Discussion Papers

This paper investigates the relationship between a CEO’s social network, firm identity, and firm performance. There are two competing theories that...

This paper presents a general equilibrium analysis on the interactions between pen- sion plan funding, capital structure, technology choice and the...

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 presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model...

This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in the aggregate stock market that...

We study how the presence of multiple participation opportunities coupled with individual learning about payoffs affects the ability of agents to...

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

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...

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...

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...