Executive compensation and competition in the banking and financial sectors
This paper studies the effect of deregulation and increased product market competition on the compensation packages that firms offer to their...
Parametric properties of semi-nonparametric distributions, with applications to option valuation
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...
Strategic financial innovation in segmented markets
We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market...
Forecasting bankruptcy and physical default intensity
This report presents two of our investigations: one is to obtain an accurate forecast for the corporate bankruptcy; the other is to obtain a physical...
Efficient estimation of a semiparametric characteristic-based factor model of security returns
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted...
From local to global: the rise of AIM as a stock market for growing companies: a comprehensive report analysing the growth of AIM
The purpose of this report, which was commissioned by the London Stock Exchange, is to examine the recent development of AIM as a stock market for...
Value of information in competitive economies with incomplete markets
A substantial literature addresses the negative effect on welfare of the release of information in a competitive market economy. We show that the...
How deep is the annuity market participation puzzle?
Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...
Evaluating hedge fund performance: a stochastic dominance approach
We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...
Financing Constraints and a Firm’s Decision and Ability to Innovate: Establishing Direct and Reverse Effects
The paper analyzes the existence and impact of financing constraints as a possibly serious obstacle to innovation by firms. Direct measures of...
Competition and opportunistic advice of financial analysts: theory and evidence
This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...
Prompt Corrective Action & Cross-Border Supervisory Issues in Europe
This Special Paper is a collection of the contributions to the one day conference on Prompt Corrective Action & Cross Border Supervisory Issues In...
Performance measurement and evaluation
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...
