[A firm's instantaneous probability of default is modeled as a translated square-root diffusion process modified to allow the process to be correlated with default-free interest rates. The parameters of the process are estimated for 161 firms. An extended Kalman filter approach is used that incorporates both the time-series and cross-sectional (term structure) properties of the individual firms' bond prices. The model is reasonably successful at fitting corporate bond yields, while key features of the term structures of yield spreads are captured in the signs and magnitudes of the resulting parameter estimates.]

In many real-world situations, agents must formulate option exercise strategies with imperfect information. In such a setting, agents may infer the private signals of other agents through their observed exercise strategies. The building of an office building, the drilling of an exploratory oil well, and the commitment of a pharmaceutical company toward the research of a new drug all convey private information to other market participants. This article develops an equilibrium framework for option exercise games with asymmetric private information. Many interesting aspects of the patterns of equilibrium exercise are analyzed. In particular, informational cascades, where agents ignore their private information and jump on the exercise bandwagon, may arise endogenously.

A firm's instantaneous probability of default is modeled as a translated square-root diffusion process modified to allow the process to be correlated with default-free interest rates. The parameters of the process are estimated for 161 firms. An extended Kalman filter approach is used that incorporates both the time-series and cross-sectional (term structure) properties of the individual firms' bond prices. The model is reasonably successful at fitting corporate bond yields, while key features of the term structures of yield spreads are captured in the signs and magnitudes of the resulting parameter estimates.

The prospect of introducing securitization to a novice — whether it be a newly minted graduate of business or law school, or a seasoned CFO of a corporation that is considering its first securitization — is daunting. The elegance of the theoretical concept becomes quickly mired in the interdependent demands of accounting, taxation, bankruptcy and securities laws, and the ever-changing contours of the investor marketplace as soon as the novice begins to ask questions. Successful completion of real-world securitization transactions requires not only cooperation among professionals in a variety of disciplines, but an intimate understanding of the parameters of those disciplines. The prospect of a primer that would provide a first glimpse of the contours of this terrain would be a welcome addition to the library of many a law firm, accounting firm, or investment bank. Alas, A Primer on Securitization, edited by Leon T. Kendall and Michael J. Fishman, is not that book. The primer is instead is a collection of essays by some of the pivotal players in the development of securitization over the last quarter century, drawn from an eight-week colloquium held in 1994 at the Kellogg Graduate School of Management at Northwestern University. Each has a vantage point. Each has war stories. Each brings the vocabulary of its author's discipline to the attention of the novice. The essays function as introductory material in the sense that they expose the novice reader to a number of perspectives and, in so doing, to the terms, phrases, and trains of thought inherent in each.

Journal Article Introductory Comments: Bloomfield and O'Hara, and Flood, Huisman, Koedijk, and Mahieu Get access Lawrence R. Glosten Lawrence R. Glosten Columbia University Address correspondence to Lawrence R. Glosten, Columbia Business School, Uris Hall, Room 614, Columbia University, 3022 Broadway, New York, NY 10027, or e-mail: [email protected]. Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 12, Issue 1, January 1999, Pages 1–3, https://doi.org/10.1093/rfs/12.1.1 Published: 01 June 2015

[In many real-world situations, agents must formulate option exercise strategies with imperfect information. In such a setting, agents may infer the private signals of other agents through their observed exercise strategies. The building of an office building, the drilling of an exploratory oil well, and the commitment of a pharmaceutical company toward the research of a new drug all convey private information to other market participants. This article develops an equilibrium framework for option exercise games with asymmetric private information. Many interesting aspects of the patterns of equilibrium exercise are analyzed. In particular, informational cascades, where agents ignore their private information and jump on the exercise bandwagon, may arise endogenously.]

[We investigate adaptive or evolutionary learning in a repeated version of the Grossman and Stiglitz (1980) model. We demonstrate that any process that is a monotonic selection dynamic will converge to the rational expectations asset demands if the proportion of informed traders is fixed. We also show that these learning processes have a unique asymptotically stable fixed point at the Grossman-Stiglitz (GS) equilibrium. The robustness of learning to noisy experimentation is studied using Binmore and Samuelson's (1999) deterministic drift approximation. Conditions on economic and learning process parameters for adaptive learning to lead to the GS rational expectations equilibrium are presented.]

The literature on conditional event-study methods criticizes standard event-study procedures as being misspecified if events are voluntary and investors are rational. We argue, however, that standard procedures (1) lead to statistically valid inferences, under conditions described in this article; and (2) are often a superior means of inference, even when event-study data are generated exactly as per a class of rational expectations specifications introduced by the conditional methods literature. Our results provide an equilibrium justification for traditional event-study methods, and we suggest how these simple procedures may be combined with conditional methods to improve statistical power in event studies.