Soft Budget Constraint and Stock Price Information
This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...
Blocks, Liquidity and Corporate Control
The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...
Default Risk in Asset Pricing
This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...
Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve
In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...
Underpricing and Crises - IPO Performance in Germany
This analysis extends the international evidence on initial public offerings (IPOs) to new issues in Germany between 1988 and 1995. Germany has been...
Rules v Discretion: The Case of Banking Supervision in the Light of the Debate on Monetary Policy
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Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...
Index-Linked Debt and the Real Term Structure: New Estimates and Implications from the UK Bond Market
This paper takes a new look at the market for Index-Linked Debt in the U.K.. I begin by clarifying the theoretical links between the observed prices...
Maximum Likelihood Estimation of Stochastic Volatility Models
This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as...
Excessive Stock Price Dispersion: A Regression Test of Cross-Sectional Volatility
In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71...
The Choice of Stock Ownership Structure: Agency Costs, Monitoring and the Decision to Go Public
From the viewpoint of a company's controlling shareholder, the optimal ownership structure generally involves some measure of dispersion, to avoid...
