Determinants of Price Quote Revisions on the London Stock Exchange
This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two week...
Closure Rules, Market Power and Risk-Taking in a Dynamic Model of Bank Behaviour
The value of bank charters is an important component of bankruptcy costs to bankers and may constitute an incentive for banks to adopt prudent...
State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach
Derivative assets analysis usually takes a model of the underlying price process as given and attempts to value derivative securities relative to that...
Modelling Implied Volatility with OLS and Panel Data Models
This paper proposes an empirical estimation of implied volatility using OLS regression, Error Components, and Dummy Variable models, by regressing the...
An International Comparison of the Financing of Occupational Pensions
This paper analyses the varying scope of private funding of pensions, pension funds' investments and the risks and returns they obtained in the...
Strategy and Tactics of Monetary Policy: Examples from Europe and the Antipodes
While most Central Banks in Europe, and elsewhere, have been giving priority to the achievement of price stability for more than a decade, in recent...
An Index of Co-Movements in Financial Time Series
Financial indices are constructed to capture the strong common variation in a large number of financial time series. Often, these measures are also of...
The Permanent and Transitory Components of Corporate Earnings
This paper analyses a model in which earnings equal the sum of permanent and transitory components. The two components are estimated from the time...
The Instability of Fixed Exchange Rate Systems When Raising the Nominal Interest Rate is Costly
In this paper, we argue that there may be a contradiction in the use of nominal interest rates to defend a parity in a fixed exchange rate system. The...
Some Remarks on Leland's Model of Insider Trading
This paper begins by noting that Leland's (1992) results on the effects of insider trading are not robust to the introduction of some noise in the...
Portfolio Insurance and Volatility
A derivative asset is a security whose terminal pay-off depends entirely on the price of one or more underlying assets. Call and put options on a...
Continuous-Time Limits in the Generalised Ho/Lee Framework under the Risk-Neautral and Forward Measures
In 1986 Ho/Lee presented a discrete-time binomial model of the stochastic movements of the term-structure of interest-rates. It has since been...
Proprietary Information, Financial Intermediation and Research Incentives
We contrast equilibria in loan markets under bilateral bank-borrower relationships, in which proprietary technological knowledge of borrowers is not r...
Large Shareholders, Private Benefits of Control and Optimal Schemes for Privatization
We analyze optimal schemes for privatization in a transitional economy. In many cases, established Western firms are good candidates for large...
