Bankers' Pay and the Evolving Structure of US Banking
We study the evolution of pay in US bank holding companies since 1986. We first set out the main empirical characteristics in both cross-section and...
DP 120
Discussion Papers
Discounted Stochastic Games, the 3M Property and Stationary Markov Perfect Equilibria
We show that all discounted stochastic games DSGs satisfying the usual assumptions have Nash payoff selection correspondences having fixed points. Our...
DP 119
Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
DP 118
Epidemic Exposure, Financial Technology, and the Digital Divide
We ask whether epidemic exposure leads to a shift in financial technology usage and who participates in this shift. We exploit a dataset combining...
DP 112
Layered Networks, Equilibrium Dynamics, and Stable Coalitions
An important aspect of network dynamics that has been missing from our understanding of network dynamics in various applied settings is the influence...
DP 117
Parameterized State-Contingent Games, 3M Minimal Nash Correspondences, and Connectedness
Under mild assumptions on primitives, we show that all parameterized state-contingent games (PSGs) have upper Caratheodory (uC) Nash (equilibrium)...
DP 116
A Fixed Point Theorem for Measurable Selection Valued Correspondences Induced by Upper Caratheodory Correspondences
We show that any measurable selection valued correspondence induced by the composition of an m-tuple of real-valued Caratheodory functions with an...
DP 115
High-frequency Trading in the Stock Market and the Costs of Option Market Making
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...
DP 113
Shareholder Liability and Bank Failure
Does enhanced shareholder liability reduce bank failure? We compare the performance of around 4,200 state-regulated banks of similar size in...
Dark Trading and Alternative Execution Priority Rules
Traders’ choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool...
DP 111
Speculative and Precautionary Demand for Liquidity in Competitive Banking Markets
We demonstrate that the co-existence of different motives for liquidity preferences profoundly affects the efficiency of financial intermediation...
DP 110
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study...
DP 109
Extrapolative Bubbles and Trading Volume
We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model...
The Role of Sentiment in the Economy: 1920 to 1934
This paper investigates the role of sentiment in the US macro economy from 1920 to 1934. We use 2.4 million digitized articles from the Wall St...
Stake-holder Firms and the Reform of Local Public Finance in China
Since 1978 China has developed strongly using a particular form of capitalism which has relied upon close relations between private enterprise and the...
DP 108
Lending Cycles and Real Outcomes: Costs of Political Misalignment
We use data on the universe of credit in Turkey to document a strong political lending cycle. State-owned banks systematically adjust their lending...
DP 85
