In this paper we show that profitable market manipulation via trade is possible if prices perform an allocational role. If market prices affect the real value of an asset (e.g. because they contain information relevant to a firm's investment decisions), a potentially informed speculator may wish...

This paper provides an empirical analysis of the financial structure of large recent buyouts. We collect detailed information of the financings of 153 large buyouts (averaging over $1 billion in enterprise value). We document the manner in which these important transactions are financed. Buyout...

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial...

A recent report by Paul Myners for the UK Treasury has provided a wealth of information on the structure and operation of the pension fund industry in the UK. The report points to serious deficiencies in the governance of pension funds. These concerns are of considerable significance in their...

The 1989 Brady Plan, named after the former US Treasury Secretary Nicholas Brady, was the restructuring and reduction of several emerging countries' external debt into bonds with US Treasury bonds as collateral. So far no country has ever defaulted payments, yet the market value of these bonds...

Until 1970, the New York Stock Exchange prohibited public incorporation of member firms. After the rules were relaxed to allow joint stock firm membership, investment-banking concerns organized as partnerships or closely-held private corporations went public in waves, with Goldman Sachs (1999)...

In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...

In contrast to their role in theory options are in practice not only traded for hedging purposes. Many investors also use them for speculation purposes. For these investors the Black-Scholes price serves only as an orientaTion, their decisions to buy, hold or hedge an option are also based on...

We model and experimentally examine the board structure-performance relationship. We examine single-tiered boards, two-tiered boards, insider-controlled boards, and outsider-controlled boards. We find that even insider-controlled boards frequently adopt institutionally preferred rather than...

We consider the pricing of volatility products and especially volatility and variance swaps. Under risk-neutral valuation we provide closed form formulae for volatility-average and variance swaps. Also we provide a general partial differential equation for derivatives that have an extra...