Reversions of Excess Pension Assets After Takeovers
This paper evaluates pension asset revisions as a source of takeover gains. Within two years following a hostile takeover, pension funds were reverted...
DP 68
Discussion Papers
The Economic Effects of Franchise Termination Laws
It is commonly argued that state laws restricting franchise terminations increase the costs of controlling free-rider problems within franchise...
DP 67
Pitfalls in Testing For Explosive Bubbles in Asset Prices
Rational bubbles in stock prices are not reliably detectable through the use of standard tests to determine whether stock prices are "more explosive"...
DP 65
Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons From Japan
The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three...
DP 62
Contracts to Sell Information
When information is sold, there is often a reliability problem since anyone can claim to have superior knowledge. Optimal strategies which allow a...
DP 61
Evidence of Risk Premia In Foreign Currency Future Markets
This paper describes tests for time-varying risk premia associated with foreign currency futures positions. Empirical implementation with daily data...
DP 60
Long-Term Financial Contracts May Mitigate the Adverse Selection Problem in Project Financing
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DP 59
Price Flexibility, Credit Availability and Economic Fluctuations: Evidence From the United States, 1894-1909
The importance of disturbances in financial markets for real economic activity and the positive association between price level and output movements...
DP 58
Default and Renegotiation: A Dynamic Model of Debt
This paper considers a situation where an entrepreneur borrows funds from a creditor (e.g. a bank) to finance an investment project. The project will...
DP 57
Bursting Bubbles and Bleeding Bulls: Does the Evidence Support the Rhetoric?
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DP 56
An Economic Evaluation of Insolvency Procedures in the United Kingdom: Does the 1986 Insolvency Act Satisfy the Creditor's Bargain?
The creditors' bargain view of insolvency law argues that solvency state rights should be preserved in insolvency states. It argues that insolvency...
DP 55
Risk, Gordon's Growth Model and the Predictability of Stock Market Returns
This paper measures risk by using proxies based on lagged squared returns, the GARCH -M model and consumption correlatedness. It finds :-
(i) Even...
DP 49
Price Competition Between Market Makers
The paper models explicitly the price competition in financial markets, where prices are quoted by competing dealers (market makers) before future...
DP 52
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is formulated in which the vector process...
DP 53
