The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market
Following Lawrence Harris' (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of...
DP 110
Discussion Papers
Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
DP 109
On The Preservation of Deterministic Cycles When Some Agents Perceive Them To Be Random Fluctuations
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
DP 111
Intertemporal Asset Pricing Without Consumption
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
DP 107
Does the CAPM Explain Why the Dividend Yield Helps Predict Returns?
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
DP 104
Auction Markets, Dealership Markets and Execution Risk
Dealers are suppliers of liquidity: in this respect their role is similar to that played by speculators in auction markets. However, dealers are a...
DP 102
Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion
The aim of the paper was to present a theoretical explanation of the effect of the mimetic contagion on the dynamics of the market price of a...
DP 101
Learning and the Value of the Firm
The paper studies under what conditions the value of the firm occasionally increases for a while before it suddenly drops, like a "bubble". We...
DP 99
The Effect of the Term Spread, Dividend Yield and Real Activity on Stock Returns: Evidence From 15 Countries
This study investigates the effect of two predictor variables, the term spread and the dividend yield, on stock returns for 15 countries. It finds...
DP 98
Credit Quality Spreads, Bond Market Efficiency and Financial Fragility
Interest in UK corporate/gilt yield spreads has been heightened recently by sharp increases in both domestic and eurosterling spreads. There is a...
DP 97
Sovereign Debt Repurchases: No Cure for Overhang
Troubled debtor countries do not gain by repurchasing external bank debt at market discount, even if a buyback would stimulate investment by relieving...
DP 94
A Theory of Corporate Financial Structure Based on the Seniority of Claims
We develop a theory of optimal capital structure based on the idea that debt equity differ in their priority status relative to future corporate cash...
DP 93
Shifting Gears: An Economic Evaluation of the Reform of the Paris Bourse
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DP 103
Cross-Sectional Volatility of Dividend Yields on the UK Stock Market
This paper computes perfect foresight stock prices for 248 stocks on the UK stock market 1955-74. By comparing actual and perfect foresight dividend...
DP 91
Feedback Traders and Stock Return Autocorrelations: Evidence From a Century of Daily Data
High frequency stock returns may show mild positive autocorrelation because of non-trading. However in a noise traders model the degree of...
DP 90
