Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were...

Assets and liabilities management practices currently in use are reviewed. Some of the improvements currently under development are presented. Potential problems in the application of current ALM techniques to universal banks are considered

This paper develops and tests the notion that it is possible to use the post-announcement prices from the stock and option markets to infer both the probability of success and timing of an attempted takeover. Using a sample of 65 cash tender offers from the period January 1980 to July 1989, we...

This paper presents a characterization of callable bond pricing and call decision when there are transactions costs. When capital structure is kept constant a firm that has outstanding callable bonds refinances them with similarly structured callable bonds. Since refinancing is costly, firms...

Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing pricing kernel implies the existence of a trading strategy in contingent claims that stochastically dominates a direct investment in the market. Moreover, a market is assumed to be efficient only if no...