Are Middlemen Competitive?
We model competition among middlemen who buy from sellers and sell to buyers. If middlemen compete in bid prices in the first stage, a Walrasian...
Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data
This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least squares...
A Comment on Financial Services Regulation – Making the Two-Tier System Work
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A Theory of Trickle-Down Growth and Development with Debt-Overhang
This paper considers a model of growth and income distribution in the presence of imperfect capital markets. Moral hazard on the part of borrowers is...
A Comparison of the Cost of Trading French Shares on the Paris Bourse and on SEAQ International
This paper analyses the cost of trading French shares on two exchanges, the Paris Bourse and London's SEAQ International. Using a large data set...
Debt and Seniority: An Analysis of the Role of Hard Claims in Constraining Management
We develop a theory of long term debt based on the idea that debt and equity differ in their priority status relative to future corporate cash...
A Proposal for Bankruptcy Reform in the UK
There is a widespread belief that UK bankruptcy procedures are not working well, in spite of the 1986 reforms. A recent Coopers and Lybrand report...
The Econometrics of Stochastic Volatility
A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is...
Limited Market Participation and Volatility of Asset Prices
This is considerable empirical evidence that most investors participate in only a limited number of markets. Once the participation decision is...
European Exchange Rate Credibility Before the Fall
Realignment expectations which measure exchange rate credibility are analyzed for European exchange rates, using daily financial data since the...
Fixing Exchange Rates: A Virtual Quest for Fundamentals
Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change...
Risk and Return in January: Some UK Evidence
A large body of empirical research has found that stock returns tend to be higher in January than in other months. One possible explanation is that...
Optimal Debt Structure With Multiple Creditors
Within an optimal contracting framework, we analyze some important aspects of debt structure: the number of creditors a company borrows from; the...
UK Directors' Trading: The Impact of Dealings in Smaller Firms
This paper reassesses the UK results of significant abnormal returns from directors' trading for a new sample of directors' trades 1984-1986, and...
Interday Price Formation on the London Stock Exchange
Using transactions data from the London Stock Exchange, the paper estimates the extent to which market maker's prices are influenced by trades (order...
