Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses contract theory to analyze the interplay of residual claims and control rights in private pensions. The residual claimant is the plan sponsor in a...

One of the most important findings in empirical finance has been the fact that returns are not i.i.d. Predictability, or time variation in the conditional distribution of returns, is one of the basic ingredients of asset pricing and portfolio choice models nowadays. Under the current renewed...

The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requirements for internationally active (and other significant) banks. These will replace the relatively risk-invariant requirements in the current Accord. This article examines the implications of this...

This paper solves an empirically parameterised model of life-cycle consumption which extends the precautionary savings models of Carroll (1997), and Deaton (1991), to allow for uncollaterized borrowing and default. In case households choose to default: (i) their access to credit markets is...

We perform a comprehensive test of order choice theory from a sample period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders we distinguish order type (market vs. limit), order side...

This paper solves an empirically parameterized model of households’ optimal demand for nominal and inflation indexed annuities. The model incorporates mortality, inflation, and real interest rate risk. The model draws some interesting predictions. First, the welfare calculations on the access...

Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive relationship between coverage and ex post risk (accident probability). On the other hand, some recent empirical studies find either negative or no...

This paper shows how separation of ownership and control may arise as a response to overload costs, despite agency costs, and how conglomerates arise as solution to information asymmetries in capital markets. In a context where entrepreneurs have the ability to run projects and improve their...

This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper...

In this paper we develop a new model of growth accounting and use it to analyse the long-term growth of the US and the USSR. The technique is designed to capture the indirect or "feedback" contributions of technological change and labour input growth. These indirect contributions arise from the...