We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...
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...
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...
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...
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...
We provide a model that links an asset’s market liquidity — i.e., the ease with which it is traded — and traders’ funding liquidity — i.e., the ease...
