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作者：Pfleiderer, Paul
作者单位：Stanford University
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作者：Dybvig, Philip H.; Huang, Chi-fu
作者单位：Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
摘要：A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. These conclusions do not depend on whether markets are complete.
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作者：Dothan, Michael U.
作者单位：University of Minnesota System; University of Minnesota Twin Cities
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作者：Admati, Anat R.; Pfleiderer, Paul
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作者：Noe, Thomas H.
作者单位：University System of Georgia; Georgia State University; University System of Georgia; Georgia Institute of Technology
摘要：In this article we model the financing decisions of a firm as a sequential signaling game. We prove that, when insiders have perfect information regarding the firm's future cash flows, the application of refinements to the set of admissible equilibria leads to the dominance of debt over equity financing. However, we show that when insiders observe the firm's cash flows imperfectly, there may exist sequential equilibria in which this 'pecking order breaks down and some firms strictly prefer equ...
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作者：Jorion, Philippe
作者单位：Columbia University; Northwestern University
摘要：This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontinuities, even after allowing for conditional beteroskedasticity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally...
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作者：Kamara, Avraham
作者单位：University of Washington; University of Washington Seattle
摘要：Earlier studies report significant price disparities between futures and forward or spot markets. Examining the Treasury-bill markets, this article demonstrates that differences in market trading structures explain these disparities. Treasury-bill futures rates contain significantly lower liquidity and default premia than do synthetic forward rates. This reflects the functioning of a futures' clearing association and differences between an open-outcry auction futures market and an over-the-cou...
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作者：Lakonishok, Josef; Smidt, Seymour
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.
