Discussion Papers

Many if not most markets with network externalities are two-sided. To succeed, platforms in industries such as software, portals and media, payment...

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 investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...

Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...

This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...

This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...

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...

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

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...

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...

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...