This paper uses Reuters exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models as well as models in tick time to study the dynamic relations between the quotes of individual...

In this paper, we consider a Kyle type model of insider trading. We show that: i) there exists a unique equilibrium independently of the distribution of uncertainty; ii) this equilibrium minimizes the expected gains of the insider under incentive compatibility constraints. We extend our results...

This paper studies the design and valuation of debt contracts in a general dynamic setting under uncertainty. By incorporating some insights of the recent corporate finance literature into a valuation framework, we obtain a model which seems promising for the empirical study of pricing of risky...

This paper analyses bidding behaviour in the Mexican Treasury debt auction for the period 1986-9. Auction rules closely resemble those of the US Treasury auction: bidders submit multiple bids for multiple units. The majority of purchased quantities are immediately resold. Results suggest...

Creditors often share their information about their customers' credit record, directly or via information brokers such as credit bureaus and rating agencies. Besides helping them to spot bad risks, this informational exchange acts as a disciplinary device. If creditors are known to exchange data...

This paper studies the effect of debt renegotiation on the design of optimal loan arrangements in a model of borrowing and lending with asymmetric information. The optimal form of finance is a standard debt contract with a bankruptcy clause that acts as a payment incentive. Debt renegotiation...