New Research in Financial Markets - Softcover

In recent years, European financial economists have been brought together, via research projects and conferences, by the Centre for Economic Policy Research (CEPR). These fruitful interactions have contributed to the development of financial economics in Europe, and have generated a strong flow of interesting writing―-both theoretical and empirical. The chapters in this volume reflect the depth and breadth of the research interests of European scholars in financial economics.

The first section uses empirical analysis of financial market data to test the robustness of the pricing kernel model. The second section is on market microstructure, which is based on the observation of high frequency data. It explores the implications of asymmetric information and market imperfections. The third section points to how the study of speculation may link both the pricing kernel and the microstructure approaches. The final section on corporate finance suggests that contractual and agency problems have a significant impact on the pricing of financial assets.

Bruno Biais is Professor at the Université des Sciences Sociales, Toulouse.; Marco Pagano is Professor of Economics at the University of Salerno.