Discussion Papers

A common argument in recent debates on the prosecution of insider trading has been that outsider stay away from markets with inside activity because...

The deregulation of financial markets and the liberalization of international capital flows raises a number of challenging issues. Market participants...

The paper studies the existence of equilibrium in price setting oligopoly. In particular, the question is addressed whether the non-existence of pure...

In markets, in which exchange requires costly search for trading partners, intermediaries can help to reduce the trading frictions. This intuition is...

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This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns. A vector...

Using data since 1700, this paper finds that:- (i) The oft-cited negative correlation between expected inflation and stock returns is confined to the...

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...

A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process...

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...

This paper evaluates pension asset revisions as a source of takeover gains. Within two years following a hostile takeover, pension funds were reverted...

It is commonly argued that state laws restricting franchise terminations increase the costs of controlling free-rider problems within franchise...

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Rational bubbles in stock prices are not reliably detectable through the use of standard tests to determine whether stock prices are "more explosive"...

The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three...