Discussion Papers

Over the last 25 years, labor income inequality has increased significantly; one may expect this would lead to significant increases in wealth and...

A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and...

This paper studies the effect of deregulation and increased product market competition on the compensation packages that firms offer to their...

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...

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...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted...

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...

A substantial literature addresses the negative effect on welfare of the release of information in a competitive market economy. We show that the...

Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...

We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...

This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...

A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This...

We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...

In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...