This paper attempts to give an integrated view of the numerous contributions to economic theory of information. After an introduction where the economics of information is placed within the context of general economic theory and defined relative to the Arrow-Debreu contingent market model, the...

In this paper, we survey the asset pricing models that have been used in the context of emerging markets. We emphasize that both returns and their variability are more predictable than in developed markets and investigate whether this predictability can be explained by predictable measures or...

This paper studies the impact of financial market structure on investment decisions by firms using company panel data from six countries: Germany and Japan, where borrower-lender relationships are more of a long-term nature, Canada, France, United Kingdom, and United States, where financial...

This paper considers the problem of estimation in the linear regression model with multiple structural changes. We first survey the class of models analyzed by Bai and Perron (1996) and some of their asymptotic results. We then discuss in greater details a numerical algorithm, based on the...

This study presents an introduction to various concepts and issues related to autoregressive unit roots in the analysis of univariate time series models. The following topics are discussed: representation of the stochastic processes, testing procedures, issues related to the power of the tests,...