We develop a model in which a monopolist uses differences across consumers in their valuation of time to imperfectly price discriminate. Though it is customary to analyse price discrimination problems by the calculus of variations after postulating a continuum of types, we assume a finite number of types and exploit the geometry and duality of the contract set and the structure of the programming specification. We analyse in detail the qualitative properties of the model's solution and show by construction that our results exhaust the implications of the model for equilibrium contract pairs. We show that imperfect discrimination is not bounded in welfare terms between perfect discrimination and single-price monopoly and that the deadweight loss, consumer surplus and output comparisons between single-price monopoly and imperfect discrimination are ambiguous.

We study the lead–lag relationships among the spot, futures, and options markets on Hong Kong’s Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and these stocks have symmetric lead–lag relations with the futures. Furthermore, the informativeness of the non-lasting futures and options quotations seems to depend on the market maturity.

In this paper earnings, dividends and stock prices are modelled within a plausible economic framework. The first stage in the analysis involves characterization of the dynamic behavior of earnings, evidence was found for mean reverting behavior in the long term, and weaker evidence for mean reversion in the short term. The relationship between dividends and earnings is then examined using a modified form of the Lintner model. The empirical results suggest the modified formulation performs as effectively as the original Lintner approach. Using these findings, we then develop the functional form of the corresponding share price relationship. As a consequence of using a generalized model for earnings we are able to examine theoretically, the effect of different earnings processes on share price behavior. The empirical results imply that changes in earnings per share and earnings per share are important in explaining returns.

In this paper we extend the study of mean reversion behavior by modelling the fundamental value as a stochastic process. The market value of the asset is then modelled as a mean reverting Ornstein Uhlenbeck process towards the fundamental value. Solving backwards, we determine the functional form of the regression equation of changes in asset prices and returns to changes to the fundamental value. Using earnings and dividends as proxies for the fundamental value we test our model empirically. In general, other than the shortest horizon of 1-year, our model shows good explanatory power. Since our model is compatible with Campbell and Shiller (1988) framework in the earnings case and Fama and French (1988) model in the dividend case, the performance of our model has been compared with those two models. In comparison, the performance of our model is comparable to that of Campbell and Shiller and compares favorably with Fama and French.