Previous estimates of a "size effect" based on daily returns data are biased. Several properties of quoted closing prices impart an upward bias to computed returns on individual stocks. Returns computed for buy-and-hold portfolios largely avoid the bias induced by closing prices. Based on such...

We derive a closed-form expression for the differences between forward and futures prices in the framework of a Lucas (1978) equilibrium model. We calculate this difference for fixed-income securities in two ways: 1. Using historic interest rate data to calibrate the matrix of nominal state...

Traditionally, monetary theory assumes money bears zero interest. More recently, it has been recognized that banks implicitly pay interest through providing free services. In this paper, the implicit interest rate is estimated from two different sources. Implicit interest appears to be about...

The usual approach to determine if market prices of uninsured bank liabilities reflect the risk of default is to regress the yield spread of bank debt against accounting measures of bank risk. To date these results have been mixed. Here we argue that this is because previous investigations lack...