We study the forecasting performance of the Fourier volatility estimator in the presence of microstructure noise. Analytical comparison and simulation studies indicate that the Fourier estimator significantly outperforms realized volatility type estimators in particular for high frequency data...

We analyze the classical asset pricing model assuming non fully rational agents. Agents forecast future prices cum dividend through an adaptive learning rule. This assumption provides an explanation of some anomalies encountered in the empirical analysis of asset prices under full rationality:...

The paper studies the motivations behind banks' shareholding of non-financial firms using a panel of large Italian companies in the period 1994-2000. Empirical evidence shows that banks are shareholders of companies that are less profitable, have experienced slower growth, are more indebted and...