Let ${\cal Q}$ be the set of equivalent martingale measures for a given process $S$, and let $X$ be a process which is a local supermartingale with respect to any measure in ${\cal Q}$. The optional decomposition theorem for $X$ states that there exists a predictable integrand $\varphi$ such...

Australia’s household sector appears to hold a greater proportion of its wealth in dwellings than do households in other countries. Average dwelling prices in Australia also appear to be high relative to household income, but dwellings in Australia are not noticeably higher in quality than...

This paper finds evidence that firms may manipulate their systematic risk. This contrasts with previously held views that changes in estimates of systematic risk were an artefact of the estimators used. The central finding is that firms take actions which result in their equity betas adjusting...

This paper presents a model of the Irish housing sector which has been created to nest within the Irish block of the ESCB multi-country model which is maintained in the Economic Analysis Research and Publications Department. The model consists of a demand and supply side and results from it are...

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market, where n...

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using th

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

While the existence of fixed costs in entering asset markets is the leading rationalization of the “participation puzzle” —the fact that most households do not hold stocks, despite the diversification gains and the significant risk-premium involved—, most motivations of these fixed costs...

This paper demonstrates that the optimal willingness to pay for a stock is the payoff from holding the stock for one period when investors have different expectations, and that the willingness to pay can be represented as the sum of the expected present value of future dividends and the expected...