Discussion Papers

This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...

A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...

We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...

The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...

Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-a-vis a...

This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the...

This paper develops a simple model of an international lender of last resort (ILOLR). The World economy consists of many open economies, each with its...

Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company. However...

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle...

This paper analyses the effect of asymmetric information between a firm and its outside investors on the firm's competitive position in a model where...

This paper examines the patterns of security returns around the trades of corporate insiders in the shares of their own company. We find patterns in...

We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment...

This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price...

This paper considers a two country economy similar to that in Obstfeld and Rogoff (1995). We build on their model by distinguishing between sticky...