Working Papers

This chapter analyzes the political dispute surrounding the 957 replacement of the Bank deutscher Lander by the Deutsche Bundesbank and the 1992 changes to the Bundesbank law necessitated by German unification. The evidence suggests that the…

We report an exploratory study of the process of price formation in a speculative market in the absence of liquidity traders. Traders exchange a futures contract because they interpret information differently. We formulate trading as a sequence…

This paper tests for price patterns in retail gasoline markets consistent with those predicted by models of implicit collusion among firms. Recent supergame models show that the highest supportable collusive price is a function of today’s profit…

Abstract not available.

Recent tests of the capital asset pricing model by Fama and French (1992) showed that there is no significant relationship between the average return and systematic risk of common stocks. We propose two econometric methods to improve the…

Many organizations are made up of other organizations that have decided to act collectively — as with research and development consortia, industrial alliances, trade associations, and formal political coalitioins. These collective action…

Political scientists have long been interested in the occupational decisions of politicians. At least two events prior to the 1992 congressional elections brought journalists and the broader public into emotion-rich but data-poor discussions of…

Small groups face special problems in purchasing health insurance. Among them, small employees are too small to spread the risks of high medical costs, to achieve economies of scale in administration , to manage competition among accountable…

Theory has been formulated that proposes research on the effects of industry variables on individual job mobility. I consider one such proposal — the possibility that the diversity of organizations affects the rate of job moves within and out of…

This paper develops a signaling model of competitive lobbying. Interest groups pay a monetary contribution to gain access and provide information to a policymaker. If their interests are aligned with those of the policymaker’s constituency, they…

This paper studies the cross-border transaction in equity by investors in Canada, Germany, Japan, the U.K. and the U.S. We find that investors from different countries make very different decisions about the allocation of their portfolio across…

This paper examines whether the trading decisions of institutional investors can be explained in part by the effects of taxation on portfolio returns. The trading strategy that maximizes benefits to owners in the absence of taxes on capital gains…

This paper develops a return-based measure of market integration for 19 emerging equity markets. It then examines the relationship between that measure, other return characteristics and investment barriers broadly defined. Although the analysis…

In an economy with uninsured banks, market rate deposits are shown to provide services identical to fixed rate deposits without risking banking panics as long as there is not both aggregate uncertainty about liquidity demands and asymmetric…

An important subfield of physics — Nuclear Physics — deals with the smallest particles of which matter is composed. Constructs developed by Kenneth Arrow (2) and Gerard Debreu (3) provide a similar foundation for financial economics. With a bit…

We analyze a numerical scheme for solving the consumption and investment allocation problem studied in a companion paper by Hindy, Huang, and Zhu (1993). For this problem, Bellman’s equation is a differential inequality involving a second order…

Rather than portray institutions as de jure constraints on behavior that bind in all circumstances, recent formal theories of legislatures have begun to portray institutions more plausibly as de facto constraints on behavior in most circumstances…

We study a model of consumption choice and portfolio allocation that captures, in two different interpretations, the combined effect of durability of consumption goods and habit formation over service flows from those goods. In a third…

We present a new methodology for studying the general problem of labor contracting within a firm’s boundaries where contracts provide only a minimal commitment to wages and employment. Given the peculiar contractual incompleteness of labor…

Returns policies are widely used in the marketing of products and services. That they do much more than provide insurance is, however, not well known. In this paper, we develop a number of other rationales for distributor and consumer returns…