trading in Stock and Options Markets, Bruno Biais and Pierre Hillion --
5. The Speed of Information Revelation in a Financial Market Mechanism, Xavier Vives --
Part III. Speculation --
6. Arbitrage Chains, James Dow and Gary Gorton --
7. Asset Price Dynamics and Infrequent Feedback Trades, Pierluigi Balduzzi, Giuseppe Bertola, and Silverio Foresi --
8. Asset Prices and Trading Volume in a Beauty Contest, Bruno Biais and Peter Bossaerts --
9. Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks, Stephen Morris and Hyun Song Shin --
Part IV. Asset Pricing and Corporate Finance --
10. Design and Valuation of Debt Contracts, Ronald W. Anderson and Suresh Sundaresan --
11. Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence, Rene M. Stulz and Walter Wasserfallen --
Index.
0199243212 0199243220 (pbk.)
Stocks.
Finance.
332 / N
Includes bibliographical references and index.
Machine derived contents note: Introduction --
Part I. Asset Pricing --
1. Evaluating Portfolio Performance with Stochastic Discount Factors, Magnus Dahlquist and Paul Soderlind --
2. Implied Volatility Functions: Empirical Tests, Bernard Dumas, Jeff Fleming, and Robert E. Whaley --
Part II. Market Microstructure --
3. Insider Trading without Normality, Jean-Charles Rochet and Jean-Luc Vila --
4. Insider and Liquidity Trading in Stock and Options Markets, Bruno Biais and Pierre Hillion --
5. The Speed of Information Revelation in a Financial Market Mechanism, Xavier Vives --
Part III. Speculation --
6. Arbitrage Chains, James Dow and Gary Gorton --
7. Asset Price Dynamics and Infrequent Feedback Trades, Pierluigi Balduzzi, Giuseppe Bertola, and Silverio Foresi --
8. Asset Prices and Trading Volume in a Beauty Contest, Bruno Biais and Peter Bossaerts --
9. Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks, Stephen Morris and Hyun Song Shin --
Part IV. Asset Pricing and Corporate Finance --
10. Design and Valuation of Debt Contracts, Ronald W. Anderson and Suresh Sundaresan --
11. Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence, Rene M. Stulz and Walter Wasserfallen --
Index.
0199243212 0199243220 (pbk.)
Stocks.
Finance.
332 / N