Discussion Papers

This paper analyses a model in which earnings equal the sum of permanent and transitory components. The two components are estimated from the time...

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In this paper, we argue that there may be a contradiction in the use of nominal interest rates to defend a parity in a fixed exchange rate system. The...

This paper begins by noting that Leland's (1992) results on the effects of insider trading are not robust to the introduction of some noise in the...

A derivative asset is a security whose terminal pay-off depends entirely on the price of one or more underlying assets. Call and put options on a...

In 1986 Ho/Lee presented a discrete-time binomial model of the stochastic movements of the term-structure of interest-rates. It has since been...

We contrast equilibria in loan markets under bilateral bank-borrower relationships, in which proprietary technological knowledge of borrowers is not r...

We analyze optimal schemes for privatization in a transitional economy. In many cases, established Western firms are good candidates for large...

The stability of the EMS depends crucially on realignment expectations of the market participants. In this paper we discuss how to measure such...

We develop a model in which there is conflict of interest between the management and the shareholders of an organization. Incompleteness of contracts...

This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for...

Within the context of takeovers this paper shows that in private auctions the optimal individually rational strategy for a bidder with partial...

The assumption of the Arbitrage Pricing Theory can be formulated in terms of the variance matrix V of the returns on a finite or infinite set of asset...

In a tender offer by a value increasing raider, voting shareholders face a free-rider problem. However, when they are not atomistic, they do not...

In an overlapping generations model each generation invests a given budget into a portfolio consisting of risky shares and a riskless asset. In each...

Inter-Dealer trading is an important but rarely discussed aspect of many financial markets. This paper allows for trading between market makers on the...