European Summer Symposium in Financial Markets

CEPR’s European Summer Symposium in Financial Markets was held at the Studienzentrum Gerzensee on 13/24 July 1998. The organizers were Philippe Bacchetta (Studienzentrum Gerzensee, Université de Lausanne and CEPR), Marco Pagano (Università di Salerno and CEPR), Rafael Repullo (CEMFI, Madrid, and CEPR) and Ernst-Ludwig von Thadden (Université de Lausanne and CEPR). The papers covered, inter alia, issues of credit risk, asset management and pricing, price discovery and market design, and internal capital markets.

The following papers were presented:

‘Term Structure, Non-neutral Inflation and Economic Growth: A Three-factor Model’
Andrea Berardi (London Business School)

‘Fickle International Investors: An Impediment to Growth?’
Andrew Scott (London Business School and CEPR) and
Harald Uhlig (CentER, Tilburg University, and CEPR)

‘Bidder Behaviour in Multiple Unit Auctions: Evidence from Swedish Treasury Auctions’
Kjell G Nyborg (London Business School)
Krystian Rydqvist (Universitetet i Oslo) and
Suresh Sundaresan (Columbia University)

Modelling Term Structures of Defaultable Bonds’
Darrell Duffie (Stanford University) and
Kenneth Singleton (Stanford University)

‘Term Structures of Credit Spreads with Incomplete Accounting Information’
Darrell Duffie (Graduate School of Business, Stanford) and
David Lando (Københavns Universiteit)

‘Pricing Credit Risk Derivatives’
Philipp J Schönbucher (Universität Bonn)

‘A Comparative Study of Structural Models of Corporate Bond Yields’
Ronald Anderson (IRES, Université Catholique de Louvain, and CEPR) and
Suresh Sundaresan (Columbia University)

‘Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design’
Jean-Paul Décamps (GREMAQ-IDEI, Université de Toulouse) and
Antoine Faure-Grimaud (London School of Economics and CEPR)

‘The Dynamics of Equity Prices in Fallible Markets’
Peter Bossaerts (California Institute of Technology)

‘Performance Measures for Dynamic Portfolio Management’
Lars Tyge Nielsen (INSEAD, Fontainebleau, and CEPR) and
Maria Vassalou (Columbia University and CEPR)

‘Portfolio Selection with Randomly Time-Varying First and Second Moments: The Role of the Instantaneous Capital Market Line’
Lars Tyge Nielsen (INSEAD, Fontainebleau, and CEPR) and
Maria Vassalou (Columbia University and CEPR)

‘Optimal Consumption and Portfolio Selection with Stochastic Differential Utility and Stochastic Investment Opportunity Set’
Mark Schroder (Michigan State University) and
Costis Skiadas (Northwestern University)

‘How Does Information Quality Affect Stock Returns? Results from a Dynamic Model of Learning’
Pietro Veronesi (University of Chicago)

‘Who Should Buy Long-Term Bonds?’
John Y Campbell (Harvard University) and
Luis M Viceira (Harvard University)

‘Evaluating Portfolio Performance with Stochastic Discount Factors’
Magnus Dahlquist (IIES, Stockholm School of Economics, Duke University and CEPR) and
Paul Söderlind (Stockholm School of Economics and CEPR)

‘Why Do Markets React to Bank Loans? A Theory of Managerial Choice between Public and Private Financing’, Andres Almazan (University of Illinois) and
Javier Suárez (CEMFI, Madrid, and CEPR)

‘Is Relationship Lending Special? Evidence from Credit-File Data in Germany’
Ralf Elsas (Universität Frankfurt) and
Jan Pieter Krahnen (Institut für Kapitalmarktforschung, Johann Wolfgang Goethe – Universität Frankfurt)

‘Information Production, Dilution Costs, and Optimal Security Design’,
Paolo Fulghieri (INSEAD, Fontainebleau, and CEPR) and
Dmitry Lukin (INSEAD, Fontainebleau)

‘IPO Auctions’
Bruno Biais (Université des Sciences Sociales de Toulouse and CEPR) and
Anne Marie Faugeron-Crouzet (Université de Toulouse)

‘Price Discovery in Auction Markets: A Look Inside the Black Box’
Ananth Madhavan (University of Southern California, Los Angeles) and
Venkatesh Panchapagesan (University of Southern California, Los Angeles)

‘Market Rules and Order Strategies in the Context of the Preopening, Opening and Trading Day’
Chester S Spatt (Carnegie Mellon University 

‘Portfolio Considerations in Inventory Risk Management in Dealership Markets: Evidence from London Stock Exchange’
Narayan Y Naik (London Business School) and
Pradeep K Yadav (University of Strathclyde)

‘The More You See, The Less You Get: Price-Competing Insiders Under Different Trading Mechanisms’
Mark Flood (University of North Carolina, Charlotte)
Ronald Huisman (LIFE, Universiteit Maastricht)
Kees Koedijk (LIFE, Universiteit Maastricht)
Mathijs A van Dijk (LIFE, Universiteit Maastricht) and
Irma W van Leeuwen (LIFE, Universiteit Maastricht)

‘Indexation and Insurance: A Stochastic Model of Credit Cycles’
Nobuhiru Kiyotaki (London School of Economics) and
John Moore (London School of Economics and CEPR)

‘The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment’
Jeremy Stein (Sloan School of Management, MIT)

‘Corporate Focusing and Internal Capital Markets’
Frederik P Schlingemann (University of Pittsburgh)
René M Stulz (Ohio State University) and
Ralph A Walking (Ohio State University)

‘The Cost of Diversity: The Diversification Discount and Inefficient Investment’
Raghuram Rajan (University of Chicago)
Henri Servaes (University of North Carolina, Chapel Hill) and
Luigi Zingales (University of Chicago and CEPR)

‘Banking (Conservatively) With Optimists’
Michael Manove (Boston University and CEMFI, Madrid) and
A Jorge Padilla (CEMFI, Madrid, Boston University and CEPR)

‘A Near-Rational Model of Persuasion – With Implications for Financial Markets’
Peter M DeMarzo (University of California, Berkeley)
Dimitri Vayanos (Massachusetts Institute of Technology) and
Jeffrey Zwiebel (Stanford University)