The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
Dealers are suppliers of liquidity: in this respect their role is similar to that played by speculators in auction markets. However, dealers are a...
The aim of the paper was to present a theoretical explanation of the effect of the mimetic contagion on the dynamics of the market price of a...
The paper studies under what conditions the value of the firm occasionally increases for a while before it suddenly drops, like a "bubble". We...
This study investigates the effect of two predictor variables, the term spread and the dividend yield, on stock returns for 15 countries. It finds...
Interest in UK corporate/gilt yield spreads has been heightened recently by sharp increases in both domestic and eurosterling spreads. There is a...
Troubled debtor countries do not gain by repurchasing external bank debt at market discount, even if a buyback would stimulate investment by relieving...
We develop a theory of optimal capital structure based on the idea that debt equity differ in their priority status relative to future corporate cash...
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This paper computes perfect foresight stock prices for 248 stocks on the UK stock market 1955-74. By comparing actual and perfect foresight dividend...
High frequency stock returns may show mild positive autocorrelation because of non-trading. However in a noise traders model the degree of...
The importance of the term structure of real interest in determining the sign and the magnitude of the equity premium has received little attention in...
