We perform an event study to investigate stock returns associated to the announcement of equity issues by Brazilian firms between 1992 and 2003 aiming to determine the market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and...

Any attempt to measure the impact of the 9/11 attacks is faced with the difficulty of separating the effects of the attacks from the impact of a wider economic recession and other simultaneous events. This study attempts to isolate the effect on New York office rental and vacancy rates by...

Past researches have revealed significant abnormal returns for bonus issues even though the bonus issue date is known in advance and the distribution contains no new information. This study examines the stock price reaction to the information content of bonus issues with a view of examining the...

Past researches have revealed significant abnormal returns for bonus issues even though the bonus issue date is known in advance and the distribution contains no new information. This study examines the stock price reaction to the information content of bonus issues with a view of examining the...

This paper uses a general equilibrium model to assess the effects of liberalising trade in telecommunications and financial services for 19 regions of the world. Results suggest that economies gain from removing barriers to the establishment of new operations (domestic or foreign), and by...

The paper measures economic loss from the problem of inadequate collateral in Bulgaria and proposes solutions consisting of creation of security interests, perfection, and enforcement.

The problem of investing y(0) dollars at time 0 to duplicate a contigent claim is formulated as a dynamic optimization problem and solved by the Langrange method. If the function defining dy(t) is concave in y(t), owing to costs of trading in incomplete markets, there is an economy of scale in...

Derived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on...

These are the page proofs of the interview of Franco Modigliani by William A. Barnett and Robert Solow. The interview was published in the journal, Macroeconomic Dynamics, in 2000. Since William Barnett is one of the two interviewers, he now is permitted, by Cambridge University Press, to make...

The classical Quadratic Programming (QP) formulation of the well-known portfolio selection problem has traditionally been regarded as cumbersome and time consuming. This paper formulates two additional models, (i) maximin, and (ii) minimization of mean absolute deviation. Data from 67 securities...