This paper examines the optimal consumption and investment problem for a "large" investor, whose portfolio choices affect the instantaneous expected returns on the traded assets.

In recent years, the number of downgrades in corporate bond ratings has exceeded the number of upgrades, This fact has led some to conclude that the creidt quality of US corporate debt has declined. However, declining credit quality is not the only possible explanation. An alternative...

This article provides an overview of the empirical evidence on the magnitude and determinants of equity trading costs. The focus is primarily on the trades of institutional investors.

Equity mutual funds earn large positive returns on the last day of the year, and large negative returns on the following day. The same applies on a smaller scale at quarter-ends that aren't month-ends. Empirical evidence from a variety of sources, including portfolio disclosures and intra-day...

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...

The goal of this paper is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE-listed stocks.

Evidence of structural breaks in the historical return distribution raises concerns about averaging a long series to estimate the current equity premium. Data before a break are relevant if one believes that large shifts in the premium are unlikely or that the premium is associated, to some...

We examine the effects of human capital on consumption, stock market, and other fluctuations in a general equilibrium continuous-time model. A representative consumer-worker-investor derives utility from consumption and leisure. A representative firm demands labour as the sole input to a...