One theoretical implication of cointegration, according to Granger (1986), is that asset prices in an efficient market cannot be cointegrated. Using price data on US Treasury STRIPS with maturities from 2/15/1997 to 8/15/2015, it is found that a set of three STRIPS series is often cointegrated....

In China, land is reallocated on either a full-scale or a partial basis. By employing a unique farm survey that deliberately draws a distinction between full-scale and partial land reallocations, and by decomposing their respective expropriation risk effects, we find that the significantly...

This paper examines how fiscal incentives affect the policy choices of local governments in the context of China. Based on exogenous changes in the intergovernmental revenue sharing scheme, we construct a simulated instrumental variable to resolve the endogeneity problem. We find evidence that...

According to total factor productivity trends in Chinese agriculture, China achieved productivity gains both when collectivising (1954-58) and when decollectivising (1979-84) its agriculture. If the productivity gains from decollectivisation were due mainly to eliminating the incentive problems...

The last 30 years have witnessed an enormous growth in fixed-income markets. How long-term fixed-income strategies should be implemented for the welfare of investors has become a major concern of bond managers. This study makes use of stochastic optimal control to formulate a multi-period...

We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external finance is costly, the firm holds a liquid (cash) reserve to help survive periods of poor business conditions. Holding liquid assets inside the...

We solve for a firm's optimal cash holding policy within a continuous time, contingent claims framework using dividends, short-term borrowing, and equity issues as controls assuming mean reversion of earnings. Optimal cash is non-monotone in business conditions and increasing in the level of...

We discuss the efficiency of the binomial option pricing model for single and multivariate American style options. We demonstrate how the efficiency of lattice techniques such as the binomial model can be analysed in terms of their computational cost. For the case of a single underlying asset...

This paper solves for a firm's optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate most of the significant contracting frictions that have been identified in the corporate finance literature. Under the optimal policy the firm...