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...
Certainty equivalence in the continuous-time portfolio-cum-saving model
A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process...
Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan...
Reversions of Excess Pension Assets After Takeovers
This paper evaluates pension asset revisions as a source of takeover gains. Within two years following a hostile takeover, pension funds were reverted...
The Economic Effects of Franchise Termination Laws
It is commonly argued that state laws restricting franchise terminations increase the costs of controlling free-rider problems within franchise...
