The study tests Longstaff's martingale restriction on S&P 500 index options over the period 1990–1994. Assuming the S&P index follows a lognormal distribution results in systematic violations of the martingale restriction, the implied index value from options consistently overestimating the...

Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse...

We document that firms in eight East Asian countries and Japan diversify into more segments and engage into more related businessesas measured by the degree of vertical relatedness and complementaritythan firms in the USA. Using data for the 1990-6 period, we observe a trend towards...