An estimation of economic models with recursive preferences
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model...
Consistent estimation of the risk-return tradeoff in the presence of measurement error
This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in the aggregate stock market that...
Efficient dynamic coordination with individual learning
We study how the presence of multiple participation opportunities coupled with individual learning about payoffs affects the ability of agents to...
Inequality, stock market participation, and the equity premium
Over the last 25 years, labor income inequality has increased significantly; one may expect this would lead to significant increases in wealth and...
Executive compensation and competition in the banking and financial sectors
This paper studies the effect of deregulation and increased product market competition on the compensation packages that firms offer to their...
Parametric properties of semi-nonparametric distributions, with applications to option valuation
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...
Forecasting bankruptcy and physical default intensity
This report presents two of our investigations: one is to obtain an accurate forecast for the corporate bankruptcy; the other is to obtain a physical...
Efficient estimation of a semiparametric characteristic-based factor model of security returns
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted...
From local to global: the rise of AIM as a stock market for growing companies: a comprehensive report analysing the growth of AIM
The purpose of this report, which was commissioned by the London Stock Exchange, is to examine the recent development of AIM as a stock market for...
Value of information in competitive economies with incomplete markets
A substantial literature addresses the negative effect on welfare of the release of information in a competitive market economy. We show that the...
Strategic financial innovation in segmented markets
We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...
How deep is the annuity market participation puzzle?
Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...
Evaluating hedge fund performance: a stochastic dominance approach
We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...
Competition and opportunistic advice of financial analysts: theory and evidence
This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...
