Discussion Papers

We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...

This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...

This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...

This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the...

We consider the impact of history on the survival of a monopolist selling single units in discrete time periods, whose quality is learned slowly. If...

Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...

It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, optimising agents. This paper proposes a rational...

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...

Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...

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...

In this paper we explain the apparent "diversification discount" of conglomerates without assuming inefficient-cross subsidisation through internal...

This paper investigates, in a simple model of overlapping moral hazard problems between banks and firms, how the number of bank relationships affect...

In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...

Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...

“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...