No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies...
Natural Oligopoly in Intermediated Markets
The industrial structure of an intermediation industry is analyzed, in brokerage markets, where intermediaries help to reduce search frictions. The...
A Heteroscedastic Factor Model of Asset Returns and Risk Premia With Time-Varying Volatility: An Application to Sixteen World Stock Markets
The empirical objective of this study is to account for the time-variation in the covariances between markets. Using data on sixteen national stock...
The After-Tax Divident-Ratio Model: Predictable Returns and Excess Returns in the Stock Market
An after-tax version of the fundamental value model is used to test for forecastability of one-period and multi-period after-tax stock returns and...
Uncertainty Resolution and the Timing of Annuity Purchases
This paper considers the question of why they annuity market is thin. A model is presented in which consumers have the option of purchasing annuities...
Insider Trading and the Allocation of Risks
A common argument in recent debates on the prosecution of insider trading has been that outsider stay away from markets with inside activity because...
Trading Systems in European Stock Exchanges
The deregulation of financial markets and the liberalization of international capital flows raises a number of challenging issues. Market participants...
Bertrand Edgeworth Competition with Non-Linear Prices
The paper studies the existence of equilibrium in price setting oligopoly. In particular, the question is addressed whether the non-existence of pure...
Intermediation in Search Markets
In markets, in which exchange requires costly search for trading partners, intermediaries can help to reduce the trading frictions. This intuition is...
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...
