The paper examines alternative arrangements for intergenerational risk sharing in a small open economy subject to macroeconomic disturbances. Under certain conditions, private pension funds can provide substantial risk sharing across generations. Private risk sharing alleviates the burden on...

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D...

Motivated by extensive evidence that stock-return correlations are stochastic, we analyze whether the risk of correlation changes (affecting diversification benefits) may be priced. We propose a direct and intuitive test by comparing option-implied correlations between stock returns (obtained by...

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined with a dynamic capital structure strategy...

Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. In equilibrium, price impact and price volatility are stochastic, even though the fundamental value is constant. `Excess stochastic volatility' may arise because...

Using a model of a two-pillar pension system, designed after and calibrated to the Dutch situation, we explore for the funding ratio of pension funds and the welfare of individuals the implications of replacing nominal debt in the pension fund's portfolio with indexed debt. We consider...

This paper takes stock of the evolution in pension systems and the challenges that remain for the future. It derives a typology of pension systems and uses this to discuss the strengths and weaknesses of alternative systems. After describing how pension systems in the industrial world have been...