In principle, there is no compelling reason for any nation to pay its debts. National sovereignty precludes a creditor nation from attaching assets within the debtor nation's borders and a poor nation usually has few assets outside of its boundaries. In practice, nations do pay their debts. Our...

This paper studies intraday returns and variations in trading activity in the interest rate futures traded on London International Financial Futures Exchange. The intraday volume exhibits a significant asymmetric response of volume to price changes. This relationship is dynamic as the direction...

Critics of the Japanese financial system have long held that Japanese keiretsu and the Main Bank system have helped Japanese corporations reduce their cost of capital and therefore gain a cost comparative advantage over their western counterparts. These institutional practices, claim critics,...

This paper tests the hypothesis that the market portfolio in European equity returns is a dynamic factor in the sense that individual stock return volatilities and risk premia are driven by the dynamics of a common dynamic factor namely, the market portfolio. Support for the hypothesis would...

Linear asset pricing models such as CAPM and the Fama-French 3-factor model rely on a linear approximation of marginal utility growth to discount expected returns. Unconditional estimations of these models are unable to explain the abnormal returns associated with simple strategies based on...