This paper studies in an overlapping generations forest economy the conditions under which money and/or timber bequests occur across generations, assuming the usual case of one-sided altruism. We assume nonindustrial landowners have preferences for consumption and for amenities from unharvested forest stock. Within this framework, we examine conditions under which landowners choose to leave tim...

We model the stock market as a timing game, in which arbitrageurs who are not expected to be certainly rational compete over profit by bursting the bubble caused by investors’ euphoria. The manager raises money by issuing shares and the arbitrageurs use leverage. If leverage is weakly regulated, it is the unique Nash equilibrium that the bubble persists for a long time. This holds even if the e...

There are two standard views of the Great Depression of the 1930's. Keynesians maintain that the capitalist system is, by its very nature, prone to overproduction and, in the absence of government intervention, excessive inventories will periodically lead to falling prices and to growing unemployment which will further compound the collapse in demand. They advocate public works financed, if nee...

We construct a model where capital competes with fiat money as a medium of exchange, and we establish conditions on fundamentals under which fiat money can be both valued and socially beneficial. When the socially efficient stock of capital is too low to provide the liquidity agents need, they overaccumulate productive assets to use as media of exchange. When this is the case, there exists a mo...

We examine whether the option market leads stock with respect to positive in addition negative price discovery. document that out-of-the-money (OTM) prices, which determine Risk-Neutral Skewness (RNS) of underlying return’s distribution, can embed information regarding stock. A long-only portfolio stocks highest RNS values yields a significant alpha post-ranking week during period 1996–2014. Th...

a r t i c l e i n f o JEL classification: C22 E44 F31 Keywords: Monetary shocks Asymmetric effects MSVAR–EGARCH In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and m...

BUSINESS-TO-BUSINESS commerce on the Internet is generating a lot of interest. Companies like Ariba, Chemdex, Commerce One, FreeMarkets, Internet Capital Group, and SciQuest.com have attained breathtaking stock market capitalizations. Venture capitalists are pouring money into more B2B start-ups. Even industrial stalwarts like General Motors and Ford have announced plans to set up their own Web...

We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Then we show how arbitrage can be excluded from these models by restricting the class of trading strategies.