This paper suggests that adverse selection problems in competitive annuity markets can generate quantity-constrained equilibria in which some agents, whose length of lifetime is uncertain, find it advantageous to accumulate capital privately. This occurs despite the higher rates of return on annuities. The welfare properties of these allocations are analyzed. It is shown that the level of capital accumulation is excessive in a Paretian sense. Policies that eliminate this inefficiency are discussed. Copyright 1987 by University of Chicago Press.

ABSTRACT This paper establishes three empirical results. We find positive autocorrelation in actual intra‐day stock returns, in intra‐day returns computed from quote midpoints, and in the arrival of buy and sell orders. We present a model of return generation that incorporates these features via lagged adjustment of the limit‐order price and positive dependence in bid and ask transactions. The return model is observationally equivalent to an ARMA process, which is consistent with the observed return behavior.

ABSTRACT In this paper, we develop a model for valuing debt options that takes into account the changing characteristics of the underlying bond by assuming that the standard deviation of return is proportional to the bond's duration. The resulting model uses the bond price as the single state variable and thus preserves much of the simplicity and robustness of the Black‐Scholes approach. The paper provides comparisons between option prices computed using this model and those using the Black‐Scholes and Brennan and Schwartz models.

In this paper, we develop a model for valuing debt options that takes into account the changing characteristics of the underlying bond by assuming that the standard deviation of return is proportional to the bond's duration. The resulting model uses the bond price as the single state variable and thus preserves much of the simplicity and robustness of the Black-Scholes approach. The paper provides comparisons between option prices computed using this model and those using the Black-Scholes and Brennan and Schwartz models.

Measurement error may be an important source of bias in studies using self-reported health indicators to explain work behavior. As a test of measurement error, the tetrachoric correlation coefficient is used to examine the relationship between two alternative measures of arthritis, a standard self-reported measure and a simulated clinical measure. While the two measures are highly correlated, measurement error is found. Regression analysis demonstrates that it varies systematically across different socioeconomic groups. In particular, individuals who are not working tend to report their health incorrectly, perhaps owing to social pressure to justify not having a job. Coauthors are Richard V. Burkhauser, Jean M. Mitchell, and Theodore P. Pincus. Copyright 1987 by MIT Press.