Boom In, Bust Out: Young Households and the Housing Price Cycle
The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanies by unprecedented shifts in...
Utility Functions For Central Bankers: The Not So Drastic Quadratic
Following Blinder’s (1997) suggestion, we examine the implications for the optimal interest rate rule which follow from relaxing the assumption that...
Pension Fund Reform and European Financial Markets
Pension reform is widely seen as essential in order to defuse the difficulties EU governments would otherwise face in respect of their social security...
Buy on Rumours - Sell on News: A Manipulative Trading Strategy
A trader who receives a signal about a future public announcement can exploit this private information twice. First, when he receives his signal, and...
Mutual Fund Performance: Evidence from the UK
This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund...
A Dilution Cost Approach to Financial Intermediation and Securities Markets
This paper proposes a model of financial markets and corporate finance, with asymmetric information and no taxes, where equity issues, Bank debt and...
The Dangers of Data-Driven Inference: The Case of Calender Effects in Stock Returns
Economics is primarily a non-experimental science. Typically, we cannot generate new data sets on which to test hypotheses independently of the data...
Data Snooping, Technical Trading, Rule Performance, and the Bootstrap
In this paper we utilize White’s Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the...
The Hazards of Mutual Fund Performance: A Cox Regression Analysis
This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric...
Revenue Efficiency and Change of Control : The Case of Bankruptcy
The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...
Revenue Efficiency and Change of Control: The Case of Bankruptcy
The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...
Liquidity in Second Tier Equity Markets: Evidence From London's Alternative Investment Market (AIM)
This paper studies liquidity provision in the Alternative Investment Market (AIM) of the London Stock Exchange. Our analysis shows that it is possible...
Credit Rationing May Involve Excessive Lending
It is typically assumed that equilibrium credit rationing implies insufficient lending. By combining hidden types and hidden action, this paper shows...
