Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model: Germany, Japan and USA
This paper presents a series of empirical tests of the traditional Consumption Based Capital Asset Pricing Model using data from the German, Japanese...
Auditor Performance, Implicit Guarantees and the Valuation of Legal Liability
Liability exposure is now such a major concern for auditors that any discussion of equilibrium audit fee structures needs to take account of the expec...
Multiple Banking as a Commitment Not To Rescue
The existence of multiple banking in the German "Hausbank" system is explained by a commitment problem on the side of the banks. Banks are faced with...
Credit Cycles
This paper is a theoretical study into how credit constraints interact with aggregate economic activity over the business cycle. We construct a model...
Credit Markets and Real Economic Activity: A Model of Financial Intermediation
This paper considers a model of financial intermediation based on the existence of a moral hazard problem in the choice of investment projects by a...
Speculative Market Structure and the Collapse of an Exchange Rate Mechanism
A salient feature of recent currency speculations in the European Exchange Rate Mechanism is that the speculators can be big strategic players in the...
Liquidity Shortages and Inefficient Bank Lending
This paper develops a simple model of bank lending and liquidity shortages. Firms borrow from banks in the form of long term renegotiable deposit...
Implicit Contracts, Optimal Union Power and Takeovers
Facing a powerful union enables a firm to obtain more wage flexibility and increases the workers' investment. Hence, when the firm must invest, there...
Collusive Arrears in Transition Economies
In a transition economy with a rigid production structure and a core of unredeemable enterprises, a restrictive credit policy may result in a Laffer...
Determinants of Price Quote Revisions on the London Stock Exchange
This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two week...
Closure Rules, Market Power and Risk-Taking in a Dynamic Model of Bank Behaviour
The value of bank charters is an important component of bankruptcy costs to bankers and may constitute an incentive for banks to adopt prudent...
State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach
Derivative assets analysis usually takes a model of the underlying price process as given and attempts to value derivative securities relative to that...
Modelling Implied Volatility with OLS and Panel Data Models
This paper proposes an empirical estimation of implied volatility using OLS regression, Error Components, and Dummy Variable models, by regressing the...
An Index of Co-Movements in Financial Time Series
Financial indices are constructed to capture the strong common variation in a large number of financial time series. Often, these measures are also of...
The Permanent and Transitory Components of Corporate Earnings
This paper analyses a model in which earnings equal the sum of permanent and transitory components. The two components are estimated from the time...
