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Financial Economics Papers
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2006
Working Paper Series
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2005
Working Paper Series
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2005-FE-18 |
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Commitment
to Overinvest and Price Informativeness
James Dow, Itay
Goldstein, Alexander Guembel |
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2005-FE-17 |
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Sovereign
Debt Without Default Penalties
Alexander Guembel,
Oren Sussman |
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2005-FE-16 |
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The
economics of the EU's corporate-insolvency law and the quest for
harmonisation by market forces
Oren Sussman |
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2005-FE-15 |
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On Modelling Endogenous Default
Dimitrios P.
Tsomocos, Lea Zicchino |
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2005-FE-14 |
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A Necessary and Sufficient
Condition for Convergence of Statistical to Strategic Equilibria of Market
Games
Dimitrios P.
Tsomocos, Dimitris Voliotis |
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2005-FE-13 |
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Takeover Defenses, Firm-Specific
Skills and Managerial Entrenchment
Filippo Ippolito |
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2005-FE-12 |
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Convertible Preferred Stock in Venture Capital Financing
Filippo Ippolito |
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2005-FE-11 |
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Amplification and Asymmetry in Crashes and Frenzies
Han N. Ozsoylev
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2005-FE-10 |
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Price, Trade Size, and Information Revelation in Multi-Period Securities
Markets
Han N. Ozsoylev, Shino Takayama |
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2005-FE-09 |
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Ole
E. Barndorff-Nielsen, Sven Erik Graversen,
Jean Jacod, Neil
Shephard:
forthcoming, Econometric Theory
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2005-FE-08 |
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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.
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2005-FE-07 |
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Zsuzsanna
Fluck, Colin Mayer
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2005-FE-06 |
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Ole
E. Barndorff-Nielsen, Neil
Shephard, Matthias Winkel
Stochastic Processes and Their Applications, 2006, 116,
796-806
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2005-FE-05 |
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2005-FE-04 |
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Why are Securitization Issues Tranched?
Maciej Firla-Cuchra, Tim
Jenkinson
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2005-FE-03 |
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Xavier Freixas, Alan D. Morrison, Gyöngyi Lóránth
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2005-FE-02 |
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Xavier Freixas, Sjaak Hurkens, Alan D. Morrison, Nir Vulkan
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2005-FE-01 |
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Modelling Institutional Change in the Payments System, and its
Implications for Monetary Policy
by F. H. Capie., Dimitrios P.
Tsomocos and G. E. Wood
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2004
Working Paper Series
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2004-FE-22 |
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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.
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2004-FE-21 |
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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.
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2004-FE-20 |
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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
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2004-FE-19 |
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Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric
Analysis of the Bid and Ask Curves of an Automated Exchange
Clive G. Bowsher
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2004-FE-18 |
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A Time Series Analysis of Financial Fragility in the UK Banking System
Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P. Tsomocos |
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2004-FE-17 |
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Likelihood based inference for diffusion driven models
Siddhartha Chib,
Michael K Pitt, Neil Shephard
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2004-FE-16 |
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Stochastic volatility with leverage: fast likelihood inference
Yasuhiro Omori,
Siddhartha Chib, Neil Shephard,
Jouchi Nakajima
Journal of Econometrics, to appear. |
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2004-FE-15 |
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Global Uniqueness and Money Non-neutrality in a Walrasian Dynamics without
Rational Expectations
Gael Giraud, Dimitrios Tsomocos |
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2004-FE-14 |
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The
Demise of Investment-Banking Partnerships: Theory and Evidence
Alan D. Morrison, William J. Wilhelm, Jr. |
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2004-FE-13 |
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Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing
Xavier Freixas and Dimitrios P. Tsomocos |
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2004-FE-12 |
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Habit Formation and the Equity-Premium Puzzle: a Skeptical View
Stefano G. Athanasoulis |
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2004-FE-11 |
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A Risk Assessment Model for Banks
Charles A.E. Goodhart, Pojanart Sunirand, Dimitrios P. Tsomocos |
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2004-FE-10 |
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Financial Liberalisation and Capital Regulation in Open Economies
Alan Morrison, Lucy White |
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2004-FE-09 |
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Life Insurance: Regulation as Contract Enforcement.
Alan Morrison |
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2004-FE-08 |
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Is
depost insurance a good thing and if so, who should pay for it?
Alan Morrison, Lucy White |
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2004-FE-07 |
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Financial Distress, Bankruptcy Law and the Business Cycle
Javier Suarez, Oren Sussman |
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2004-FE-06 |
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Entrepreneurial Finance with Heterogeneous Creditors
Fabio Bertoni, Filippo Ippolito
(Removed) |
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2004-FE-05 |
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A
Model to Analyse Financial Fragility: Applications
Charles A.E. Goodhart, Pojanart Sunirand,
Dimitrios P.Tsomocos |
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2004-FE-04 |
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Cancellation and uncertainty aversion on limit order books
Jeremy Large |
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2004-FE-03 |
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A
feasible central limit theory for realised volatility under leverage
Ole Barndorff-Nielsen, Neil Shephard |
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2004-FE-02 |
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Likelihood-based estimation of
latent generalised ARCH structures
Neil Shephard, Gabriele Fiorentini and Enrique
Sentana
Appeared in
Econometrica, 2004, 72, 1481-1517 |
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2004-FE-01 |
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Econometrics of testing for jumps in financial economics using bipower
variation
Ole Barndorff-Nielsen, Neil Shephard
Journal of Financial Econometrics, 2006, 4,
1-30 |
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2003 Working
Paper Series
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2003-FE-16 |
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A
New Test of Capital Structure
Colin Mayer, Oren Sussman
New Version October 2004 |
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2003-FE-15 |
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Spending Less Time with the Family: The Decline of Family Ownership in the
UK
Julian Franks, Colin Mayer, Stefano Rossi |
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2003-FE-14 |
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Ownership: Evolution and Regulation
Julian Franks, Colin Mayer, Stefano Rossi |
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2003-FE-13 |
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A
Model to Analyse Financial Fragility
Charles A.E. Goodhart, Pojanart Sunirand,
Dimitrios P.Tsomocos
New Version December 2004 |
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2003-FE-12 |
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Hard Debt, Soft CEOs and Union Rents
Linus Wilson |
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2003-FE-11 |
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Multinational Bank Capital Regulation with Deposit Insurance and
Diversification Effects
Alan Morrison and Gyongyi Loranth |
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2003-FE-10 |
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Modelling the Demand for Emerging Market Assets
Valpy FitzGerald, Derya Krolzig
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2003-FE-09 |
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Good Cop, Bad Cop: Complementarities between Debt and Equity in Disciplining
Management
Alexander Guembel, Lucy White
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2003-FE-08 |
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Equilibrium Analysis, Banking and Financial Instability
Dimitrios P.Tsomocos
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2003-FE-07 |
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Making Money out of Publicly Available Information
Alan Morrison, Nir Vulkan
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2003-FE-06 |
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Procyclicality and the new Basel Accord - Banks' choice of loan rating
system
Eva Catarineu-Rabell, Patricia Jackson, Dimitrios P.Tsomocos
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2003-FE-05 |
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Why are European IPOs so rarely priced outside the indicative price range?
Alan Morrison, Tim Jenkinson William J. Wilhelm, Jr.
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2003-FE-04 |
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E-Barter vs. Fiat Money: Will Central Banks Survive?
F.H. Capie, Dimitrios P. Tsomocos, Geoffrey
E. Wood |
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2003-FE-03 |
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Equilibrium Analysis, Banking, Contagion and Financial Fragility
Dimitrios P. Tsomocos |
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2003-FE-02 |
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Partnership Firms, Reputation and Human Capital
Alan Morrison, William Wilhelm
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2002 Working
Paper Series
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2002-FE-08 |
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The Economics of Capital Regulation in Financial Conglomerates
Alan D. Morrison |
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2002-FE-07 |
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IPO Pricing in the Dot-com Bubble
Alexander Ljungqvist, William J. Wilhelm |
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2002-FE-06 |
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Evidence of Information Spillovers in the Production of Investment Banking
Services
Lawrence M. Benveniste, Alexander Ljungqvist, William J. Wilhelm, Xiaoyun
Yu |
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2002-FE-05 |
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Crises and Capital Requirements in Banking
Alan D. Morrison, Lucy White |
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2002-FE-04 |
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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 |
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2002-FE-03 |
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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. |
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2002-FE-02 |
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Manipulation, the allocational role of prices and production externalities
Itay Goldstein, Alexander Gümbel |
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2002-FE-01 |
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Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
Vicky Henderson
(Revised 2 October 2002) |
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2001 Working
Paper Series
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2001-FE-17 |
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Resource Margin Accounting: Empirical Results for US Manufacturing Companies
1983-1998
Peter Johnson |
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2001-FE-16 |
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Resource Margin Accounting: A Theoretical Perspective
Peter Johnson |
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2001-FE-15 |
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Sources of Funds and Investment Strategies of Venture Capital Funds:
Evidence from Germany, Israel, Japan and the UK
Colin Mayer, Koen Schoors, Yishay Yafeh |
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2001-FE-14 |
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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 |
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2001-FE-13 |
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Optimal exchange-rates: a market-microstructure approach
Alexander Gümbel, Oren Sussman |
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2001-FE-12 |
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Emerging Markets and Entry by Actively Managed Funds
Alexander Gümbel |
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2001-FE-11 |
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Ownership and Control of German Corporations
Julian Franks, Colin Mayer |
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2001-FE-10 |
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Institutional Investment and Private Equity in the UK
Colin Mayer |
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2001-FE-09 |
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Regulatory Principles and the Financial Services and Markets Act
Colin Mayer |
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2001-FE-08 |
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IPO Allocations: Discriminatory or Discretionary?
Alexander Ljungqvist, William Wilhelm |
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2001-FE-07 |
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The Internet and Financial Market Structure
William Wilhelm |
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2001-FE-06 |
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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 |
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2001-FE-05 |
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A Theory of the Syndicate: Form Follows Function
Pegaret Pichler, William Wilhelm |
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2001-FE-04 |
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The Role of Capital Adequacy Requirements in Sound Banking Systems
Alan Morrison, Lucy White |
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2001-FE-03 |
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Emerging Market Spreads: Then Vs Now
Paolo Mauro, Nathan Sussman, Yishay Yafeh |
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2001-FE-02 |
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Business Groups and Risk Sharing Around the World
Tarun Khanna, Yishay Yafeh |
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2001-FE-01 |
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Credit Derivatives, Disintermediation and Investment Decisions
Alan Morrison
(Revised 14 May 2001) |
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1999
Working Paper Series
| 1999-FE-11 |
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The Seven Percent Solution? An International Perspective on Underwriting
Spreads
Alexander Ljungqvist, William Wilhelm |
| 1999-FE-10 |
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Trading on Short-Term Information
Alexander Gümbel |
| 1999-FE-09 |
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Finance, Investment and Growth
Wendy Carlin, Colin Mayer |
| 1999-FE-08 |
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How Do Financial Systems Affect Economic Performance?
Wendy Carlin, Colin Mayer |
| 1999-FE-07 |
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Firm Control
Colin Mayer |
| 1999-FE-06 |
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Water: The 1999 Price Review
Colin Mayer |
| 1999-FE-05 |
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An Investigation of Clean Surplus Value-Added Pricing Models Using Time
Series Methods for the UK 1983-1996
Peter Johnson |
| 1999-FE-04 |
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IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists
in the Creation of Public Companies
Alexander Ljungqvist |
| 1999-FE-03 |
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Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence
Michel Habib, Alexander Ljungqvist
(Revised 1 December 1999) |
| 1999-FE-02 |
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The Role of Hostile Stakes in German Corporate Governance
Tim Jenkinson, Alexander Ljungqvist
Journal of Corporate Finance, 2001 |
| 1999-FE-01 |
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Who Disciplines Management in Poorly Performing Companies?
Julian Franks, Colin Mayer, Luc Renneboog
(Revised 24 May 2001) |
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