Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company. However...
Firm Size and Cyclical Variations in Stock Returns
Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle...
Equity Finance, Adverse Selection and Product Market Competition
This paper analyses the effect of asymmetric information between a firm and its outside investors on the firm's competitive position in a model where...
Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
This paper examines the patterns of security returns around the trades of corporate insiders in the shares of their own company. We find patterns in...
Insider Trading, Investment and Liquidity: A Welfare Analysis
We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment...
Time Series of Commodity Futures Prices
This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price...
Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy
This paper considers a two country economy similar to that in Obstfeld and Rogoff (1995). We build on their model by distinguishing between sticky...
Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries
I study an economy in which entrepreneurs seek financing for longterm projects from capital-constrained intermediaries, who specialise in monitoring...
Modelling Bid-Ask Spreads in Competitive Dealership Markets
In competitive dealership markets, several transactions may take place within the same time interval so that observed prices cannot be ordered...
Inter-Market Price and Volatility Impacts Generated by Large Trades: The Case of European Cross-Quoted Securities
This paper investigates whether block trades in European cross-quoted securities executed on the London Stock Exchange's SEAQ-I market produce any...
Optimal Bail Out Policy, Conditionality and Creative Ambiguity
This paper addresses the issue of the optimal behaviour of the Lender of Last Resort (LOLR) in its microeconomic role regarding individual financial...
Bank Moral Hazard and Market Discipline
We show that market discipline can be effective in resolving the moral hazard problem which arises when depositors do not know whether bankers are...
Corporate Walkout Decisions and the Value of Default
We present a continuous-time asset pricing model of the levered firm where shareholders select not only the timing but also the form of control...
Moments of Markov Switching Models
This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis...
A Recursive Modelling Approach to Predicting UK Stock Returns
This paper applies an extended and generalized version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock...
