Daily closing inside spreads and trading volumes around earnings announcements
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...
Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets
This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...
The fallacy of new business creation as a disciplining device for managers
This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...
Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle
Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...
Momentum in the UK stock market
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
Performance persistence of pension fund managers
This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the...
Self-Confidence and Survival
We consider the impact of history on the survival of a monopolist selling single units in discrete time periods, whose quality is learned slowly. If...
Asset Price Dynamics with Value-at-Risk Constrained Traders
Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...
Rational limits to arbitrage
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, optimising agents. This paper proposes a rational...
Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...
