This paper examines the issuance of share capital via the Vienna Stock Exchange between 1985 and 2004. Evidence is supplied concerning the aggregate factors that explain the time-series variation in both the numbers of and proceeds from initial public offerings (IPOs) and seasoned equity...

Inspired by findings of low–dimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the...

Existing models of corporate "short-termism" rely on an exogenously imposed, suboptimal management objective function. This paper endogenizes both managers' concern for short-term stock prices and the resulting distorsions. We consider a standard agency problem between corporate managers and...

Our strategy in this chapter is as follows: (a) use financial market data to estimate time-series models for dividend growth and discount rates, (b) use these models to simulate dividend growth and discount rate paths for a variety of possible economies that do not contain bubbles, (c) calculate...

This paper uses low frequency end-monthly data on the Nikkei stock market index and business cycle variables in Japan to examine the important determinants of variations in the volatility in the Nikkei stock market index.