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...
Default Risk in Asset Pricing
This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...
Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve
In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...
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...
