Discussion Papers

We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market...

We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external...

In this paper, we document how European companies can use financial tunnelling to the disadvantage of minority shareholders, despite improved...

The Combined Code of Corporate Governance, that was introduced in the UK in 1998, is widely regarded as an international benchmark for good corporate...

Our objective was to study the need for regulating hedge funds, using existing regulatory approaches and our own models as a frame of reference. Our...

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle...

This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates...

Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation...

Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...

Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks...

In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first...

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily...

This paper is about the problem of trust in public and private pensions. Trust is largely a problem of credibility and whether we can reasonably...

This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...