Discussion Papers

A derivative asset is a security whose terminal pay-off depends entirely on the price of one or more underlying assets. Call and put options on a...

In 1986 Ho/Lee presented a discrete-time binomial model of the stochastic movements of the term-structure of interest-rates. It has since been...

We contrast equilibria in loan markets under bilateral bank-borrower relationships, in which proprietary technological knowledge of borrowers is not r...

We analyze optimal schemes for privatization in a transitional economy. In many cases, established Western firms are good candidates for large...

The stability of the EMS depends crucially on realignment expectations of the market participants. In this paper we discuss how to measure such...

We develop a model in which there is conflict of interest between the management and the shareholders of an organization. Incompleteness of contracts...

This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for...

Within the context of takeovers this paper shows that in private auctions the optimal individually rational strategy for a bidder with partial...

The assumption of the Arbitrage Pricing Theory can be formulated in terms of the variance matrix V of the returns on a finite or infinite set of asset...

In a tender offer by a value increasing raider, voting shareholders face a free-rider problem. However, when they are not atomistic, they do not...

In an overlapping generations model each generation invests a given budget into a portfolio consisting of risky shares and a riskless asset. In each...

Inter-Dealer trading is an important but rarely discussed aspect of many financial markets. This paper allows for trading between market makers on the...

Presidential Lecture delivered by Mervyn King (Bank of England and London School of Economics), to the European Economic Association on 27th August...

The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of...

We model competition among middlemen who buy from sellers and sell to buyers. If middlemen compete in bid prices in the first stage, a Walrasian...

This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least squares...