Discussion Papers

This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...

This paper provides an economist's guide to the regulation of public tender offers. It argues that the common interpretation of takeovers as solely...

We propose a new bankruptcy procedure, that makes use of multiple auctions. The procedure is designed to work even when capital markets do not...

Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...

We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...

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This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...

The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...

This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...

In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...

This analysis extends the international evidence on initial public offerings (IPOs) to new issues in Germany between 1988 and 1995. Germany has been...

There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...

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...

This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as...

In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71...

From the viewpoint of a company's controlling shareholder, the optimal ownership structure generally involves some measure of dispersion, to avoid...