Discussion Papers
Using Time Series Methods to Assess Information And Inventory Effects in a Dealer Market in Il-liquid Stocks
The purpose of this paper is to test for the existence of inventory control and asymmetric information in stock market price quotes, and then quantify...
Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the...
Dividend Variability and Stock Market Swings
This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when...
The Optimal Size of a Bank: Costs and Benefits of Diversification
This paper provides a theory of diversification and financial structure of banks. It shows that by diversifying the bank portfolio and financing it...
Trading Volumes and Transaction Costs In the Foreign Market - Evidence from Daily Dollar-Yen Spot Data
A Generalized Method of Moments estimation of the determinants of dollar/yen bid–ask spreads is undertaken. In particular, a long time-series of daily...
The Dynamics of Default and Debt Reorganization
This article documents the fact that when debtors decide to default on their obligations too early, it is in the creditors’ collective interest, as...
The Governance of Exchanges: Members' Co-operatives Versus Outside Ownership
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Entrepreneurial Wealth, The Level of Investment and Credit Policy
Empirical evidence suggests that capital market constraints prevent low-wealth individuals from setting up in business. This may be attributable to...
Investment Trap
To what extend can optimal contracts and renegotiation designs alleviate equity market failure due to asymmetric information and transactions costs...
The Decision to go Public: An Overview
The paper reviews firms' motives for seeking publicly traded rather than privately held finance. Factors that play a role are the need to provide a...
Dynamic Banking: A Reconsideration
Financially Intermediated and Stock Market consumption-investment allocations, with and without governmental interventions, are compared in a welfare...
Fiscal Policy and the Sub-Optimality of the Walsh Contract for Central Bankers
We develop a model of monetary and fiscal policy where the time inconsistency of optimal monetary policy is due to the effects of tax distortions. If...
Option Pricing with a Quadratic Diffusion Term
Several authors have derived closed-form option prices in models where the underlying financial variable follows a diffusion process with the...
What is the Central Bank's Game?
In this paper we, first, by explicitly taking account of the private sector's influence and pressure on the monetary authorities, provide a more...
Why Higher Takeover Premia Protect Minority Shareholders: Tender Offers When Dilution is Endogeneous
The combination of post-takeover moral hazard by the bidder and free-riding by the target shareholders leads the former to acquire in a tender offer...