Content
2004
- dp506 Opening and Closing the Market: Evidence from the London Stock Exchange
by Hyun Song Shin & Ian Tonks & Andrew Ellul - dp505 (UBS Pensions series 26) Defined Benefit or Defined Contribution? An Empirical Study of Pension Choices
by Joao F. Cocco & Paula Lopes - dp503 Eurobond Underwriter Spreads
by Neil Esho & Ian Sharpe - dp502 Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations
by Enrique Sentana - dp501 A Semiparametric Single-Factor Model of the Term Structure
by Dennis Kristensen - dp500 Estimation in Two Classes of Semiparametric Diffusion Models
by Dennis Kristensen - dp498 (UBS Pensions series 25) The Wrong Kind of Transparency
by Andrea Prat - dp497 Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach
by Enrique Sentana & Francisco Penaranda - dp494 Career Concerns in Financial Markets
by Andrea Prat & Amil Dasgupta - dp493 Real Effects of Regional House Prices: Dynamic Panel Estimation with Heterogeneity
by Sonia Munoz - dp491 (UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle
by Alex Michaelides & Francisco Gomes - dp490 Multiple-bank lending: diversification and free-riding in monitoring
by Sonja Daltung & Vittoria Cerasi & Elena Carletti - dp489 General Properties of Rational Stock-Market Fluctuations
by Antonio Mele - dp488 A Theory of Sovereign Debt Roll-over Crisis
by Masazumi Hattori - dp487 (UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits
by David C Webb - dp486 (UBS Pensions series 22) Performance of Personal Pension Schemes in the UK
by Alan Gregory & Ian Tonks - dp485 (UBS Pensions series 21) Stopping short? Evidence on contributions to long-term savings from aggregate and micro data
by Sarah Smith - 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 - dp481 IPO Underpricing During the Boom: A Block-Booking Explanation
by Kevin James - dp480 Block-Booking and IPO Share Allocation: The Importance of Being Ignorant
by Céline Gondat-Larralde & Kevin James - dp479 Continous Time Optimal Stochastic Growth: Local martingales, Transversality and Existence
by Lucien Foldes - dp478 Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options
by David De Meza & David C Webb - dp477 (IAM Series No 002) An Intro to Hedge Funds
by Mason Woo & Gregory Connor - dp476 Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns
by Antonio Mele & Filippo Altissimo
2003
- dp475 Macroeconomic news, order flows and exchange rates
by Richard Payne - dp474 (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
by Francisco Gomes & Alex Michaelides - dp473 (UBS Pensions series 19) Are Annuities Value for Money? Who Can Afford Them?
by Paula Lopes - dp472 Credibility and Cheap Talk of Securities Analysts:Theory and Evidence
by Jordi Blanes - dp471 A Comprehensive Test of Order Choice Theory:Recent Evidence from the NYSE
by Andrew Ellul - dp470 Credit Card Debt and Default over the Life-Cycle
by Paula Lopes - dp469 (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems
by Alex Michaelides & Francisco Gomes - dp468 (UBS Pensions series 17) Long-Term Value at Risk
by Andrew Cairns & Kevin Dowd - dp464 Procyclicality and the new Basel Accord–banks’ choice of loan rating system
by Dimitrios Tsomocos & Eva Catarineu-Rabell & Patricia Jackson - dp462 Management Behaviour and Market Response
by Josef Schuster & Jinhui Luo - dp460 The Cross-Section of European IPO Returns
by Josef Schuster - dp459 The Near Impossibility of Credit Rationing
by David De Meza & David C Webb - dp458 Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty
by Francisco Penaranda - dp456 Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
by Burak Saltoglu & Jon Danielsson - dp455 Common factors in conditional distributions for Bivariate time series
by Timo Terasvirta & Clive W.J Granger & Andrew Patton - dp454 (UBS Pensions series 12) Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans
by Andrea Prat - dp453 Likelihood-based estimation of latent generalised ARCH structures
by Neil Shephard & Gabriele Fiorentini & Enrique Sentana - dp451 The Role of Money in The Transmission Mechanism of Monetary Policy: Evidence from Thailand
by Pojanart Sunirand - dp450 Equilibrium analysis, banking, contagion and financial fragility
by Dimitrios Tsomocos - dp449 Tranching
by Guillaume Plantin - dp448 Self-Fulfilling Liquidity
by Guillaume Plantin - dp447 Does Reinsurance Need Reinsurers?
by Guillaume Plantin - dp444 (UBS Pensions series 8) UK Annuity Rates and Pension Replacement Ratios 1957 - 2002
by Ian Tonks - dp441 Predatory Trading
by Markus K Brunnermeier & Lasse Heje Pederson - dp440 Financing Constraints, Irreversibility, and Investment Dynamics
by Andrea Caggese - dp439 On time-scaling of risk and the square–root–of–time rule
by Jean-Pierre Zigrand & Jon Danielsson - dp437 Basel II and Developing Countries: Diversification and Portfolio Effects
by Stephany Griffith-Jones & Stephen Spratt
2002
- dp467 Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets
by Richard Payne & Charles Goodhart & Dagfinn Rime - dp436 Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics
by Amil Dasgupta - dp435 Coordination, Learning, and Delay
by Amil Dasgupta - dp434 Optimal Expectations
by Jonathan Parker & Markus K Brunnermeier - dp433 The Role of Bank Capital and The Transmission Mechanism of Monetary Policy
by Pojanart Sunirand - dp432 Homeownership: Low household mobility, volatile housing prices, high income dispersion
by Sven Rady - dp431 (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation
by Andrew Patton - dp430 Revisited Multi-moment Approximate Option
by Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko - dp428 Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy
by Philip Lowe - dp427 Dealer liquidity in an auction market: evidence fom the London Stock Exchange
by Richard Payne & Sylvain Friederich - dp426 (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds
by Allan Timmermann - dp425 (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry
by Bruce N. Lehmann & Allan Timmermann - dp424 (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities
by Allan Timmermann - dp423 (UBS Pensions Series 1) Performance Persistence of Pension Fund Managers
by Ian Tonks - dp422 Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation
by Andreas Jobst - dp421 In-Kind Finance
by Tore Ellingsen & Mike Burkart - dp419 Skewness and Kurtosis Implied by Option Prices: A Second Comment
by Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko - dp418 You Might as Well be Hung for a Sheep as a Lamb: The Loss Function of an Agent
by Charles Goodhart & Margaret Bray - 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 - dp416 Speculative Attacks and Financial Architecture: Experimental Analysis of Coordination Games with Public and Private Information
by Peter Ockenfels & Rosemarie Nagel & Frank Heinemann - dp415 Hedging Housing Risk in London
by Matteo Iacoviello - dp414 Rational Asset Pricing Implications from Realistic Trading Frictions
by Jean-Pierre Zigrand - dp413 Divdends and Equity Prices: The Variance Trade Off
by Margaret Bray & Giovanni Marseguerra - dp412 Market Timing and Return Prediction under Model Instability
by Allan Timmermann & M. Hashem Pesaran - dp411 Venture Capital Contracts and Market Structure
by Holger M Muller & Roman Inderst - dp409 Platform Competition in Two Sided Markets
by Jean-Charles Rochet & Jean Triole - dp408 Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?
by Jean-Charles Rochet & Xavier Vives - dp407 Consistent Testing for Stochastic Dominance: A Subsampling Approach
by Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang - dp406 Family Firms
by Andrei Shleifer & Fausto Panunzi & Mike Burkart - dp405 Mommentum in the UK Stock Market
by Ian Tonks & Mark T Hon - dp404 Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements
by Ian Tonks & Daniella Acker & Matthew Stalker - dp403 Diversification and Delegation in Firms
by Sonja Daltung & Vittoria Cerasi - dp402 Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle
by Kostas Koufopoulos - dp401 Bubbles and Crashes
by Markus K Brunnermeier - dp400 Pricing Catastrophe Insurance Derivatives
by Alexander Muermann - dp399 Optimal Hedging Strategies and Interactions between Firms
by Frederic Loss - dp398 The Fallacy of New Business Creation as a Disciplining Device for Managers
by Antoine Renucci & Frederic Loss
2001
- dp397 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
by Allan Timmermann & Massimo Guidolin - dp395 Self-Confidence and Survival
by Heski Bar-Isaac - dp394 Asset Price Dynamics with Value-at-Risk Constrained Traders
by Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin - dp393 What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
by Jean-Pierre Zigrand & Jon Danielsson - dp392 Rational Limits to Arbitrage
by Jean-Pierre Zigrand - dp391 Saving Eliminates Credit Rationing
by David C Webb & David De Meza - dp390 Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
by Hyun Song Shin & Prasanna Gai & Simon Hayes - dp389 Financial Development, Agency and the Pace of Adoption of New Techniques
by Kjell G. Nyborg & Ron Anderson - dp387 Signalling with Debt and Equity: A Unifying Approach and its Implications for the Pecking Order Hypothesis and Competitive Credit Rationing
by Florian Heider - dp386 What Do Internal Capital Markets Do? Redistribution vs. Incentives
by Axel Gautier & Florian Heider - dp385 Flexible Term Structure Estimation: Which Method is Preferred?
by Oliver Linton & Andrew Jeffrey & Thong Nguyen - dp384 Constrained Indirect Inference Estimation
by Gabriele Fiorentini & Enrique Sentana - dp383 Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
by Oliver Linton & Mototsugu Shintani - dp382 Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
by Oliver Linton & Douglas J.Hodgson & Keith Vorkink - dp381 Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information
by Rohit Rahi & Piero Gottardi - dp380 Mean-Variance Portfolio allocation with a Value at Risk Constraint
by Enrique Sentana & Enrique Sentana - dp379 Tests of the Fama Model in India
by Gregory Connor & Sanjay Sehgal - dp378 Agency Conflicts, Ownership Concentration, and Legal Shareholder Protection
by Fausto Panunzi & Mike Burkart - dp377 The Skill Profile of Central Bankers and Supervisors
by Dirk Schoenmaker & Paolo Dasgupta & Charles Goodhart - dp376 Financing and Corporate Growth under Repeated Moral Hazard
by Ron Anderson & Kjell G. Nyborg - dp375 Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints
by Sven Rady - dp374 The Impact of Technology on Cash Usage
by Malte Krueger & Charles Goodhart - dp373 Coordination Risk and the Price of Debt
by Hyun Song Shin & Stephen Morris - dp372 Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders
by Hyun Song Shin & Giancarlo Corsetti & Amil Dasgupta & Stephen Morris - dp371 Disclosures and Asset Returns
by Hyun Song Shin - dp370 A Structured GARCH Model of Daily Equity Return Volatility
by Gregory Connor - dp369 In Defence of Usury Laws
by David De Meza & Giuseppe Coco - dp355 A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates
by Richard Payne
2000
- dp367 Financing Constraints and Inventories
by Ward Brown - dp365 Trade Credit: Suppliers as Debt Collectors and Insurance Providers
by Vincente Cuñat - dp364 An Autoregressive Conditional Binomial Option Pricing Model
by Olivier Renault & Jean-Luc Prigent & Olivier Scaillet - dp363 An Empirical Investigation in Credit Spread Indices
by Olivier Scaillet & Olivier Renault & Jean-Luc Prigent - dp362 Liquidity and Credit Risk
by Olivier Renault & Jan Ericsson - dp361 Public Information, Private Information and the Multiplicity of Equilibrium in Co-ordination of Games
by Christian Hellwig - dp360 Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
by Allan Timmermann & Gabriel Perez-Quiros - dp359 Club Enlargement: Early Versus Late Admittance
by Klaus Wallner & Mike Burkart - dp358 Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate
by Matthias Drehmann & Charles Goodhart - dp357 External Financing Costs and Banks Loan Supply: Does the Structure of the Bank Sector Matter?
by Charlotte Ostergaard - dp356 Strategic Trading and Learning About Liquidity
by Harrison Hong & Sven Rady - dp354 Bank Capital Regulation With Random Audits
by Sudipto Bhattacharya & Manfred Plank & Josef Zechner & Gunter Strobl - dp351 Pricing Convexity Adjustment with Wiener Chaos
by Eric Benhamou - dp350 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
by Eric Benhamou - dp349 Money, Intermediaries and Cash-in-Advance Constraints
by Christian Hellwig - dp348 Excessive Continuation and Dynamic Agency Costs of Debt
by Jean-Paul Décamps - dp347 Public Trading and Private Incentives
by Denis Gromb - dp346 Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
by Oliver Linton & Gregory Connor - dp345 On the Competition Between ECNs, Stock Markets and Market Makers
by Eric Benhamou & Thomas Serval - dp344 Debt, Incentives and Performance: Evidence from UK Panel Data
by Roberta Dessí & Donald Robertson - dp343 Banks as Catalysts for Industrialisation
by Marco Da Rin & Thomas Hellmann - dp342 Valuation and Martingale Properties of Shadow Prices
by Lucien Foldes - dp340 The Profitability of Block Trades Auction and Dealer Markets
by Ian Tonks & Andy Snell - dp339 Collateral, Renegotiation and the Value of Diffusely Held Debt
by Pierre Mella-Barral & Ulrich Hege - dp338 Financial Constraints, Precautionary Saving and Firm Dynamics
by Andrea Caggese
1999
- dp336 A Simple Model of an International Lender of Last Resort
by Haizhou Huang & Charles Goodhart - dp335 Firm Size and Cyclical Variations in Stock Returns
by Allan Timmermann & Gabriel Perez-Quiros - dp334 Insider Trading, Investment and Liquidity: A Welfare Analysis
by Giovanna Nicodano & Sudipto Bhattacharya - dp333 Equity Finance, Adverse Selection and Product Market Competition
by Erlend Nier - dp332 Stock Price Around the Trades of Corporate Insider on the London Stock Exchange
by John Matatko & Alan Gregory & Ian Tonks & Sylvain Friederich - dp331 Time Series Volatility Commodity Futures Prices
by Ian Tonks & Jane Black - dp330 Barbarians in Chains - Takeover Regulation and Minority Shareholder Wealth
by Ulrike Hoffmann-Burchardi - dp329 Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy
by Markus K Brunnermeier - dp328 Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries
by Roberta Dessí - dp327 Optimal Bail Out Policy, Conditionality and Creative Ambiguity
by Xavier Freixas - dp326 Bank Moral Hazard and Market Discipline
by Elena Carletti - dp325 Corporate Walkout Decisions and the Value of Default
by Pierre Mella-Barral & Tom Dahlström - dp323 Moments of Markov Switching Models
by Allan Timmermann - dp322 A Recursive Modelling Approach to Predicting UK Stock Returns
by Allan Timmermann & M. Hashem Pesaran - dp320 Real Trading Patterns and Prices in Spot Foreign Exchange Markets
by Jon Danielsson & Richard Payne - dp319 Arbitrage and Endogenous Market Integration
by Jean-Pierre Zigrand - dp318 Moral Hazard, Insurance and Some Collusion
by Ching-to Albert Ma & Ingela Alger - dp316 Clustering of Initial Public Offerings, Information Revelation and Underpricing
by Ulrike Hoffmann-Burchardi - dp315 Corporate Governance Rules and the Value of Control - A Study of German Dual-Class Share
by Ulrike Hoffmann-Burchardi - dp313 A Model of the Lender of Last Resort
by Haizhou Huang & Charles Goodhart - dp312 Least Squares Predictions and Mean-Variance Analysis
by Enrique Sentana & Enrique Sentana
1998
- dp311 Structural Breaks, Incomplete Information and Stock Prices
by Allan Timmermann - dp310 Boom In, Bust Out: Young Households and the Housing Price Cycle
by Sven Rady - dp309 Buy on Rumours - Sell on News: A Manipulative Trading Strategy
by Markus K Brunnermeier - dp308 Utility Functions For Central Bankers: The Not So Drastic Quadratic
by Jagjit Chadha & Philip Schellekens - dp306 Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences
by A. Robert Nobay & David A. Peel - dp305 A Dilution Cost Approach to Financial Intermediation and Securities Markets
by Xavier Freixas & Patrick Bolton - dp304 The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
by Allan Timmermann & Halbert White & Ryan Sullivan - dp303 Data-Snooping, Technical Trading, Rule Performance and the Bootstrap
by Allan Timmermann & Halbert White & Ryan Sullivan - dp302 The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis
by Allan Timmermann & Asger Lunde - dp301 Liquidity in Second Tier Equity Markets: Evidence From Londons Alternative Investment Market (AIM)
by Anne Fremault Vila & John Board - dp300 Revenue Efficiency and Change of Control: The Case of Bankruptcy
by Leonardo Felli & Francesca Cornelli - dp299 The Impact of Liquidity Constraints on Bank Lending Policy
by David C Webb - dp298 Beyond the Sample: Extreme Quantile and Probability Estimation
by Jon Danielsson & Casper G. de Vries - dp296 Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints
by Sven Rady - dp293 Close-Relationships Between Banks and Firms: Is It Good or Bad?
by Sonja Daltung & Vittoria Cerasi - dp292 Informed Trading, Investment, and Welfare
by Rohit Rahi & James Dow - dp291 Should Speculators be Taxed?
by Rohit Rahi & James Dow - dp289 Managers, Debt and Industry Equilibrium
by Erlend Nier - dp288 Dynamic Adverse Selection and Debt
by Gilles Chemla - dp287 Permanent Income, Consumption and Aggregate Constraints: Evidence from US States
by Bent E. Sorensen & Charlotte Ostergaard & Oved Yosha - dp282 Disclosure Requirements and Stock Exchange Listing Choice in an International Context
by John S. Hughes & Steven Huddart & Markus K Brunnermeier - dp281 Locally Minimizing the Credit Risk
by Christopher Lotz
1997
- dp279 Implicit Contracts, Managerial Incentives and Financial Structure
by Roberta Dessí - dp275 Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes
by Harry P. Huizinga & Jan J.G. Lemmen & Sylvester C.W. Eijffinger - dp273 Extreme Returns, Tail Estimation, and Value-at-Risk
by Jon Danielsson - dp272 Team Structure Modelling of Defaultable Bonds
by Philipp J. Schonbucher - dp271 R&D Intensity and Finance: Are Innovative Firms Financially Constrained?
by Ward Brown - dp270 Prices, Price Processes, Volume and Their Information: A Literature Survey
by Markus K Brunnermeier - dp269 Optimal Managerial Remuneration and Firm-level Diversification
by Erlend Nier - dp268 Speculative Securities
by Rohit Rahi & José Marín - dp267 Pricing Options on Assets with Predictable White Noise Returns
by Angel León & Enrique Sentana - dp266 Pareto-improving Asymmetric Information in a Dynamic Insurance Market
by Thomas de Garidel - dp265 Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?
by Philipp Hartmann - dp264 An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
by Richard Payne & Marc Henry - dp258 The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour
by Alvaro Almeida & Richard Payne & Charles Goodhart - dp255 On Bounded Rationality and Risk Aversion
by Markus K Brunnermeier