Underpricing and Crises - IPO Performance in Germany
This analysis extends the international evidence on initial public offerings (IPOs) to new issues in Germany between 1988 and 1995. Germany has been...
Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...
Index-Linked Debt and the Real Term Structure: New Estimates and Implications from the UK Bond Market
This paper takes a new look at the market for Index-Linked Debt in the U.K.. I begin by clarifying the theoretical links between the observed prices...
Maximum Likelihood Estimation of Stochastic Volatility Models
This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as...
Excessive Stock Price Dispersion: A Regression Test of Cross-Sectional Volatility
In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71...
The Choice of Stock Ownership Structure: Agency Costs, Monitoring and the Decision to Go Public
From the viewpoint of a company's controlling shareholder, the optimal ownership structure generally involves some measure of dispersion, to avoid...
IPO Signalling of Initial Owners' Private Benefits of Control
A signalling model is developed which demonstrates how the offer price and the proportion of shares sold through an issue of ordinary shares when a...
Optimal 'Soft' or 'Tough' Bankruptcy Procedures
This paper studies optimal financial contracts in a framework with asymmetric information. The key idea is that financial distress of a firm is not...
Turnpike Banking: Only the Meek Shall Inherit the Earth
We consider the transitions, among intragenerational (autarkic) and intergenerational financing and liquidity risk-sharing mechanisms, in an...
The Regulation of Predatory Firms
This article investigates the issue of predation by a regulated firm. Since it has private information, a regulated firm obtains higher rents in case...
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...
