News Effects in a High Frequency Model of the Sterling-Dollar Exchange Rate
This paper uses an extremely high frequency data set on the Dollar-Sterling exchange rate to investigate the impact of news events on the very short...
Is The Foreign Exchange Market Characterised by Nonlinearity?
This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar...
Asymmetric Information and the Trade-Off Between Cash Flow and Net Present Value
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Dually-Traded Italian Equities: London vs. Milan
Italian blue chip stocks are now actively trade in two markets: the dealers' market of SEAQ International in London and the traditional auction market...
Asset Prices and Persistence in Fundamentals: A Vector Arma Estimation of Expectations Theories For Stocks and Bonds
The paper tests expectations theories for stock prices and interest rates by estimating a vector autoregressive moving average model. The existence of...
Actual and Warranted Relations Between Asset Prices
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do...
Convergence of Recursive Learning Mechanisms to Steady States and Cycles in Stochastic Nonlinear Models
We examine recursive algorithms for learning steady states and cycle in dynamic nonlinear models. Simple generically necessary and sufficient...
Venture Capital Finance With Temporary Asymmetric Learning
We analyse the nature of financial contracts in a passive learning environment where the arrival of information is private to the entrepreneur and...
The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market
Following Lawrence Harris' (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of...
Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
On The Preservation of Deterministic Cycles When Some Agents Perceive Them To Be Random Fluctuations
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
Intertemporal Asset Pricing Without Consumption
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
Does the CAPM Explain Why the Dividend Yield Helps Predict Returns?
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
Auction Markets, Dealership Markets and Execution Risk
Dealers are suppliers of liquidity: in this respect their role is similar to that played by speculators in auction markets. However, dealers are a...
Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion
The aim of the paper was to present a theoretical explanation of the effect of the mimetic contagion on the dynamics of the market price of a...
Learning and the Value of the Firm
The paper studies under what conditions the value of the firm occasionally increases for a while before it suddenly drops, like a "bubble". We...
