Discussion Papers
A Variance Decomposition for Stock Returns
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns. A vector...
The Effects of Inflation and Interest Rates on Stock Returns: Evidence From Three Centuries of UK Data
Using data since 1700, this paper finds that:- (i) The oft-cited negative correlation between expected inflation and stock returns is confined to the...
Optimal sure portfolio plans
This paper is a sequel to [2], where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was...
Certainty equivalence in the continuous-time portfolio-cum-saving model
A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process...
Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan...
Reversions of Excess Pension Assets After Takeovers
This paper evaluates pension asset revisions as a source of takeover gains. Within two years following a hostile takeover, pension funds were reverted...
The Economic Effects of Franchise Termination Laws
It is commonly argued that state laws restricting franchise terminations increase the costs of controlling free-rider problems within franchise...
Pitfalls in Testing For Explosive Bubbles in Asset Prices
Rational bubbles in stock prices are not reliably detectable through the use of standard tests to determine whether stock prices are "more explosive"...
Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons From Japan
The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three...
Contracts to Sell Information
When information is sold, there is often a reliability problem since anyone can claim to have superior knowledge. Optimal strategies which allow a...
Evidence of Risk Premia In Foreign Currency Future Markets
This paper describes tests for time-varying risk premia associated with foreign currency futures positions. Empirical implementation with daily data...
Long-Term Financial Contracts May Mitigate the Adverse Selection Problem in Project Financing
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Price Flexibility, Credit Availability and Economic Fluctuations: Evidence From the United States, 1894-1909
The importance of disturbances in financial markets for real economic activity and the positive association between price level and output movements...