Learning and the Value of the Firm
The paper studies under what conditions the value of the firm occasionally increases for a while before it suddenly drops, like a "bubble". We...
DP 99
Discussion Papers
The Effect of the Term Spread, Dividend Yield and Real Activity on Stock Returns: Evidence From 15 Countries
This study investigates the effect of two predictor variables, the term spread and the dividend yield, on stock returns for 15 countries. It finds...
DP 98
Credit Quality Spreads, Bond Market Efficiency and Financial Fragility
Interest in UK corporate/gilt yield spreads has been heightened recently by sharp increases in both domestic and eurosterling spreads. There is a...
DP 97
Sovereign Debt Repurchases: No Cure for Overhang
Troubled debtor countries do not gain by repurchasing external bank debt at market discount, even if a buyback would stimulate investment by relieving...
DP 94
A Theory of Corporate Financial Structure Based on the Seniority of Claims
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...
DP 93
Shifting Gears: An Economic Evaluation of the Reform of the Paris Bourse
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DP 103
Cross-Sectional Volatility of Dividend Yields on the UK Stock Market
This paper computes perfect foresight stock prices for 248 stocks on the UK stock market 1955-74. By comparing actual and perfect foresight dividend...
DP 91
Feedback Traders and Stock Return Autocorrelations: Evidence From a Century of Daily Data
High frequency stock returns may show mild positive autocorrelation because of non-trading. However in a noise traders model the degree of...
DP 90
The Term Structure and the Equity Premium Puzzle: A Note
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...
DP 89
Investor Sentiment and the Closed-End Puzzle
The purpose of the present paper is to evaluate empirically an explanation of the closed-end fund puzzle based on the idea that rational investors...
DP 88
The Aftermath of Hostile Takeovers
We examine what happens after each of 62 successful and unsuccessful hostile takeovers between 1984 and 1986. We find that post-takeover layoffs are...
DP 87
Are Financial Markets Chaotic? A Preliminary Study of the Foreign Exchange Market
The fluctuations of financial markets appear, in general, to be unpredictable in advance, and caused by the stochastic, chance arrival of 'news' and...
DP 86
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies...
DP 85
Natural Oligopoly in Intermediated Markets
The industrial structure of an intermediation industry is analyzed, in brokerage markets, where intermediaries help to reduce search frictions. The...
DP 83
