Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Discussion Papers
Sep 2014
DP 21
Sebastien Lleo and Bill Ziemba
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has...
Discussion Papers
Aug 2014
DP 20
Albert N. Shiryaev, Mikhail N. Zhitlukhin and Bill Ziemba
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market....
Discussion Papers
Aug 2014
DP 19
Kyle Moore and Chen Zhou
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic...
Discussion Papers
Aug 2014
DP 18
Sebastien Lleo and Bill Ziemba
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash...
Discussion Papers
Jul 2014
DP 16
Calebe de Roure and Paolo Tasca
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows us to remove frictions that previously impeded the empirical demonstration of the law of one price...
Discussion Papers
Jul 2014
DP 15
Leonard C. MacLean, Yonggan Zhao and Bill Ziemba
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital. However, it has considerable short run risk since the utility is logarithmic, with essentially zero...
Discussion Papers
Jul 2014
DP 14
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their rights against issuers. Equity and debt securities are now normally held through a chain of custodians...
Discussion Papers
Jun 2014
DP 13
Gur Huberman and Rafael Repullo
We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral hazard problem leads to an excessive level of risk. Short-term debt may have a disciplining...
Discussion Papers
May 2014
DP 12
Ron Anderson and Karin Joeveer
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a critical review of the recent empirical literature on the supply and demand of collateral which has...
Discussion Papers
Apr 2014
DP 11
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty....

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