Discussion Papers

We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...

This paper is no longer available, the revised version of this paper can be found as Paul Woolley Centre Paper 4, FMG Discussion Paper 632

We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...

This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...