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Now showing items 11-14 of 14
A Semiparametric Estimation of Liquidity Effects on Option Pricing
(1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ...
Optimal Environmental Taxation When Goods and Contamination are Durable
(1999-11)
[EN] This paper analyzes the effects of optimal taxation on a polluting monopolist who produces a durable good and cannot precommit to future sale prices. The government establishes the taxes that maximize social welfare, ...
Commitment Power in a Non-Stationary Durable-Good Market
(2001-05)
This paper derives and evaluates the decisions of a durable good monopolist in a context where demand for the services of the durable good changes over time. It shows that, if the size of the market decreases over time, ...
The Weekend-Dividend Effect in the Spanish Market
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-06)
In this paper we develop an econometric test of a corollary of the irrelevance of the dividend policy principle, namely, that the rescheduling of dividends does not affect the market valuation of the firm. In particular, ...