Performance clustering and incentives in the UK pension fund industry
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Skewness and Kurtosis Implied By Option Prices: A Second Comment
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...
Financial Supervision: Which Model for Europe?
Increasing integration within the European Union (EU) gives rise to cross-border spill-over effects or externalities. The present national based...
How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
Money Laundering: A View from North America
John W. Moscow's (Assistant District Attorney, New York County District Attorney's Office) address to the Financial Markets Group delivered at the...
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...
Banking Regulation and Supervision in Japan
Despite significant changes to the governing institutional framework and to operational procedures, a number of serious doubts remain concerning the...
Competition and Stability: What's Special about Banking?
This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and the...
Rational Asset Pricing Implications From Realistic Trading Frictions
We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational...
Market Timing and Return Prediction Under Model Instability
Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant...
A structural model of corporate bond pricing with co-ordination failure
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
