Discussion Papers

This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in the aggregate stock market that...

We study how the presence of multiple participation opportunities coupled with individual learning about payoffs affects the ability of agents to...

Over the last 25 years, labor income inequality has increased significantly; one may expect this would lead to significant increases in wealth and...

A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and...

This paper studies the effect of deregulation and increased product market competition on the compensation packages that firms offer to their...

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...

The purpose of this report, which was commissioned by the London Stock Exchange, is to examine the recent development of AIM as a stock market for...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted...

This report presents two of our investigations: one is to obtain an accurate forecast for the corporate bankruptcy; the other is to obtain a physical...

A substantial literature addresses the negative effect on welfare of the release of information in a competitive market economy. We show that the...

Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...

We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...

The paper analyzes the existence and impact of financing constraints as a possibly serious obstacle to innovation by firms. Direct measures of...

This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...

A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This...