An International Comparison of the Financing of Occupational Pensions
This paper analyses the varying scope of private funding of pensions, pension funds' investments and the risks and returns they obtained in the...
Strategy and Tactics of Monetary Policy: Examples from Europe and the Antipodes
While most Central Banks in Europe, and elsewhere, have been giving priority to the achievement of price stability for more than a decade, in recent...
An Index of Co-Movements in Financial Time Series
Financial indices are constructed to capture the strong common variation in a large number of financial time series. Often, these measures are also of...
The Permanent and Transitory Components of Corporate Earnings
This paper analyses a model in which earnings equal the sum of permanent and transitory components. The two components are estimated from the time...
The Instability of Fixed Exchange Rate Systems When Raising the Nominal Interest Rate is Costly
In this paper, we argue that there may be a contradiction in the use of nominal interest rates to defend a parity in a fixed exchange rate system. The...
Some Remarks on Leland's Model of Insider Trading
This paper begins by noting that Leland's (1992) results on the effects of insider trading are not robust to the introduction of some noise in the...
Portfolio Insurance and Volatility
A derivative asset is a security whose terminal pay-off depends entirely on the price of one or more underlying assets. Call and put options on a...
Continuous-Time Limits in the Generalised Ho/Lee Framework under the Risk-Neautral and Forward Measures
In 1986 Ho/Lee presented a discrete-time binomial model of the stochastic movements of the term-structure of interest-rates. It has since been...
Proprietary Information, Financial Intermediation and Research Incentives
We contrast equilibria in loan markets under bilateral bank-borrower relationships, in which proprietary technological knowledge of borrowers is not r...
Large Shareholders, Private Benefits of Control and Optimal Schemes for Privatization
We analyze optimal schemes for privatization in a transitional economy. In many cases, established Western firms are good candidates for large...
The Determinants of Realignment Expectations under the EMS: Some Empirical Regularities
The stability of the EMS depends crucially on realignment expectations of the market participants. In this paper we discuss how to measure such...
Auditor Independence, Incomplete Contracts and the Role of Legal Liability
We develop a model in which there is conflict of interest between the management and the shareholders of an organization. Incompleteness of contracts...
Round-the-clock Trading: Evidence from UK Cross-Listed Securities
This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for...
Overbidding in Takeover Contests
Within the context of takeovers this paper shows that in private auctions the optimal individually rational strategy for a bidder with partial...
