Take (smoothed) Risks When You Are Young, Not When You Are Old: How To Get the Best From Your Stakeholder Pension Plan
Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...
Tranching
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...
The role of money in the transmission mechanism of monetary policy: evidence from Thailand
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...
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...
Pensionmetrics 2: stochastic pension plan design during the distribution phase
We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into...
UK pension fund management after Myners: the hunt for correlation begins
The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.
It changes the...
Self-fulfilling liquidity and the coordination premium
Liquidity, defined as the ease with which an asset may be marketed, has a self-fulfilling dimension. If investors in the primary market for a new...
UK annuity rates and pension replacement ratios 1957-2002
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...
Predatory Trading
This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader...
Corporate Bond Prices and Co-ordination Failure
It has been suggested (Morris, Shin 2001) that co-ordination failure between holders of debt can affect the price of debt. In essence, fear of...
Financing constraints, irreversibility, and investment dynamics
We develop a structural model of an industry with many entrepreneurial firms in order to investigate the cyclical behaviour of aggregate fixed...
Equilibrium Analysis, Banking, Contagion and Financial Fragility
This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The model is a simplified version...
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...
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...
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...
Optimal Expectations
This paper introduces a tractable, structural model of subjective beliefs. Since agents that plan for the future care about expected future utility...
