This note extends earlier work on the effects of risk aversion on the preferences of duopolists to share information. It is shown that the common finding that Cournot duopolists prefer to share firm-specific information no longer obtains for some parameterizations. In particular, the greater the...

Relying on a simple general equilibrium model of the term structure, both nominal yields and real consumption growth rates can be shown to be a±ne in the unobservable state variables. We can then express real consumption growth rates in terms of nominal yields rather than the unobservable...

Our paper o�ers a minimalist model of a run on a financial market. The prime ingredient is that each risk-neutral investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the run, only the risk-averse market-making sector is willing to...

The apparent inconsistency between the Tobin Separation Theorem and the advice of popular investment advisors pointed out by Canner et al (1997) is shown to be explicable in terms of the hedging demands of optimising long-term investors in an environment in which the investment opportunity set...

We develop a real options model of R&D valuation, which takes into account the uncertainty in the quality of the research output, the time and cost to completion, and the market demand for the R&D output. The model is then applied to study the problem of pharmaceutical under-investment in R&D...

This paper presents a model of bidding strategies in takeovers in which initially uninformed bidders must incur costs to learn their valuations of a target. In the case the the bidders' valuations are independent, the first bidder may make a pre-emptive bid, well above the market price of the...

Over the past several years many researchers have empirically examined the issue of whether or not managerial earnings forecasts are more accurate than those prepared by security analysts. One result commonly found is that managerial forecasts which are released prior to analyst forecasts are at...

This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must be estimated using data on observables. To do so, we use ¯ltering methods to extract stochastic correlation...

Much concern has been expressed about the economic consequences of the high rate of merger and acquisition (M&A) activity. The total value of M&As in the United States in 1998 was $1.3 trillion. This was almost double the level of activity of the previous year. Is the accelerating rate of M&A...