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Keywords:Financial markets 

Journal Article
Interview with Eugene Fama

A conversation with Eugene Fama, the intellectual father of efficient market theory, passive portfolio management, and value and small cap mutual funds.
The Region , Volume 21 , Issue Dec , Pages 15-23

Report
Estimating a structural model of herd behavior in financial markets

We develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent ...
Staff Reports , Paper 561

Working Paper
Venture Capital and the Performance of Incumbents

I study the effect of investment in young, private firms by venture capitalists (VC) on public firms in the same industry. I construct an instrument for VC investment that relies on individual VC's investment histories, holdings of equity stakes in IPO firms, and aggregate market returns immediately following those IPOs. I find that increased VC investment has a large effect on incumbent profitability. The effect arises due to higher costs and not depressed sales. The effect is short lived as firms respond by reallocating resources away from treated markets and by reducing their use of labor.
Finance and Economics Discussion Series , Paper 2015-80

Working Paper
Finance constraints, liquidity, and investment spending: theoretical restrictions and international evidence

Theoretical and empirical models of investment spending have treated financial structure very differently. Recent research has begun to narrow this gap and, based on developments in the economics of information, has drawn theoretical links between investment spending and the frictions and constraints in financial markets. Furthermore, the sensitivity of investment to liquidity and other financial variables has been documented empirically for several industrialized countries. Despite this progress, the theoretical advances have not been exploited fully in econometric work, and questions remain ...
Research Working Paper , Paper 96-04

Journal Article
Alternatives to Libor in consumer mortgages

Many adjustable rate mortgages in the United States are indexed to Libor. While the accuracy of this rate has recently been called into question, another issue affecting U.S. borrowers has become evident since the onset of the financial crisis. Specifically, many U.S. consumers with Libor-based loans may have been hit with substantially higher payments when their loans reset during the financial crisis than if those loans had been tied to a Treasury rate. We investigate several alternative reference rates for consumer loans and estimate their payment effects on a large sample of Libor-linked ...
Economic Commentary , Issue Oct

Conference Paper
Maintaining stability in a changing financial system: an introduction to the Bank's 2008 Economic Symposium

Proceedings - Economic Policy Symposium - Jackson Hole

Journal Article
Market data and bank supervision: the transition to practical use

The Region , Issue Sep , Pages 11-13, 46-54

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