This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model...

It provides background information on the role of capital markets in PPP financing, and their principal advantages and disadvantages compared to traditional bank financing. It then reviews the dominant delivery model for PPP bonds, the so-called " monoline model " , and the impact of the downgrading of the monolines' rating following the credit crisis. The paper further analyses the reasons why...

We present a model for the equilibrium movement of capital between markets. Markets with symmetrically distributed risks are distinguished only by the levels of capital invested in each. That market with the greater amount of capital earns lower conditional mean returns. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investo...

Using a large sample of diversified firms from 38 countries we investigate the influence of several national-level institutional factors or ‘institutional voids’ on the value of corporate diversification. Specifically, we explore whether the presence of frictions in a country’s capital markets, labor markets, and product markets, affect the excess value of diversified firms. We find that the va...

This article analyzes determinants of growth across labor markets in the United States, using a production function approach based on four inputs: labor, manufacturing investment, human capital investment, and public capital investment. We find little role for public capital investment in growth, but that manufacturing investment spurred growth in nonmetropolitan areas, in contrast to metropoli...

When approaching electronic capital market design and microstructure with the focus of analysing and improving existing markets with end-state analysis, it is necessary to name an ideal objective. This serves the purposes of technology evaluation and the development of a standard framework for structural measurement in modeling and language paradigm design. An ideal capital market architecture ...

This paper analyzes the problem of …rms that need to make investment decisions in capital markets characterized by trading frictions and ex-post bargaining. Trading frictions make switching from one capital supplier to another costly, thus implying that the match between …rms and suppliers generates surplus. Ex-post bargaining implies that suppliers can appropriate part of this surplus. Firms r...

We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series ofexpected returns in developed and emerging markets. Our measure, which arises from a conditional regime-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integr...

In the early and mid-1990s, most economists and policymakers supported rapid capital account liberalization for emerging markets. Liberalization was expected to have widespread benefits. It was predicted to increase capital inflows, thereby financing investment and raising growth. Capital inflows—especially in the form of direct investment—would provide improved technology and management techni...