The paper explores factors that lead to accumulation or decumulation of firms’ cash reserves. In particular, we empirically examine whether additional future fixed capital and R&D investment expenditures induce firms to change their liquidity ratio while considering the role of market imperfections. Implementing a dynamic framework on a panel of US, UK and German firms, we find that firms in al...

In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, taxes, and upper bounds on the number of units for transaction. We obtain some negative result on computational difficulty in general...

A survey of cotton producers was conducted in Mississippi and Texas. The econometric model consists of a multinomial logit model of cotton producers’ choice of marketing techniques. The results indicate that cotton acres positively influence pooling and negatively influence cash sales. Producers willing to incur higher transaction costs in market information systems and training tend to choose ...

We investigate the relative merits of unconditional cash transfers (UCT), conditional cash transfers (CCT), and improvements in education quality on efficiency and welfare. In our setting some parents under-invest in their children's education because capital market imperfections prevent them from borrowing. When credit constrained households can be perfectly targeted by the government, we show...

Options pricing model parameters are inherently imprecise due to fluctuations in the real-world financial market. Traditional option pricing methods do not account for the uncertainty in parameters, but the fuzzy set theory may be applicable. This paper proposes a cash-or-nothing European call binary option pricing model based on the hypothesis that the underlying asset price, risk-free rate of...

The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a ‘‘ratchet’’ effect on leverage because homes are indivisible and owner-occupants cannot raise equity to reduce leverage when home prices fall. Our simulation of the U.S. housing market yields potential losse...

The goal of SEPA (Single Euro Payments Area) is to facilitate the emergence of a competitive, intra-European market by making cross-border payments as easy as domestic transactions. With crossborder inter-operability for electronic payments, card transactions will increasingly replace cash and checks for all types of payments. Using different methods, we estimate card and other payment network ...

Abstract: A standard timing protocol allows in a cash-in-advance model allows the government to elude the inflation tax. That matters. Altering the timing of tax collections to make the government hold cash overnight disables some classical propositions but enables others. The altered timing protocol loses a Ricardian proposition and also the proposition that open market operations, accompanied...

in this study, trading patterns and constituents of trading performances of individual and institutional investors have been investigated in a weekly manner, using an auto regressive model and a grinblatt & titman portfolio performance measure spanning 2008-2012. the results show that while individual investors have a herding behavior, institutional investors take contrarian trading strategies....