The record number of fifty-point daily moves in the Dow Jones Industrial Average in 1996 - forty-five in the first three quarters alone - has attracted considerable media attention. An analysis traces this phenomenon to two basic causes: the record level of the Dow and the return of price...

The record number of fifty-point daily moves in the Dow Jones Industrial Average in 1996--forty-five in the first three quarters alone--has attracted considerable media attention. An analysis traces this phenomenon to two basic causes: the record level of the Dow and the return of price...

Despite the fact that over 50 percent of all corporate bonds have different ratings from Moody's and Standard and Poor's at issuance, most bond pricing models ignore these differences of opinion. Our work compares a number of different methods of accounting for split ratings in estimating bond...

This paper develops a model of macroeconomic forecasting in which a forecaster's wage is a function of his accuracy as well as the publicity he generates for his firm by being correct. In the resulting Nash equilibrium, forecasters with identical models, information, and incentives nevertheless...

This paper develops a model of macroeconomic forecasting in which the wages firms pay their forecasters are a function of their accuracy as well as the publicity they generate for their employers by being correct. In the resulting Nash equilibrium, forecasters with identical models, information,...

The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these contracts, replacing physical transfers...

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market portfolio during the credit event....