Rational limits to arbitrage
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, optimising agents. This paper proposes a rational...
Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...
Financial development, agency and the pace of adoption of new techniques
We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by...
What do internal capital markets do?: redistribution vs. incentives
In this paper we explain the apparent "diversification discount" of conglomerates without assuming inefficient-cross subsidisation through internal...
The structure of bank relationships, endogenous monitoring and loan rates
This paper investigates, in a simple model of overlapping moral hazard problems between banks and firms, how the number of bank relationships affect...
Signalling with debt and equity: a unifying approach and its implications for the pecking order hypothesis and competitive credit rationing
The paper sets out to tackle the following puzzle when insiders of a firm have more information than outside investors. The insiders' desire to sell...
Efficiency properties of rational expectations equilibria with asymmetric information
In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...
Constrained indirect inference estimation
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...
An Academic Response to Basel II
It is our view that the Basel Committee for Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the...
Housing market dynamics: on the contribution of income shocks and credit constraints
Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...
The impact of technology on cash usage
“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...
A structured GARCH model of daily equity return volatility
This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...
Agency conflicts, ownership concentration, and legal shareholder protection
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...
Disclosures and asset returns
Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...
