The pricing of initial public offerings: A simple model

This paper presents a simple model that explains a number of empirical observations on initial public offerings. The model assumes that the firm which intends to go public is best informed about the future prospects of the firm. The apparent incentive for the firm to overprice the offering creates a market for an intermediary that can certify the estimated value of the firm. In this paper the decision problem of establishing a proper offer price is condensed into a simple loss-function for the intermediary. The paper shows that under fairly general conditions underpricing will arise. The expected underpricing will be a function of a few simple parameters.Market Structure;Information;Pricing;finance

Exponential Hierarchy From Spacetime Variable String Vacua

It is shown that non-supersymmetric spacetime varying string vacua can lead to an exponential hierarchy between the electroweak and the gravitational scales. The hierarchy is naturally generated by a string coupling of O(1).Comment: 22 pages, Latex, 2 figure

On Relativistic Brane Probes in Singular Spacetimes

We study the relativistic dynamics of brane probes in singular warped spacetimes and establish limits for such analysis. The behavior of the semiclassical brane probe wave functions implies that unitarity boundary conditions can be imposed at the singularity.Comment: 9 pages, 1 figure, typos corrected and references adde

Classical {\it vs.}\ Landau-Ginzburg Geometry of Compactification

We consider superstring compactifications where both the classical description, in terms of a Calabi-Yau manifold, and also the quantum theory is known in terms of a Landau-Ginzburg orbifold model. In particular, we study (smooth) Calabi-Yau examples in which there are obstructions to parametrizing all of the complex structure cohomology by polynomial deformations thus requiring the analysis based on exact and spectral sequences. General arguments ensure that the Landau-Ginzburg chiral ring copes with such a situation by having a nontrivial contribution from twisted sectors. Beyond the expected final agreement between the mathematical and physical approaches, we find a direct correspondence between the analysis of each, thus giving a more complete mathematical understanding of twisted sectors. Furthermore, this approach shows that physical reasoning based upon spectral flow arguments for determining the spectrum of Landau-Ginzburg orbifold models finds direct mathematical justification in Koszul complex calculations and also that careful point- field analysis continues to recover suprisingly much of the stringy features.Comment: 14

On Periods for String Compactifications

Motivated by recent developments in the computation of periods for string compactifications with $c=9$, we develop a complementary method which also produces a convenient basis for related calculations. The models are realized as Calabi--Yau hypersurfaces in weighted projective spaces of dimension four or as Landau-Ginzburg vacua. The calculation reproduces known results and also allows a treatment of Landau--Ginzburg orbifolds with more than five fields.Comment: HUPAPP-93/6, IASSNS-HEP-93/80, UTTG-27-93. 21 pages,harvma

Universality of residence-time distributions in non-adiabatic stochastic resonance

We present mathematically rigorous expressions for the residence-time and first-passage-time distributions of a periodically forced Brownian particle in a bistable potential. For a broad range of forcing frequencies and amplitudes, the distributions are close to periodically modulated exponential ones. Remarkably, the periodic modulations are governed by universal functions, depending on a single parameter related to the forcing period. The behaviour of the distributions and their moments is analysed, in particular in the low- and high-frequency limits.Comment: 8 pages, 1 figure New version includes distinction between first-passage-time and residence-time distribution

What explains the difference between the futures' price and its "fair" value?:evidence from the european options exchange

This paper analyzes systematic deviations of the observed futures price from the value predicted by the simple cost-of-carry relationship. A model to explain this deviation (the basis) is presented in Chen, Cuny, and Haugen (1995, henceforth CCH). According to CCH, the basis should be negatively related to the return volatility of the underlying instrument. CCH themselves find support for their model on data for S&P 500 contracts in the USA. However, since the data used by CCH in testing their model at least to some extent was familiar to them when developing the model, there is a need for a test on data that is completely independent of their data. The purpose of our study is to report the results of such a test. The data is for stock index futures on the European Options Exchange in Amsterdam. The period covered is 1991 through 1993. Our results are consistent with the predictions of the CCH model. An increase in perceived volatility of the underlying index will cause a drop in the basis, as well as an increase in the open interest on the futures market.

Relating the Cosmological Constant and Supersymmetry Breaking in Warped Compactifications of IIB String Theory

It has been suggested that the observed value of the cosmological constant is related to the supersymmetry breaking scale M_{susy} through the formula Lambda \sim M_p^4 (M_{susy}/M_p)^8. We point out that a similar relation naturally arises in the codimension two solutions of warped space-time varying compactifications of string theory in which non-isotropic stringy moduli induce a small but positive cosmological constant.Comment: 7 pages, LaTeX, references added and minor changes made, (v3) map between deSitter and global cosmic brane solutions clarified, supersymmetry breaking discussion improved and references adde