Block-booking and IPO share allocation: the importance of being ignorant
Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...
Principal agent problems under loss aversion: an application to executive stock options
Executive stock options reward success but do not penalise failure. In contrast, the standard principal- agent model implies that pay is normally...
Consistent testing for stochastic dominance: a subsampling approach
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...
Are annuities value for money?: who can afford them?
This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...
What happens when you regulate risk?: evidence from a simple equilibrium model
The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...
Macroeconomic news, order flows and exchange rates
Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...
What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
Common factors in conditional distributions for Bivariate time series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
Pension fund governance and the choice between defined benefit and defined contribution plans
Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...
Management behaviour and market response
We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...
The near impossibility of credit rationing
Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...
A local instrumental variable estimation method for generalized additive volatility models
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...
IPOs: insights from seven European countries
We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...
The cross-section of European IPO returns
We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...
Does reinsurance need reinsurers?
The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...
Tranching
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...
