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Financial Economics Papers


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2006 Working Paper Series


Towards a Measure of Financial Fragility
Oriol Aspachs, Charles A.E. Goodhart, Dimitrios P. Tsomocos, Lea Zicchino


Devaluation without Common Knowledge

Celine Rochon


Dynamic Matching and Bargaining: The Role of Deadlines.

Sjaak Hurkensy, Nir Vulkan


Evaluation of macroeconomic models for financial stability analysis

Gunnar Bardsen, Kjersti-Gro Lindquist, Dimitrios P.Tsomocos



2005 Working Paper Series


Commitment to Overinvest and Price Informativeness

James Dow, Itay Goldstein, Alexander Guembel


Sovereign Debt Without Default Penalties

Alexander Guembel, Oren Sussman


The economics of the EU's corporate-insolvency law and the quest for harmonisation by market forces

Oren Sussman


On Modelling Endogenous Default

Dimitrios P. Tsomocos, Lea Zicchino


A Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games

Dimitrios P. Tsomocos, Dimitris Voliotis


Takeover Defenses, Firm-Specific Skills and Managerial Entrenchment

Filippo Ippolito

2005-FE-12   Convertible Preferred Stock in Venture Capital Financing

Filippo Ippolito


Amplification and Asymmetry in Crashes and Frenzies

Han N. Ozsoylev

2005-FE-10   Price, Trade Size, and Information Revelation in Multi-Period Securities Markets
Han N. Ozsoylev, Shino Takayama

Ole E. Barndorff-Nielsen, Sven Erik Graversen,

Jean Jacod, Neil Shephard:

forthcoming, Econometric Theory


Ole E. Barndorff-Nielsen, Neil Shephard

in Advances in Economics and Econometrics. Theory and Applications, Ninth World Congress, (edited by Richard Blundell, Persson Torsten and Whitney K Newey), Econometric Society Monographs, Cambridge University Press, to appear.


Zsuzsanna Fluck, Colin Mayer


Ole E. Barndorff-Nielsen, Neil Shephard, Matthias Winkel

Stochastic Processes and Their Applications, 2006, 116, 796-806


Jeremy Large


Why are Securitization Issues Tranched?

Maciej Firla-Cuchra, Tim Jenkinson


Xavier Freixas, Alan D. Morrison, Gyöngyi Lóránth


Xavier Freixas, Sjaak Hurkens, Alan D. Morrison, Nir Vulkan


Modelling Institutional Change in the Payments System, and its  Implications for Monetary Policy

by F. H. Capie., Dimitrios P. Tsomocos and G. E. Wood




2004 Working Paper Series



Multipower variation and stochastic volatility

Ole E. Barndorff-Nielsen and Neil Shephard

in Stochastic Finance, (edited by A.N. Shiryaev, M.R. Grossinho, P.E. Oliveira, M.L. Esquivel) Springer, 2005, 73-82.


A central limit theorem for realised power and bipower variations of continuous semimartingales

Ole E. Barndorff-Nielsen, Sven Erik Gravensen, Jean Jacod, Marc Podolskij and Neil Shephard

in From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev (edited by Kabanov, Yuri, Robert Lipster and Jordan Stoyanov), Springer, 2006, 33-68.


Regular and modified kernel-based estimators of integrated variance: the case with independent noise

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard


Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange

Clive G. Bowsher


A Time Series Analysis of Financial Fragility in the UK Banking System 

Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P. Tsomocos


Likelihood based inference for diffusion driven models

Siddhartha Chib, Michael K Pitt, Neil Shephard


Stochastic volatility with leverage: fast likelihood inference

Yasuhiro Omori, Siddhartha Chib, Neil Shephard, Jouchi Nakajima

Journal of Econometrics, to appear.


Global Uniqueness and Money Non-neutrality in a Walrasian Dynamics without Rational Expectations

Gael Giraud, Dimitrios Tsomocos


The Demise of Investment-Banking Partnerships: Theory and Evidence

Alan D. Morrison, William J. Wilhelm, Jr.


Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing

Xavier Freixas and Dimitrios P. Tsomocos


Habit Formation and the Equity-Premium Puzzle: a Skeptical View

Stefano G. Athanasoulis


A Risk Assessment Model for Banks

Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P. Tsomocos


Financial Liberalisation and Capital Regulation in Open Economies

Alan Morrison, Lucy White


Life Insurance: Regulation as Contract Enforcement.

Alan Morrison


Is depost insurance a good thing and if so, who should pay for it?

Alan Morrison, Lucy White


Financial Distress, Bankruptcy Law and the Business Cycle

Javier Suarez, Oren Sussman


Entrepreneurial Finance with Heterogeneous Creditors

Fabio Bertoni, Filippo Ippolito (Removed)


A Model to Analyse Financial Fragility: Applications

Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P.Tsomocos

2004-FE-04   Cancellation and uncertainty aversion on limit order books
Jeremy Large

A feasible central limit theory for realised volatility under leverage

Ole Barndorff-Nielsen, Neil Shephard


Likelihood-based estimation of latent generalised ARCH structures 

Neil Shephard, Gabriele Fiorentini and Enrique Sentana 


Appeared in Econometrica, 2004, 72, 1481-1517


Econometrics of testing for jumps in financial economics using bipower variation

Ole Barndorff-Nielsen, Neil Shephard

Journal of Financial Econometrics, 2006, 4, 1-30


2003 Working Paper Series


A New Test of Capital Structure

Colin Mayer, Oren Sussman

New Version October 2004


Spending Less Time with the Family: The Decline of Family Ownership in the UK

Julian Franks, Colin Mayer, Stefano Rossi 


Ownership: Evolution and Regulation

Julian Franks, Colin Mayer, Stefano Rossi 


A Model to Analyse Financial Fragility

Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P.Tsomocos

New Version December 2004


Hard Debt, Soft CEOs and Union Rents

Linus Wilson


Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects

Alan Morrison and Gyongyi Loranth


Modelling the Demand for Emerging Market Assets 

Valpy FitzGerald, Derya Krolzig


Good Cop, Bad Cop: Complementarities between Debt and Equity in Disciplining Management 

Alexander Guembel, Lucy White


Equilibrium Analysis, Banking and Financial Instability

Dimitrios P.Tsomocos


Making Money out of Publicly Available Information

Alan Morrison, Nir Vulkan 


Procyclicality and the new Basel Accord - Banks' choice of loan rating system

Eva Catarineu-Rabell, Patricia Jackson, Dimitrios P.Tsomocos


Why are European IPOs so rarely priced outside the indicative price range?

Alan Morrison, Tim Jenkinson William J. Wilhelm, Jr.


E-Barter vs. Fiat Money: Will Central Banks Survive?

F.H. Capie, Dimitrios P. Tsomocos,  Geoffrey E. Wood

2003-FE-03   Equilibrium Analysis, Banking, Contagion and Financial Fragility
Dimitrios P. Tsomocos
2003-FE-02   Partnership Firms, Reputation and Human Capital
Alan Morrison, William Wilhelm




2002 Working Paper Series


2002-FE-08   The Economics of Capital Regulation in Financial Conglomerates
Alan D. Morrison  
2002-FE-07   IPO Pricing in the Dot-com Bubble
Alexander Ljungqvist, William J. Wilhelm  
2002-FE-06   Evidence of Information Spillovers in the Production of Investment Banking Services
Lawrence M. Benveniste, Alexander Ljungqvist, William J. Wilhelm, Xiaoyun Yu 
2002-FE-05   Crises and Capital Requirements in Banking
Alan D. Morrison, Lucy White  

Dynamics of trade-by-trade price movements:decomposition and models
Tina Hviid Rydberg, Neil Shephard  

Appeared in Journal of Financial Econometrics, 2003, 1, 2-25


Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics
Ole E. Barndorff-Nielsen, Neil Shephard  

Appeared in Econometrica, 2004, 72, 885-925.

2002-FE-02   Manipulation, the allocational role of prices and production externalities
Itay Goldstein, Alexander Gümbel  
2002-FE-01   Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
Vicky Henderson
(Revised 2 October 2002)



2001 Working Paper Series


2001-FE-17   Resource Margin Accounting: Empirical Results for US Manufacturing Companies 1983-1998
Peter Johnson
2001-FE-16   Resource Margin Accounting: A Theoretical Perspective
Peter Johnson
2001-FE-15   Sources of Funds and Investment Strategies of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK
Colin Mayer, Koen Schoors, Yishay Yafeh

New evidence of the impact of dividend taxation and on the identity of the marginal investor
Leonie Bell, Tim Jenkinson

Published in the Journal of Finance, Vol 57 (3) 2002

2001-FE-13   Optimal exchange-rates: a market-microstructure approach
Alexander Gümbel, Oren Sussman
2001-FE-12   Emerging Markets and Entry by Actively Managed Funds
Alexander Gümbel
2001-FE-11   Ownership and Control of German Corporations
Julian Franks, Colin Mayer
2001-FE-10   Institutional Investment and Private Equity in the UK
Colin Mayer
2001-FE-09   Regulatory Principles and the Financial Services and Markets Act
Colin Mayer
2001-FE-08   IPO Allocations: Discriminatory or Discretionary?
Alexander Ljungqvist, William Wilhelm
2001-FE-07   The Internet and Financial Market Structure
William Wilhelm

Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors
Alexander Ljungqvist, Tim Jenkinson, William Wilhelm

Published in the Review of Financial Studies 2003 16 (1)63-99

2001-FE-05   A Theory of the Syndicate: Form Follows Function
Pegaret Pichler, William Wilhelm
2001-FE-04   The Role of Capital Adequacy Requirements in Sound Banking Systems
Alan Morrison, Lucy White
2001-FE-03   Emerging Market Spreads: Then Vs Now
Paolo Mauro, Nathan Sussman, Yishay Yafeh
2001-FE-02   Business Groups and Risk Sharing Around the World
Tarun Khanna, Yishay Yafeh
2001-FE-01   Credit Derivatives, Disintermediation and Investment Decisions
Alan Morrison
(Revised 14 May 2001)


2000 Working Paper Series


2000-FE-08   Risk Averse Banks and Uncertain Correlation Values: A Theory of Rational Bank Panics
Alan Morrison
2000-FE-07   Regulator Reputation and Optimal Banking Competition Policy
Alan Morrison
2000-FE-06   Active agents, passive principals; the role of the chief executive in corporate strategy formulation and implementation
James Dow, Clara Raposo
2000-FE-05   Myopic Traders, Efficiency and Taxation
Alexander Gümbel
2000-FE-04   Has the introduction of bookbuilding increased the efficiency of international IPOs?
Alexander Ljungqvist, Tim Jenkinson, William Wilhelm
(Revised 3 May 2000)
2000-FE-03   Firm Value and Managerial Incentives: A Stochastic Frontier Approach
Michel Habib, Alexander Ljungqvist
2000-FE-02   Strategic Hedging and Investment Efficiency
Clara Raposo
2000-FE-01   Corporate Hedging and Optimal Disclosure
Clara Raposo




1999 Working Paper Series


1999-FE-11   The Seven Percent Solution? An International Perspective on Underwriting Spreads
Alexander Ljungqvist, William Wilhelm
1999-FE-10   Trading on Short-Term Information
Alexander Gümbel
1999-FE-09   Finance, Investment and Growth
Wendy Carlin, Colin Mayer
1999-FE-08   How Do Financial Systems Affect Economic Performance?
Wendy Carlin, Colin Mayer
1999-FE-07   Firm Control
Colin Mayer
1999-FE-06   Water: The 1999 Price Review
Colin Mayer
1999-FE-05   An Investigation of Clean Surplus Value-Added Pricing Models Using Time Series Methods for the UK 1983-1996
Peter Johnson
1999-FE-04   IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies
Alexander Ljungqvist
1999-FE-03   Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence
Michel Habib, Alexander Ljungqvist
(Revised 1 December 1999)
1999-FE-02   The Role of Hostile Stakes in German Corporate Governance
Tim Jenkinson, Alexander Ljungqvist
Journal of Corporate Finance, 2001
1999-FE-01   Who Disciplines Management in Poorly Performing Companies?
Julian Franks, Colin Mayer, Luc Renneboog
(Revised 24 May 2001)