Product Market Competition and Optimal Debt Contracts: The Limited Liability Effect Revisited
This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...
Capital Budgeting and Stock Option Plans
Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...
The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behaviour
This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...
The Future of Financial Services Regulation Some Reflections from the Inside
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Economics of Takeover Regulation
This paper provides an economist's guide to the regulation of public tender offers. It argues that the common interpretation of takeovers as solely...
A New Bankruptcy Procedure That Uses Multiple Auctions
We propose a new bankruptcy procedure, that makes use of multiple auctions. The procedure is designed to work even when capital markets do not...
On Bounded Rationality and Risk Aversion
Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...
Forecast Biases in Value-at-risk Estimations: Evidence From Foreign Exchange and Global Equity Portfolios
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Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility
We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...
Non-Linear Time Series with Long Memory: A Model for Stochastic Volatility
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The Equivalence of Screen Based Continuous-Auction and Dealer Markets
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer...
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...
