Historical events are reflected in asset prices. Looking at government bond prices of five European countries traded on the Swiss stock exchange during WWII provides a useful way of interpreting the importance attributed to various war events. We direct our attention to value changes in...

Economic research of the last decade linking macroeconomic fundamentals to asset prices has revealed evidence that standard intertemporal asset pricing theory is not successful in explaining (unconditional) ¯rst moments of asset market characteristics such as the risk-free interest rate, equity...

In this paper, we consider the determinacy of equilibrium prices, interest rate and income in an economy with liquidity constraints and capital accumulation. In particular, we show that, even though no extrinsic uncertainty affects fundamentals, under some conditions, rational expectations...

This paper studies the equilibrium dynamics of an overlapping generations model with capital, money and cash-in-advance constraints. At each date the economy can experience two different regimes. In the first one the cash-in-advance constraint is binding and money is a dominated asset. In the...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...

Hedge fund indices have grown in numbers over the recent years and made their presence widespread through a number of providers. Assets linked to hedge fund indices currently exceed $12 billion, and the debate is now focusing on whether they should be considered as eligible assets for UCITS III...

A central aspect of historical research is to provide explanations for the causes and effects of events that occurred in the past, in particular the Second World War. History can be analyzed and explained from different perspectives. Two such perspectives are considered, the first being the...

The question of the equipoise points and the net value of the option positions has a dominant meaning for every investor in option instruments. Practically both terms are the bearer of the most important information for each investor – where the threshold between the profit and the loss is and...