Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is highly correlated with public information shocks and higher for longer maturity bonds. More importantly, we find that bond...

This paper investigates the financing behaviour of Dutch firms by testing whether a firm’s financing decisions are determined by certain factors identified in various theories. Since a firm’s financing decision is reflected in the changes of its leverage, our research focuses on the...

This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state Markov Switching Model is employed to model both recessions and expansions. For the United States and Germany, strong evidence is found that monetary policy is more effective in a recession than...

This paper uses the structural equation modeling (SEM) technique to empirically test the determinants of capital structure choice for Dutch firms. We include major factors identified by capital structure theories and construct proxies for these factors with consideration of specific...

The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term...

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model...

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...