This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for...

This paper shows that standard corporate finance theory implies that there is potentially a trade off between the variances of dividends and equity prices. We show how the trade off works in a stochastic difference equation model of dividend policy demonstrating that the solution may be unstable...

We perform a comprehensive test of order choice theory from a sample period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders we distinguish order type (market vs. limit), order side...

We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of financial claims held by the venture capitalist and entrepreneur depend on the market structure. Beside, different market structures involve different...

This paper considers the impact of financial contracting on growth by exploring a model where entrepreneurs initially do R&D but subsequently need both outside investors to provide funds for capital investments and outside mangers to operate the firm efficiently some time after assets are in...

This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps. Jump arrival times are described as an...

Pension reform is widely seen as essential in order to defuse the difficulties EU governments would otherwise face in respect of their social security pension systems in a context of population ageing. Particularly when such reform involves funding of future pensions, it may have radical...

The financial crises of the past year have put the issue of financial regulatory structure on the front burner of public policy for the first time in many years, making possible reforms on a scale not imaginable since the Great Depression. Dramatic increases in market volatility, unprecedented...

 

My first-ever essay into quasi-independent research involved an attempt to understand, explain and even possibly extend G.L.S. Shackle’s model of decision-making under uncertainty.  Undergraduates at Cambridge who had done well in Part 1 of the Economics Tripos were encouraged to participate...