Discussion Papers

Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...

Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...

We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational...

Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant...

It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...

We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...

This paper studies corporate risk management in a context with financial constraints and imperfect competition on the product market. We show that the...

Many if not most markets with network externalities are two-sided. To succeed, platforms in industries such as software, portals and media, payment...

This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...

This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...

We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...

This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...

This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...

Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...

This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...