Hence the model explains changes in asset prices in terms of'fundamentals', i.e. changes in expected future payoffs (̂ (+<) or discount rates {8). Most tests ofthe model have used data for stocks, where the payoffs are dividends, or bonds, where the payoffs are interest and principal payments. These tests have had mixed outcomes, due in part to statistical and data problems.^ This paper explores...

The paper examines the impact of ownership structure on company economic performance in the largest companies from 12 European nations. Ownership structure is measured by the identity and share of the largest owner. Performance is measured by return on assets, market to book values and sales growth controlling for industry, capital structure and nation effects. We find evidence of a bell-shaped...

This paper studies temporary policy incentives designed to address capital overhang by inducing asset demand from buyers in the private market. Using variation across local geographies in ex ante program exposure and a difference-in-differences design, we find that the First-Time Homebuyer Credit induced a cumulative increase in home sales of 397 to 546 thousand, or 7.8 to 10.7 percent, nationa...

This paper builds a venture capital index from 1987 to 1999 that consists of 12,946 rounds of venture financing with 5,643 venture-backed firms. The paper uses two innovative techniques, a re-weighting procedure and a method of moment repeat sales regression, to mitigates three problems missing data, censored data, and sample selection. We report the time series of capital flows, net asset valu...

The essence of Quantitative Easing (QE) is to reduce the costs of private borrowing through large-scale purchases of privately issue debts, instead of public debts (Ben Bernanke, 2009). Notwithstanding the effectiveness of this highly unconventional monetary policy in reviving private investment and the economy, it is time to think about the likely impacts of the unwinding of QE (or the reverse...

Congress is considering proposals to improve its financing of long-term care. The key issue is whether it should support a social insurance program or a program targeted to a population group defined by income and assets. Social insurance is expensive, costing between $15 and $20 billion. For the most part, it provides benefits--primarily asset protection--to middle- and upper-income individual...

We formulate a model of continuous-time financial market consisting of a bank account with constant interest rate and one risky asset subject to capital gains taxes. We consider the problem of maximizing expected utility from future consumption in infinite horizon. This is the continuous-time version of the model introduced by Dammon, Spatt and Zhang [11]. The taxation rule is linear so that it...

Common asset holding by financial institutions (portfolio overlap) is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and severe losses at the systemic level. We propose a method to assess the statistical significance of the overlap between heterogeneously diversified portfolios, which we use to build a validated network of financial in...

This paper examines the choice of asset valuation rules from a managerial control perspective. A manager creates value for a rm through his e ort choices. To support its operating activities, the rm also engages in nancing activities such as credit sales to its customers. Since such nancing activities merely change the pattern of cash ows across periods, an optimal compensation scheme must shie...