FMG Discussion Papers

from Financial Markets Group
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2009: A Preferred-Habitat Model of the Term Structure of Interest Rates

Jean-Luc Vila and Dimitri Vayanos

2009: Endogenous Technological Progress and the Cross Section of Stock Returns

Xiaoji Lin

2009: Rents, learning and risk in the financial sector and other innovative industries

Jean Charles Rochet, Bruno R Biais and Paul Woolley

2009: Ambiguity, Information Acquisition and Price Swings in Asset Markets

Antonio Mele and Francesco Sangiorgi

2009: Large powerful shareholders and cash holding

Ron Anderson and Malika Hamadi

2009: Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows

Michela Verardo and Andrew Patton

2009: The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship

Jan Bena

2009: Labor Hiring, Investment and Stock Return Predictability in the Cross Section

Xiaoji Lin, Santiago Bazdrech and Frederico Belo

2009: Banking Stability Measures

Charles Goodhart and Miguel Segoviano

2009: Understanding Portfolio Efficiency with Conditioning Information

Francisco Peñaranda

2009: The credit crisis and the dynamics of asset backed commercial paper programs

Nikolaj Schmidt

2008: An Institutional Theory of Momentum and Reversal

Dimitri Vayanos and Paul Woolley

2008: Foreign Bank Entry: The Stability Implications of Greenfield Entry vs. Acquisition

Nikolaj Schmidt

2008: Information Linkages and Correlated Trading

Antonio Mele

2008: Foreign Bank Entry: A Liquidity Based Theory of Entry and Credit Market Segmentation

Nikolaj Schmidt

2008: Central banks and financial crises

. . and Willem Hendrik Buiter

2008: Control Rights over Intellectual Property: Corporate Venturing and Bankruptcy Regimes

Sergei Guriev and Sudipto Bhattacharya

2008: The Optimal Monetary Instrument for Prudential Purposes

Charles Goodhart, Dimitrios Panayotis Tsomocos and Pojanart Sunirand

2008: Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia

Valentina Corradi, Antonio Mele and Walter Distaso

2008: Some Determinants of the Price of Default Risk

Ron Anderson

2008: Forecasting Bankruptcy and Physical Default Intensity

Ping Zhou

2008: Do Reputational Concerns Lead to Reliable Ratings?

Beatriz Mariano

2008: Interest Rate Forecasts: A Pathology

Wen Bin Lim and Charles Goodhart

2008: Can Rare Events Explain the Equity Premium Puzzle?

Anisha Ghosh and Christian Julliard

2008: Asset Pricing Tests with Long Run Risks in Consumption Growth

Anisha Ghosh and George Constantinides

2008: From Fiction to Fact: The Impact of CEO Social Networks

Thomas Kirchmaier and Konstantinos Stathopoulos

2008: Bond Supply and Excess Bond Returns

Dimitri Vayanos and Robin Greenwood

2007: Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error

Oliver Bruce Linton and Anisha Ghosh

2007: An Estimation of Economic Models with Recursive

Sydney C. Ludvigson, Xiaohong Chen and Jack Favilukis

2007: Inequality, Stock Market Participation, and the Equity Premium

Jack Favilukis

2007: Inflation Dynamics in the US -A Nonlinear Perspective

Bob Nobay, Ivan Paya and David A. Peel

2007: Efficient Dynamic Coordination with Individual Learning

Amil Dasgupta, Jakub Steiner and Colin Stewart

2007: Executive Compensation and Competition in the Banking and Financial Sectors

Vicente Cuñat and Maria Guadalupe

2007: Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Gregory Connor, Oliver Bruce Linton and Matthias Hagmann

2007: Value of Information in Competitive Economies with Incomplete Markets

Rohit Rahi and Piero Gottardi

2007: Strategic Financial Innovation in Segmented Markets

Jean-Pierre Zigrand and Rohit Rahi

2007: (UBS Paper 044) How Deep is the Annuity Market Participation Puzzle?

Alexander Michaelides, Paula Lopes and Joachim Inkmann

2007: Evaluating hedge fund performance: a stochastic dominance approach

Sheng Li and Oliver Bruce Linton

2007: (Corporate Governance Series 003) The Ownership of Ratings

Eloïc Peyrache and Lucía Quesada

2007: Financing Constraints and a Firm’s Decision and Ability to Innovate: Establishing Direct and Reverse Effects

Vassilis Hajivassiliou and Frédérique Savignac

2007: Competition and Opportunistic Advice of Financial Analysts: Theory and Evidence

Enrico Sette

2007: Performance Measurement and Evaluation

Allan Timmermann and Bruce N. Lehmann

2007: Portfolio Choice Beyond the Traditional Approach

Francisco Penaranda

2007: Intergenerational Risksharing and Equilibrium Asset Prices

John Y. Campbell and Yves Nosbusch

2007: Loan Maturity and renegotiation evidence from the lending practices of large and small banks

Ugo Albertazzi

2007: Endogenous State Prices, Liquidity, Default, and the Yield Curve

Raphael Espinoza, Dimitrios Panayotis Tsomocos and Charles Goodhart

2007: Market Liquidity and Funding Liquidity

Lasse Heje Pederson and Markus K. Brunnermeier

2007: Security-Voting Structure and Bidder Screening

Samuel Lee, Christian At and Mike Burkart

2007: On the Impact of Fundamentals, Liquidity and Coordination on Market Stability

Francisco Penaranda and Jon Danielsson

2007: The Gambler's and Hot-Hand Fallacies:Theory and Applications

Matthew Rabin and Dimitri Vayanos

2007: A Search-Based Theory of the On-the-Run Phenomenon

Pierre-Olivier Weill and Dimitri Vayanos