Prices, Price Processes, Volume and their Information - A Survey of the Market Microstructure Literature
This paper provides an up-to-date review and summary of the existing literature on the informational aspects of price processes. A common feature of...
Pareto-improving Asymmetric Information in a Dynamic Insurance Market
This paper explored the dynamics of insurance markets under incomplete information. Various information structures are examined, according to the...
Does Debt Discipline State-Owned Firms? Evidence From A panel of Italian Firms
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Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
This study assesses the state of the policy debate that surrounds the Federal regulation of margin requirements. A relatively comprehensive review of...
Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
Do Reuters Spreads Reflect Currencies' Differences in Global Trading Activity?DP
A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing...
Sterilized Central Bank Intervention in the Foreign Exchange Market
In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...
An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...
The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
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Default and Renegotiation: A Dynamic Model of Debt
We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study...
Product Market Competition and Optimal Debt Contracts: The Limited Liability Effect Revisited
This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...
Capital Budgeting and Stock Option Plans
Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...
The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behaviour
This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...
The Future of Financial Services Regulation Some Reflections from the Inside
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