Global listing of stocks has become a major topic in international capital markets. Many argue that the U.S. investor protection system discourages foreign firms from listing and raising capital in the U.S. However, there has recently been an increase in the number of foreign firms listing their...

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizon traders. When the price falls close to the trading limits of the short horizon...

Tick data on the S&P 500 futures contract and newswire searches are used to match events to large five minute stock price changes. 58 events that led to large stock price changes are identified between 1982 and 1999, 41 of which are directly or indirectly related to monetary policy. Many large...

In textbook theory, demand curves for stocks are kept flat by riskless arbitrage between perfect substitutes. In reality, however, individual stocks do not have perfect substitutes. The risk inherent in arbitrage between imperfect substitutes may deter risk-averse arbitrageurs from flattening...

This paper examines the contribution of Leonardo of Pisa [Fibonacci] to the history of financial mathematics. Evidence in Leonardo's Liber Abaci (1202) suggests that he was the first to develop present value analysis for comparing the economic value of alternative contractual cash flows. He also...

This paper proposes a dynamic multi-security model in which liquidity reflects stochastic variation, persistence, and commonality of underlying information variance. Illiquidity, price-change variance, and trading volume all increase in the size of information. Using high frequency data, I...

This paper examines governance explanations for the discount of preferred shares to common shares in th

This paper develops a tractable, dynamic, no-arbitrage model for the pricing of bonds and stocks that are subject to default risk. The model produces the bond pricing equations of the Duffie and Singleton (1999) framework. It is then shown that a particular choice of dividend process,...

A brief survey of the development of the study of risk and probability is given together with some basic observations on their application to insurance. This is followed with observations on the lack of appreciation of probability studies and an elementary feeling for probability by the public...