Optimal execution with stochastic delay

Finance and Stochastics - We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity-taking...     

Government, taxes and banking crises

This paper analyzes the effectiveness of different government policies to prevent the emergence of banking crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks, government injection of money into the banking system through credit lines, the creation of a buffer and taxes on financial transactions (the Tobin tax). We illustrate the trade-off between these policies and derive policy implications.     

Developing and testing a global model to explain the adoption of websites by users in rural tourism accommodations

This article analyzes the factors determining the intention to use the websites of the rural tourism accommodations to search for information and to make online reservations. Based on the Technology Acceptance Model (TAM), a model is developed to explain the intention to use the websites, incorporating as explanatory variables the perceived usefulness and perceived ease of use (basic variables of the TAM) and the following key attributes of tourism websites: information, interactivity, and navigability. The results of a sample of 1083 users indicate that (1) the perceived usefulness is the main direct antecedent of the intention to use the websites to search for information and make online reservations, and that (2) information on the accommodation and destination positively influences the perceived usefulness, whereas both the interactivity and navigability have a positive effect on the perceived ease of use of the websites.     

Uncertainty about Government Policy and Stock Prices

We analyze how changes in government policy affect stock prices. Our general equilibrium model features uncertainty about government policy and a government whose decisions have both economic and noneconomic motives. The model makes numerous empirical predictions. Stock prices should fall at the announcement of a policy change, on average. The price decline should be large if uncertainty about government policy is large, and also if the policy change is preceded by a short or shallow economic downturn. Policy changes should increase volatilities and correlations among stocks. The jump risk premium associated with policy decisions should be positive, on average.     

Do CEOs Matter? Evidence from Hospitalization Events

Using variation in firms’ exposure to their CEOs resulting from hospitalization, we estimate the effect of chief executive officers (CEOs) on firm policies, holding firm-CEO matches constant. We document three main findings. First, CEOs have a significant effect on profitability and investment. Second, CEO effects are larger for younger CEOs, in growing and family-controlled firms, and in human-capital-intensive industries. Third, CEOs are unique: the hospitalization of other senior executives does not have similar effects on the performance. Overall, our findings demonstrate that CEOs are a key driver of firm performance, which suggests that CEO contingency plans are valuable.