Publications

A trader who receives a signal about a future public announcement can exploit this private information twice. First, when he receives his signal, and...

This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund...

This paper proposes a model of financial markets and corporate finance, with asymmetric information and no taxes, where equity issues, Bank debt and...

Economics is primarily a non-experimental science. Typically, we cannot generate new data sets on which to test hypotheses independently of the data...

In this paper we utilize White’s Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the...

This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric...

The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...

The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...

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This paper studies liquidity provision in the Alternative Investment Market (AIM) of the London Stock Exchange. Our analysis shows that it is possible...

It is typically assumed that equilibrium credit rationing implies insufficient lending. By combining hidden types and hidden action, this paper shows...

Economic problems such as large claims analysis in insurance and value-at-risk in fi- nance, require assessment of the probability P of extreme...

This paper presents a first step towards a new theory of housing market fluctuations. We develop a life-cycle model where agents face credit...