FMG Discussion Papers

from Financial Markets Group
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2003: Macroeconomic news, order flows and exchange rates

Richard Payne

2003: (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

Francisco Gomes and Alexander Michaelides

2003: (UBS Pensions series 19) Are Annuities Value for Money? Who Can Afford Them?

Paula Lopes

2003: Credibility and Cheap Talk of Securities Analysts:Theory and Evidence

Jordi Blanes

2003: A Comprehensive Test of Order Choice Theory:Recent Evidence from the NYSE

Andrew Ellul

2003: Credit Card Debt and Default over the Life-Cycle

Paula Lopes

2003: (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems

Alexander Michaelides and Francisco Gomes

2003: (UBS Pensions series 17) Long-Term Value at Risk

Andrew Cairns and Kevin Dowd

2003: Procyclicality and the new Basel Accord–banks’ choice of loan rating system

Dimitrios Panayotis Tsomocos, Eva Catarineu-Rabell and Patricia Jackson

2003: Management Behaviour and Market Response

Josef Schuster and Jinhui Luo

2003: The Cross-Section of European IPO Returns

Josef Schuster

2003: The Near Impossibility of Credit Rationing

David de Meza and David Webb

2003: Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty

Francisco Penaranda

2003: Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis

Burak Saltoglu and Jon Danielsson

2003: Common factors in conditional distributions for Bivariate time series

Timo Teräsvirta, Clive W. J. Granger and Andrew Patton

2003: (UBS Pensions series 12) Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans

Andrea Prat (Timothy Besley)

2003: Likelihood-based estimation of latent generalised ARCH structures

Neil Shephard, Gabriele Fiorentini and Enrique Sentana

2003: The Role of Money in The Transmission Mechanism of Monetary Policy: Evidence from Thailand

Pojanart Sunirand

2003: Equilibrium analysis, banking, contagion and financial fragility

Dimitrios Panayotis Tsomocos

2003: Tranching

Guillaume Plantin

2003: Self-Fulfilling Liquidity

Guillaume Plantin

2003: Does Reinsurance Need Reinsurers?

Guillaume Plantin

2003: (UBS Pensions series 8) UK Annuity Rates and Pension Replacement Ratios 1957 - 2002

Ian Tonks

2003: Predatory Trading

Markus K. Brunnermeier and Lasse Heje Pederson

2003: Financing Constraints, Irreversibility, and Investment Dynamics

Andrea Caggese

2003: On time-scaling of risk and the square–root–of–time rule

Jean-Pierre Zigrand and Jon Danielsson

2003: Basel II and Developing Countries: Diversification and Portfolio Effects

Stephany Griffith-Jones and Stephen Spratt

2002: Coordination, Learning, and Delay

Amil Dasgupta

2002: Optimal Expectations

Jonathan A. Parker and Markus K. Brunnermeier

2002: The Role of Bank Capital and The Transmission Mechanism of Monetary Policy

Pojanart Sunirand

2002: Homeownership: Low household mobility, volatile housing prices, high income dispersion

Sven Rady (Francois Ortalo-Magne)

2002: (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation

Andrew Patton

2002: Revisited Multi-moment Approximate Option

Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko

2002: Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics

Amil Dasgupta

2002: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy

Philip Lowe

2002: Dealer liquidity in an auction market: evidence fom the London Stock Exchange

Richard Payne and Sylvain Friederich

2002: (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds

Allan Timmermann

2002: Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation

Andreas A. Jobst

2002: (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry

Bruce N. Lehmann and Allan Timmermann

2002: (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities

Allan Timmermann

2002: In-Kind Finance

Tore Ellingsen and Mike Burkart

2002: Skewness and Kurtosis Implied by Option Prices: A Second Comment

Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko

2002: You Might as Well be Hung for a Sheep as a Lamb: The Loss Function of an Agent

Charles Goodhart and Margaret Bray

2002: 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

Thierry Michel and Bertrand Maillet

2002: Speculative Attacks and Financial Architecture: Experimental Analysis of Coordination Games with Public and Private Information

Peter Ockenfels, Rosemarie Nagel and Frank Heinemann

2002: Hedging Housing Risk in London

Matteo Iacoviello (Francois Ortalo-Magne)

2002: Rational Asset Pricing Implications from Realistic Trading Frictions

Jean-Pierre Zigrand

2002: Divdends and Equity Prices: The Variance Trade Off

Margaret Bray and Giovanni Marseguerra

2002: Market Timing and Return Prediction under Model Instability

Allan Timmermann and M Hashem Pesaran

2002: Venture Capital Contracts and Market Structure

Holger M Muller and Roman Inderst

2002: Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets

Richard Payne, Charles Goodhart and Dagfinn Rime

2002: (UBS Pensions Series 1) Performance Persistence of Pension Fund Managers

Ian Tonks

2002: Platform Competition in Two Sided Markets

Jean Charles Rochet and Jean Triole

2002: Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?

Jean Charles Rochet and Xavier Vives

2002: Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Bruce Linton, Esfandiar Maasoumi and Yoon-Jae Whang (Esfandiar Maasoumi and Esfandiar Maasoumi)

2002: Family Firms

Andrei Shleifer, Fausto Panunzi and Mike Burkart

2002: Mommentum in the UK Stock Market

Ian Tonks and Mark T. Hon

2002: Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements

Ian Tonks, Daniella Acker and Matthew Stalker

2002: Diversification and Delegation in Firms

Sonja Daltung and Vittoria Cerasi

2002: Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle

Kostas Koufopoulos

2002: Bubbles and Crashes

Markus K. Brunnermeier

2002: Pricing Catastrophe Insurance Derivatives

Alexander Muermann

2002: Optimal Hedging Strategies and Interactions between Firms

Frédéric M. Loss

2002: The Fallacy of New Business Creation as a Disciplining Device for Managers

Antoine RENUCCI and Frédéric M. Loss