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Financial Markets Group

FMG Discussion Papers

Contact information of Financial Markets Group:
Web page: http://fmg.lse.ac.uk/

Download restrictions: Financial Markets Group Working Papers are free to download for academics and students, and for our subscribers and sponsors. If you fall into one of these categories but have trouble downloading our papers, or if you do not fall into one of these categories but would like to pay for a copy, please contact us at fmg@lse.ac.uk
Editor: David Webb
For technical questions regarding this series, please contact (The FMG Administration)
Series handle: repec:fmg:fmgdps

More pages of listings: 0|1

2009

dp633 Ambiguity, Information Acquisition and Price Swings in Asset Markets
by Antonio Mele & Francesco Sangiorgi [Downloadable! (restricted)]
dp632 The Lifecycle of the Financial Sector and Other Speculative Industries
by Bruno Biais & Paul Woolley & Jean-Charles Rochet [Downloadable! (restricted)]
dp631 Large powerful shareholders and cash holding
by Ron Anderson & Malika Hamadi [Downloadable! (restricted)]
dp630 Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows
by Michela Verardo & Andrew Patton [Downloadable! (restricted)]
dp629 The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship
by Jan Bena [Downloadable! (restricted)]
dp628 Labor Hiring, Investment and Stock Return Predictability in the Cross Section
by Xiaoji Lin & Santiago Bazdrech & Frederico Belo [Downloadable! (restricted)]
dp627 Banking Stability Measures
by Charles Goodhart & Miguel Segoviano [Downloadable! (restricted)]
dp626 Understanding Portfolio Efficiency with Conditioning Information
by Francisco Peñaranda [Downloadable! (restricted)]
dp625 The credit crisis and the dynamics of asset backed commercial paper programs
by Nikolaj Schmidt [Downloadable! (restricted)]

2008

dp623 Foreign Bank Entry: The Stability Implications of Greenfield Entry vs. Acquisition
by Nikolaj Schmidt [Downloadable! (restricted)]
dp622 Foreign Bank Entry: A Liquidity Based Theory of Entry and Credit Market Segmentation
by Nikolaj Schmidt [Downloadable! (restricted)]
dp621 An Institutional Theory of Momentum and Reversal
by Dimitri Vayanos & Paul Woolley [Downloadable! (restricted)]
dp620 Information Linkages and Correlated Trading
by Antonio Mele [Downloadable! (restricted)]
dp619 Central banks and financial crises
by . . & Willem Buiter [Downloadable! (restricted)]
dp618 Control Rights over Intellectual Property: Corporate Venturing and Bankruptcy Regimes
by Sergei Guriev & Sudipto Bhattacharya [Downloadable! (restricted)]
dp617 The Optimal Monetary Instrument for Prudential Purposes
by Charles Goodhart & Dimitrios Tsomocos & Pojanart Sunirand [Downloadable! (restricted)]
dp616 Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
by Valentina Corradi & Antonio Mele & Walter Distaso [Downloadable! (restricted)]
dp615 Some Determinants of the Price of Default Risk
by Ron Anderson [Downloadable! (restricted)]
dp614 Forecasting Bankruptcy and Physical Default Intensity
by Ping Zhou [Downloadable! (restricted)]
dp613 Do Reputational Concerns Lead to Reliable Ratings?
by Beatriz Mariano [Downloadable! (restricted)]
dp612 Interest Rate Forecasts: A Pathology
by Wen Bin Lim & Charles Goodhart [Downloadable! (restricted)]
dp610 Can Rare Events Explain the Equity Premium Puzzle?
by Anisha Ghosh & Christian Julliard [Downloadable! (restricted)]
dp609 Asset Pricing Tests with Long Run Risks in Consumption Growth
by Anisha Ghosh & George Constantinides [Downloadable! (restricted)]
dp608 From Fiction to Fact: The Impact of CEO Social Networks
by Thomas Kirchmaier & Konstantinos Stathopoulos [Downloadable! (restricted)]
dp607 Bond Supply and Excess Bond Returns
by Dimitri Vayanos & Robin Greenwood [Downloadable! (restricted)]

2007

dp605 Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error
by Oliver Linton & Anisha Ghosh [Downloadable! (restricted)]
dp604 Performance Measurement and Evaluation
by Allan Timmermann & Bruce N. Lehmann [Downloadable! (restricted)]
dp603 An Estimation of Economic Models with Recursive
by Sydney C. Ludvigson & Xiaohong Chen & Jack Favilukis [Downloadable! (restricted)]
dp602 Inequality, Stock Market Participation, and the Equity Premium
by Jack Favilukis [Downloadable! (restricted)]
dp601 Inflation Dynamics in the US -A Nonlinear Perspective
by Bob Nobay & Ivan Paya & David A. Peel [Downloadable! (restricted)]
dp600 Efficient Dynamic Coordination with Individual Learning
by Amil Dasgupta & Jakub Steiner & Colin Stewart [Downloadable! (restricted)]
dp599 Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
by Gregory Connor & Oliver Linton & Matthias Hagmann [Downloadable! (restricted)]
dp598 Executive Compensation and Competition in the Banking and Financial Sectors
by Vicente Cuñat & Maria Guadalupe [Downloadable! (restricted)]
dp596 Value of Information in Competitive Economies with Incomplete Markets
by Rohit Rahi & Piero Gottardi [Downloadable! (restricted)]
dp595 Strategic Financial Innovation in Segmented Markets
by Jean-Pierre Zigrand & Rohit Rahi [Downloadable! (restricted)]
dp594 Financing Constraints and a Firm’s Decision and Ability to Innovate: Establishing Direct and Reverse Effects
by Vassilis Hajivassiliou & Frédérique Savignac [Downloadable! (restricted)]
dp593 (UBS Paper 044) How Deep is the Annuity Market Participation Puzzle?
by Alex Michaelides & Paula Lopes & Joachim Inkmann [Downloadable! (restricted)]
dp592 Competition and Opportunistic Advice of Financial Analysts: Theory and Evidence
by Enrico Sette [Downloadable! (restricted)]
dp591 Evaluating hedge fund performance: a stochastic dominance approach
by Sheng Li & Oliver Linton [Downloadable! (restricted)]
dp590 (Corporate Governance Series 003) The Ownership of Ratings
by Antoine Faure-Grimaud & Eloïc Peyrache & Lucia Quesada [Downloadable! (restricted)]
dp589 Intergenerational Risksharing and Equilibrium Asset Prices
by John Y. Campbell & Yves Nosbusch [Downloadable! (restricted)]
dp588 Loan Maturity and renegotiation evidence from the lending practices of large and small banks
by Ugo Albertazzi [Downloadable! (restricted)]
dp587 Portfolio Choice Beyond the Traditional Approach
by Francisco Penaranda [Downloadable! (restricted)]
dp586 On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
by Francisco Penaranda & Jon Danielsson [Downloadable! (restricted)]
dp583 Endogenous State Prices, Liquidity, Default, and the Yield Curve
by Raphael Espinoza & Dimitrios Tsomocos & Charles Goodhart [Downloadable! (restricted)]
dp580 Market Liquidity and Funding Liquidity
by Lasse Heje Pederson & Markus K Brunnermeier [Downloadable! (restricted)]
dp578 The Gambler's and Hot-Hand Fallacies:Theory and Applications
by Matthew Rabin & Dimitri Vayanos [Downloadable! (restricted)]
dp577 A Search-Based Theory of the On-the-Run Phenomenon
by Pierre-Olivier Weill & Dimitri Vayanos [Downloadable! (restricted)]
dp575 Security-Voting Structure and Bidder Screening
by Samuel Lee & Christian At & Mike Burkart [Downloadable! (restricted)]

2006

dp585 Evolution of Decision and Control Rights in Venture Capital Contracts: An Empirical Analysis
by Uwe Walz & Carsten Bienz [Downloadable! (restricted)]
dp584 Regionality Revisited: An Examination of the Direction of Spread of Currency Crises
by Anja Shortland & Roberto Leon-Gonzalez & Amil Dasgupta [Downloadable! (restricted)]
dp582 (Corporate Governance Series No 002) The role of prestige and networks in outside director appointment
by Thomas Kirchmaier [Downloadable! (restricted)]
dp579 Money Illusion and Housing Frenzies
by Markus K Brunnermeier & Christian Julliard [Downloadable! (restricted)]
dp576 Financial structure, managerial compensation and monitoring
by Sonja Daltung & Vittoria Cerasi [Downloadable! (restricted)]
dp574 Corporate Governance and Regulation: Can There Be Too Much of a Good Thing?
by Stijn Claessen & Valentina Bruno [Downloadable! (restricted)]
dp573 Liquidity and Capital Structure
by Andrew Carverhill & Ron Anderson [Downloadable! (restricted)]
dp572 Recovery Rates, Default Probabilities and the Credit Cycle
by Carlos González-Aguado & Max Bruche [Downloadable! (restricted)]
dp571 Incentive Design under Loss Aversion
by David De Meza & David C Webb [Downloadable! (restricted)]
dp570 Speculative Attacks with Multiple Sources of Public Information
by Frank Heinemann & Camille Cornand [Downloadable! (restricted)]
dp569 Monetary Policy and its Informative Value
by Camille Cornand & Romain Baeriswyl [Downloadable! (restricted)]
dp568 Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
by Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton [Downloadable! (restricted)]
dp567 (UBS Pensions Series 043) The Optimal Design of Funded Pensions
by Luciano Greco [Downloadable! (restricted)]
dp566 Choice of Corporate Risk Management Tools under Moral Hazard
by Jan Bena [Downloadable! (restricted)]
dp565 Consistent Measures of Risk
by Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson [Downloadable! (restricted)]
dp563 (UBS Pensions Series 041) The Economics of Pensions
by Peter Diamond & Nicholas Barr [Downloadable! (restricted)]
dp562 (UBS Pensions Series 040) Pensions: Overview of Issues
by Nicholas Barr [Downloadable! (restricted)]
dp561 Equilibrium Asset Pricing with Systemic Risk
by Jean-Pierre Zigrand & Jon Danielsson [Downloadable! (restricted)]
dp560 Hedge Funds and Financial Stability: Explaining the Debate at the Financial Stability Forum
by Paola Robotti [Downloadable! (restricted)]
dp559 The Dark Side of Good Corporate Governance:
by Mariano Selvaggi & Thomas Kirchmaier [Downloadable! (restricted)]
dp558 Conditional Probabilty of Default Methodolgy
by Miguel Segoviano [Downloadable! (restricted)]
dp557 Consistent Information Multivariate Density Optimizing Methodology
by Miguel Segoviano [Downloadable! (restricted)]
dp556 Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic
by Jan Hanousek & Jan Bena [Downloadable! (restricted)]
dp555 Imperfect Common Knowledge in First Generation Models of Currency Crises
by Gara Minguez Afonso [Downloadable! (restricted)]
dp554 Towards a Measure of Financial Fragility
by Lea Zicchino & Dimitrios Tsomocos & Charles Goodhart & Oriol Aspachs Bracon [Downloadable! (restricted)]
dp530 (UBS Pensions series 034) Long-Term Care Insurance, Annuities and Asymmetric Information: The Case for Bundling Contracts
by David C Webb [Downloadable! (restricted)]

2005

dp581 (Corporate Governance Series No 001) Corporate Governance in the UK: is the Comply-or-Explain Approach Working?
by Antoine Faure-Grimaud & Valentina Bruno & Sridhar Arcot [Downloadable! (restricted)]
dp553 (UBS Pensions Series 039) Rare Events and Annuity Market Participation
by Alex Michaelides & Paula Lopes [Downloadable! (restricted)]
dp552 The Dynamics of Venture Capital Contracts
by Julia Hirsch & Carsten Bienz [Downloadable! (restricted)]
dp551 Comparing Downside Risk Measures for Heavy Tailed Distributions
by Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson [Downloadable! (restricted)]
dp549 Subadditivity Re–Examined: the Case for Value-at-Risk
by Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson [Downloadable! (restricted)]
dp548 On Modelling Endogenous Default
by Dimitrios Tsomocos & Lea Zicchino [Downloadable! (restricted)]
dp547 The Interest Rate Conditioning Assumption
by Charles Goodhart [Downloadable! (restricted)]
dp546 An Essay on the Interactions between the Bank of England's Forecasts, The MPC's Policy Adjustments, and the Eventual Outcome
by Charles Goodhart [Downloadable! (restricted)]
dp545 ART versus reinsurance: the disciplining effect of information insensitivity
by Silke Brandts [Downloadable! (restricted)]
dp544 Minority Blocks And Takeover Premia
by Fausto Panunzi & Denis Gromb & Mike Burkart [Downloadable! (restricted)]
dp543 (UBS Pensions Series 038) Reforming Public Pensions in the US and the UK
by Peter Diamond [Downloadable! (restricted)]
dp538 (UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
by Otto van Hemert & Joost Driessen & Frank de Jong [Downloadable! (restricted)]
dp537 (UBS Pensions Series 035) Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
by Francisco Gomes & Alex Michaelides [Downloadable! (restricted)]
dp536 Financial Tunnelling and the Revenge of the Insider System
by Jeremy Grant & Thomas Kirchmaier [Downloadable! (restricted)]
dp535 IMF concern for reputation and conditional lending failure: theory and empirics
by Silvia Marchesi & Laura Sabani [Downloadable! (restricted)]
dp531 Spot Market Power and Future Market Trading
by Stephen Shore & Alexander Muermann [Downloadable! (restricted)]
dp529 A Model of Corporate Liquidity
by Andrew Carverhill & Ron Anderson [Downloadable! (restricted)]
dp528 (UBS Pensions Series 033) Can the retirement-consumption puzzle be resolved? Evidence from the British Household Panel Survey
by Sarah Smith [Downloadable! (restricted)]
dp527 (UBS Pensions Series 032) Pension Plan Funding, Risk Sharing and Technology Choice
by David C Webb [Downloadable! (restricted)]

2004

dp526 (UBS Pensions Series 031) Immigration or bust? Options for securing the future viability of the UK state pension system
by Les Mayhew [Downloadable! (restricted)]
dp525 (UBS Pensions Series 030) Credible Pensions
by Andrea Prat [Downloadable! (restricted)]
dp523 (UBS Pensions series 29) Barriers to pension scheme participation in small and medium sized enterprises
by Debbie Harrison & Alistair Byrne [Downloadable! (restricted)]
dp522 (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?
by Andrew Patton [Downloadable! (restricted)]
dp521 Conglomerate Entrenchment under Optimal Financial Contracting
by Roman Inderst & Antoine Faure-Grimaud [Downloadable! (restricted)]
dp520 Strategic Financial Innovation in Segmented Markets
by Jean-Pierre Zigrand & Rohit Rahi [Downloadable! (restricted)]
dp519 (UBS Pensions series 28) Portfolio Choice and Wealth Accumulation with Taxable and Tax-Deferred Accounts
by Francisco Gomes & Alex Michaelides & Valery Polkovnichenko [Downloadable! (restricted)]
dp518 (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
by Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson [Downloadable! (restricted)]
dp516 A GARCH Model of the Implied Volatility of the Swiss Market Index from Options Prices
by Michael Sabbatini & Oliver Linton [Downloadable! (restricted)]
dp515 Yield Curve Estimation by Kernel Smoothing
by C Taanggard & J Nielsen & Enno Mammen & Oliver Linton [Downloadable! (restricted)]
dp514 The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
by Benoit Perron & Oliver Linton [Downloadable! (restricted)]
dp513 Flexible Term Structure Estimation: Which Method is Preferable?
by Thong Nguyen & Andrew Jeffrey & Oliver Linton [Downloadable! (restricted)]
dp512 Estimation of Linear Regression Models by a Spread-Tolerant Estimator
by Oliver Linton [Downloadable! (restricted)]
dp511 Estimating Semiparametric ARCH Models by Kernel Smoothing Methods
by Enno Mammen & Oliver Linton [Downloadable! (restricted)]
dp509 A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models
by Woocheol Kim & Oliver Linton [Downloadable! (restricted)]
dp508 Consistent Testing for Stochastic Dominance: A Subsampling Approach
by Yoon-Jae Whang & Esfandiar Maasoumi & Oliver Linton [Downloadable! (restricted)]
dp506 Opening and Closing the Market: Evidence from the London Stock Exchange
by Hyun Song Shin & Ian Tonks & Andrew Ellul [Downloadable! (restricted)]
dp505 (UBS Pensions series 26) Defined Benefit or Defined Contribution? An Empirical Study of Pension Choices
by Joao F. Cocco & Paula Lopes [Downloadable! (restricted)]
dp503 Eurobond Underwriter Spreads
by Neil Esho & Ian Sharpe [Downloadable! (restricted)]
dp502 Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations
by Enrique Sentana [Downloadable! (restricted)]
dp501 A Semiparametric Single-Factor Model of the Term Structure
by Dennis Kristensen [Downloadable! (restricted)]
dp500 Estimation in Two Classes of Semiparametric Diffusion Models
by Dennis Kristensen [Downloadable! (restricted)]
dp498 (UBS Pensions series 25) The Wrong Kind of Transparency
by Andrea Prat [Downloadable! (restricted)]
dp497 Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach
by Enrique Sentana & Francisco Penaranda [Downloadable! (restricted)]
dp494 Career Concerns in Financial Markets
by Andrea Prat & Amil Dasgupta [Downloadable! (restricted)]
dp493 Real Effects of Regional House Prices: Dynamic Panel Estimation with Heterogeneity
by Sonia Munoz [Downloadable! (restricted)]
dp491 (UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle
by Alex Michaelides & Francisco Gomes [Downloadable! (restricted)]
dp490 Multiple-bank lending: diversification and free-riding in monitoring
by Sonja Daltung & Vittoria Cerasi & Elena Carletti [Downloadable! (restricted)]
dp489 General Properties of Rational Stock-Market Fluctuations
by Antonio Mele [Downloadable! (restricted)]
dp488 A Theory of Sovereign Debt Roll-over Crisis
by Masazumi Hattori [Downloadable! (restricted)]
dp487 (UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits
by David C Webb [Downloadable! (restricted)]
dp486 (UBS Pensions series 22) Performance of Personal Pension Schemes in the UK
by Alan Gregory & Ian Tonks [Downloadable! (restricted)]
dp485 (UBS Pensions series 21) Stopping short? Evidence on contributions to long-term savings from aggregate and micro data
by Sarah Smith [Downloadable! (restricted)]
dp483 (IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
by Yanqin Fan & Xiaohong Chen & Andrew Patton [Downloadable! (restricted)]
dp481 IPO Underpricing During the Boom: A Block-Booking Explanation
by Kevin James [Downloadable! (restricted)]
dp480 Block-Booking and IPO Share Allocation: The Importance of Being Ignorant
by Céline Gondat-Larralde & Kevin James [Downloadable! (restricted)]
dp479 Continous Time Optimal Stochastic Growth: Local martingales, Transversality and Existence
by Lucien Foldes [Downloadable! (restricted)]
dp478 Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options
by David De Meza & David C Webb [Downloadable! (restricted)]
dp477 (IAM Series No 002) An Intro to Hedge Funds
by Mason Woo & Gregory Connor [Downloadable! (restricted)]
dp476 Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns
by Antonio Mele & Filippo Altissimo [Downloadable! (restricted)]

2003

dp475 Macroeconomic news, order flows and exchange rates
by Richard Payne [Downloadable! (restricted)]
dp474 (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
by Francisco Gomes & Alex Michaelides [Downloadable! (restricted)]
dp473 (UBS Pensions series 19) Are Annuities Value for Money? Who Can Afford Them?
by Paula Lopes [Downloadable! (restricted)]
dp472 Credibility and Cheap Talk of Securities Analysts:Theory and Evidence
by Jordi Blanes [Downloadable! (restricted)]
dp471 A Comprehensive Test of Order Choice Theory:Recent Evidence from the NYSE
by Andrew Ellul [Downloadable! (restricted)]
dp470 Credit Card Debt and Default over the Life-Cycle
by Paula Lopes [Downloadable! (restricted)]
dp469 (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems
by Alex Michaelides & Francisco Gomes [Downloadable! (restricted)]
dp468 (UBS Pensions series 17) Long-Term Value at Risk
by Andrew Cairns & Kevin Dowd [Downloadable! (restricted)]
dp464 Procyclicality and the new Basel Accord–banks’ choice of loan rating system
by Dimitrios Tsomocos & Eva Catarineu-Rabell & Patricia Jackson [Downloadable! (restricted)]
dp462 Management Behaviour and Market Response
by Josef Schuster & Jinhui Luo [Downloadable! (restricted)]
dp460 The Cross-Section of European IPO Returns
by Josef Schuster [Downloadable! (restricted)]
dp459 The Near Impossibility of Credit Rationing
by David De Meza & David C Webb [Downloadable! (restricted)]
dp458 Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty
by Francisco Penaranda [Downloadable! (restricted)]
dp456 Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
by Burak Saltoglu & Jon Danielsson [Downloadable! (restricted)]
dp455 Common factors in conditional distributions for Bivariate time series
by Timo Terasvirta & Clive W.J Granger & Andrew Patton [Downloadable! (restricted)]
dp454 (UBS Pensions series 12) Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans
by Andrea Prat [Downloadable! (restricted)]
dp453 Likelihood-based estimation of latent generalised ARCH structures
by Neil Shephard & Gabriele Fiorentini & Enrique Sentana [Downloadable! (restricted)]
dp451 The Role of Money in The Transmission Mechanism of Monetary Policy: Evidence from Thailand
by Pojanart Sunirand [Downloadable! (restricted)]
dp450 Equilibrium analysis, banking, contagion and financial fragility
by Dimitrios Tsomocos [Downloadable! (restricted)]
dp449 Tranching
by Guillaume Plantin [Downloadable! (restricted)]
dp448 Self-Fulfilling Liquidity
by Guillaume Plantin [Downloadable! (restricted)]
dp447 Does Reinsurance Need Reinsurers?
by Guillaume Plantin [Downloadable! (restricted)]
dp444 (UBS Pensions series 8) UK Annuity Rates and Pension Replacement Ratios 1957 - 2002
by Ian Tonks [Downloadable! (restricted)]
dp441 Predatory Trading
by Markus K Brunnermeier & Lasse Heje Pederson [Downloadable! (restricted)]
dp440 Financing Constraints, Irreversibility, and Investment Dynamics
by Andrea Caggese [Downloadable! (restricted)]
dp439 On time-scaling of risk and the square–root–of–time rule
by Jean-Pierre Zigrand & Jon Danielsson [Downloadable! (restricted)]
dp437 Basel II and Developing Countries: Diversification and Portfolio Effects
by Stephany Griffith-Jones & Stephen Spratt [Downloadable! (restricted)]

2002

dp467 Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets
by Richard Payne & Charles Goodhart & Dagfinn Rime [Downloadable! (restricted)]
dp436 Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics
by Amil Dasgupta [Downloadable! (restricted)]
dp435 Coordination, Learning, and Delay
by Amil Dasgupta [Downloadable! (restricted)]
dp434 Optimal Expectations
by Jonathan Parker & Markus K Brunnermeier [Downloadable! (restricted)]
dp433 The Role of Bank Capital and The Transmission Mechanism of Monetary Policy
by Pojanart Sunirand [Downloadable! (restricted)]
dp432 Homeownership: Low household mobility, volatile housing prices, high income dispersion
by Sven Rady [Downloadable! (restricted)]
dp431 (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation
by Andrew Patton [Downloadable! (restricted)]
dp430 Revisited Multi-moment Approximate Option
by Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko [Downloadable! (restricted)]
dp428 Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy
by Philip Lowe [Downloadable! (restricted)]
dp427 Dealer liquidity in an auction market: evidence fom the London Stock Exchange
by Richard Payne & Sylvain Friederich [Downloadable! (restricted)]
dp426 (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds
by Allan Timmermann [Downloadable! (restricted)]
dp425 (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
by Bruce N. Lehmann & Allan Timmermann [Downloadable! (restricted)]
dp424 (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
by Allan Timmermann [Downloadable! (restricted)]
dp423 (UBS Pensions Series 1) Performance Persistence of Pension Fund Managers
by Ian Tonks [Downloadable! (restricted)]
dp422 Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation
by Andreas Jobst [Downloadable! (restricted)]
dp421 In-Kind Finance
by Tore Ellingsen & Mike Burkart [Downloadable! (restricted)]
dp419 Skewness and Kurtosis Implied by Option Prices: A Second Comment
by Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko [Downloadable! (restricted)]
dp418 You Might as Well be Hung for a Sheep as a Lamb: The Loss Function of an Agent
by Charles Goodhart & Margaret Bray [Downloadable! (restricted)]
dp417 How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks
by Thierry Michel & Bertrand Maillet [Downloadable! (restricted)]
dp416 Speculative Attacks and Financial Architecture: Experimental Analysis of Coordination Games with Public and Private Information
by Peter Ockenfels & Rosemarie Nagel & Frank Heinemann [Downloadable! (restricted)]
dp415 Hedging Housing Risk in London
by Matteo Iacoviello [Downloadable! (restricted)]
dp414 Rational Asset Pricing Implications from Realistic Trading Frictions
by Jean-Pierre Zigrand [Downloadable! (restricted)]
dp413 Divdends and Equity Prices: The Variance Trade Off
by Margaret Bray & Giovanni Marseguerra [Downloadable! (restricted)]
dp412 Market Timing and Return Prediction under Model Instability
by Allan Timmermann & M. Hashem Pesaran [Downloadable! (restricted)]
dp411 Venture Capital Contracts and Market Structure
by Holger M Muller & Roman Inderst [Downloadable! (restricted)]
dp409 Platform Competition in Two Sided Markets
by Jean-Charles Rochet & Jean Triole [Downloadable! (restricted)]
dp408 Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?
by Jean-Charles Rochet & Xavier Vives [Downloadable! (restricted)]
dp407 Consistent Testing for Stochastic Dominance: A Subsampling Approach
by Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang [Downloadable! (restricted)]
dp406 Family Firms
by Andrei Shleifer & Fausto Panunzi & Mike Burkart [Downloadable! (restricted)]
dp405 Mommentum in the UK Stock Market
by Ian Tonks & Mark T Hon [Downloadable! (restricted)]
dp404 Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements
by Ian Tonks & Daniella Acker & Matthew Stalker [Downloadable! (restricted)]
dp403 Diversification and Delegation in Firms
by Sonja Daltung & Vittoria Cerasi [Downloadable! (restricted)]
dp402 Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle
by Kostas Koufopoulos [Downloadable! (restricted)]
dp401 Bubbles and Crashes
by Markus K Brunnermeier [Downloadable! (restricted)]
dp400 Pricing Catastrophe Insurance Derivatives
by Alexander Muermann [Downloadable! (restricted)]
dp399 Optimal Hedging Strategies and Interactions between Firms
by Frederic Loss [Downloadable! (restricted)]
dp398 The Fallacy of New Business Creation as a Disciplining Device for Managers
by Antoine Renucci & Frederic Loss [Downloadable! (restricted)]

2001

dp397 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
by Allan Timmermann & Massimo Guidolin [Downloadable! (restricted)]
dp395 Self-Confidence and Survival
by Heski Bar-Isaac [Downloadable! (restricted)]

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