Discussion Papers

This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...

This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...

We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities...

Does capital markets uncertainty affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United...

This paper studies the correlation and volatilities of the bond and stock markets in a regime- switching bivariate GARCH model. We extend the...

We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent definition...

I document how the organizational form of a mutual fund affects its investment strategies. I show that centralized funds tilt their portfolios to hard...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...

This lecture is a tour d’horizon of the financial crisis aimed at extracting lessons for future financial regulation. It combines normative...

The paper considers three methods for eliminating the zero lower bound on nominal interest rates and thus for restoring symmetry to domain over which...

I study the cross sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. In the model...

This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payoffs. The same investors, however...

This paper is no longer available, the revised version of this paper can be found as Paul Woolley Centre Paper 4, FMG Discussion Paper 632

We study the relationship between liquid asset holding and the pattern of share ownership and control structures within the firm. We explore these...

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically significant amount on days...