Elmar Mertens
 
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Paper Discussions

Contents

  1. 1 Conferences
    1. 1.1 Meh and Moran's "The Role of Bank Capital in the Propagation of Shocks"
    2. 1.2 Angeletos and La'O "Incomplete Information, Higher-Order Beliefs and the Inertia of Prices in the Calvo Model" (JME, 2009)
  2. 2 Reading Group
    1. 2.1 Coval, Jurek and Stafford's "Economic Catastrophe Bonds" (AER, 2009)
    2. 2.2 Lorenzoni's "Optimal Monetary Policy with Uncertain Fundamentals and Dispersed Information" (forth REStud)
  3. 3 Book Reviews
    1. 3.1 Christian Gollier's "Economics of Risk and Time"
    2. 3.2 Olivier de la Grandville's "Bond Pricing and Portfolio Analysis"
    3. 3.3 Prisman's "Pricing Derivative Securities, An Interactive Dynamic Environment with Maple V and Matlab"
    4. 3.4 Danthine and Donaldson's "Intermediate Financial Theory (1st edition)"
  4. 4 Other
    1. 4.1 Correct variance for estimated Sharpe Ratios
    2. 4.2 When Smart Money is Borrowed Money
    3. 4.3 Recent Models in Behavioral Finance Put to Test




Conferences


Meh and Moran's "The Role of Bank Capital in the Propagation of Shocks"



Angeletos and La'O "Incomplete Information, Higher-Order Beliefs and the Inertia of Prices in the Calvo Model" (JME, 2009)



Reading Group

Coval, Jurek and Stafford's "Economic Catastrophe Bonds" (AER, 2009)


Lorenzoni's "Optimal Monetary Policy with Uncertain Fundamentals and Dispersed Information" (forth REStud)


Book Reviews


Christian Gollier's "Economics of Risk and Time"


Olivier de la Grandville's "Bond Pricing and Portfolio Analysis"



Prisman's "Pricing Derivative Securities, An Interactive Dynamic Environment with Maple V and Matlab"



Danthine and Donaldson's "Intermediate Financial Theory (1st edition)"



Other

Correct variance for estimated Sharpe Ratios


When Smart Money is Borrowed Money

  • Kyle and Xiong (2001, JF) and Shleifer and Vishny (1997, JF)
  • pdf, (appeared in 3/2002 of FMPM)

Recent Models in Behavioral Finance Put to Test

  • The models of DHS (1998), BSV (1998) and Hong and Stein (1999) as well as the tests in HLS (2000) and Lee and Swaminathan (2000) 
  • pdf, appeared in 1/2001 of FMPM