Market Maker Performance: The Search for Fair Weather Market Makers
The London Stock Exchange has long been concerned that some market makers are not fulfilling their obligations. This study describes a range of tests...
Short-Term and Long-Term Government Debt and Non-Residential Interest Withholding Taxes
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...
Sustainability of Capital Ratios and Regulator Reputation: Discretionary vs. Binding Legalisation
This paper aims at developing a model of reputation acquisition by the insurer-regulator, in an incompletely informed banking system. Reputation...
Short-Term and Long-Term Government Debt and Non-Resident Interest Withholding Taxes
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...
Value-At-Risk and Extreme Returns
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...
Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...
Term Structure Modelling of Defaultable Bonds
In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model...
R&D Intensity and Finance: Are Innovative Firms Financially Constrained?
The assumption of perfect capital markets is least likely to be satisfied for the class of firms which devote resources towards the development of...
Optimal Managerial Remuneration and Firm-level Diversification
In a model that exhibits both moral hazard and hidden information on the part of the manager different remuneration schemes are discussed and the...
Pricing Options on Assets with Predictable White Noise Returns
We study the effect of predictability of an asset's return on the prices of options on that asset, for models in which returns are serially...
Prices, Price Processes, Volume and their Information - A Survey of the Market Microstructure Literature
This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of...
Pareto-improving Asymmetric Information in a Dynamic Insurance Market
This paper explored the dynamics of insurance markets under incomplete information. Various information structures are examined, according to the...
Does Debt Discipline State-Owned Firms? Evidence From A panel of Italian Firms
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Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
This study assesses the state of the policy debate that surrounds the Federal regulation of margin requirements. A relatively comprehensive review of...
Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
