Financial markets are increasingly integrated globally. We examine the extent to which firms from countries around the world rely on different sources of capital, the locations where they raise capital, and the factors that affect these choices during the 1990-2001 period. International security...

Currently proposals are actively circulating in China to move to a unified enterprise tax structure with similar tax treatment of state-owned enterprises (SOEs), other private enterprises (OPEs) and foreign investment enterprises (FIEs). FIEs presently receive significant tax preferences through...

The question of whether and to what extent option trading impacts underlying stock prices has been a focus of intense interest since options began exchange-based trading in 1973. Despite considerable effort, no convincing evidence for a pervasive impact has been produced. A recent strand of...

There are a number of circumstances in finance where it is useful to estimate diffusion processes conditional on some event. In this paper, we develop the theoretical and numerical tools necessary to perform conditional estimation of diffusion processes within a generalized method of moments...

Open-end mutual funds realize a large fraction of their capital gains every year and pass them through to investors as taxable distributions. This behavior is surprising since the funds' existing shareholders would prefer to defer realization of the gains as long as possible. We examine the...

Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton (1997) and Ait-Sahalia (1996), employing nonparametric estimation...

The dynamics of the unobservable quot;shortquot; or quot;instantaneousquot; rate of interest are frequently estimated using a proxy. We show how the biases resulting from this practice (the quot;proxy problemquot;) are related to the derivatives of the proxy with respect to the short rate and...

The dynamics of the unobservable short rate are frequently estimated directly using a proxy. We examine the biases resulting from this practice (the quot;proxy problemquot;). Analytic results show that the proxy problem is not economically significant for single-factor affine models. In the...

Spread options are options whose payoff is based on the difference in the prices of two underlying assets. The price of a spread option is the (discounted) double integral of the option payoffs over the risk-neutral joint distribution of the terminal prices of the two underlying assets. Analytic...

The offering prices of 64 issues of a popular retail structured equity product were, on average, almost 8% greater than estimates of the products' fair market values obtained using option pricing methods. Under reasonable assumptions about the underlying stocks' expected returns, the mean...