Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
Do Reuters Spreads Reflect Currencies' Differences in Global Trading Activity?DP
A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing...
Sterilized Central Bank Intervention in the Foreign Exchange Market
In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...
An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...
Default and Renegotiation: A Dynamic Model of Debt
We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study...
Product Market Competition and Optimal Debt Contracts: The Limited Liability Effect Revisited
This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...
Capital Budgeting and Stock Option Plans
Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...
The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behaviour
This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...
Economics of Takeover Regulation
This paper provides an economist's guide to the regulation of public tender offers. It argues that the common interpretation of takeovers as solely...
A New Bankruptcy Procedure That Uses Multiple Auctions
We propose a new bankruptcy procedure, that makes use of multiple auctions. The procedure is designed to work even when capital markets do not...
On Bounded Rationality and Risk Aversion
Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility
We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...
Non-Linear Time Series with Long Memory: A Model for Stochastic Volatility
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Soft Budget Constraint and Stock Price Information
This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...
Blocks, Liquidity and Corporate Control
The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...
