FMG Discussion Papers

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1999: A Simple Model of an International Lender of Last Resort

Haizhou Huang and Charles Goodhart

1999: Firm Size and Cyclical Variations in Stock Returns

Allan Timmermann and Gabriel Perez-Quiros (Gabriel Perez Quiros)

1999: Insider Trading, Investment and Liquidity: A Welfare Analysis

Giovanna Nicodano and Sudipto Bhattacharya

1999: Equity Finance, Adverse Selection and Product Market Competition

Erlend Nier

1999: Stock Price Around the Trades of Corporate Insider on the London Stock Exchange

John Matatko, Alan Gregory, Ian Tonks and Sylvain Friederich

1999: Time Series Volatility Commodity Futures Prices

Ian Tonks and Jane Black

1999: Barbarians in Chains - Takeover Regulation and Minority Shareholder Wealth

Ulrike Hoffmann-Burchardi

1999: Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy

Markus K. Brunnermeier

1999: Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries

Roberta Dessí

1999: Optimal Bail Out Policy, Conditionality and Creative Ambiguity

Xavier Freixas

1999: Bank Moral Hazard and Market Discipline

Elena Carletti

1999: Corporate Walkout Decisions and the Value of Default

Pierre Mella-Barral and Tom Dahlström

1999: Moments of Markov Switching Models

Allan Timmermann

1999: A Recursive Modelling Approach to Predicting UK Stock Returns

Allan Timmermann and M Hashem Pesaran

1999: Real Trading Patterns and Prices in Spot Foreign Exchange Markets

Jon Danielsson and Richard Payne

1999: Arbitrage and Endogenous Market Integration

Jean-Pierre Zigrand

1999: Moral Hazard, Insurance and Some Collusion

Ching-to Albert Ma and Ingela Alger

1999: Clustering of Initial Public Offerings, Information Revelation and Underpricing

Ulrike Hoffmann-Burchardi

1999: Corporate Governance Rules and the Value of Control - A Study of German Dual-Class Share

Ulrike Hoffmann-Burchardi

1999: A Model of the Lender of Last Resort

Haizhou Huang and Charles Goodhart

1999: Least Squares Predictions and Mean-Variance Analysis

Enrique Sentana and Enrique Sentana (Enrique Sentana)

1998: Boom In, Bust Out: Young Households and the Housing Price Cycle

Sven Rady (Francois Ortalo-Magne)

1998: Buy on Rumours - Sell on News: A Manipulative Trading Strategy

Markus K. Brunnermeier

1998: Utility Functions For Central Bankers: The Not So Drastic Quadratic

Jagjit S. Chadha and Philip Schellekens

1998: Structural Breaks, Incomplete Information and Stock Prices

Allan Timmermann

1998: Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences

Bob Nobay and David A. Peel

1998: A Dilution Cost Approach to Financial Intermediation and Securities Markets

Xavier Freixas and Patrick Bolton

1998: The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns

Allan Timmermann, Halbert White and Ryan Sullivan

1998: Data-Snooping, Technical Trading, Rule Performance and the Bootstrap

Allan Timmermann, Halbert White and Ryan Sullivan

1998: The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

Allan Timmermann and Asger Lunde

1998: Revenue Efficiency and Change of Control: The Case of Bankruptcy

Leonardo Felli and Francesca Cornelli

1998: Liquidity in Second Tier Equity Markets: Evidence From Londons Alternative Investment Market (AIM)

Anne Fremault Vila and John Board

1998: The Impact of Liquidity Constraints on Bank Lending Policy

David Webb

1998: Beyond the Sample: Extreme Quantile and Probability Estimation

Jon Danielsson and Casper G. de Vries

1998: Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints

Sven Rady (Francois Ortalo-Magne)

1998: Close-Relationships Between Banks and Firms: Is It Good or Bad?

Sonja Daltung and Vittoria Cerasi

1998: Informed Trading, Investment, and Welfare

Rohit Rahi and James Dow

1998: Should Speculators be Taxed?

Rohit Rahi and James Dow

1998: Managers, Debt and Industry Equilibrium

Erlend Nier

1998: Dynamic Adverse Selection and Debt

Gilles Chemla

1998: Permanent Income, Consumption and Aggregate Constraints: Evidence from US States

Bent E. Sorensen, Charlotte Ostergaard and Oved Yosha

1998: Disclosure Requirements and Stock Exchange Listing Choice in an International Context

John S. Hughes, Steven Huddart and Markus K. Brunnermeier

1998: Locally Minimizing the Credit Risk

Christopher Lotz

1997: Implicit Contracts, Managerial Incentives and Financial Structure

Roberta Dessí

1997: Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes

Harry P. Huizinga, Jan Lemmen and Sylvester Eijffinger

1997: R&D Intensity and Finance: Are Innovative Firms Financially Constrained?

Ward Brown

1997: Pricing Options on Assets with Predictable White Noise Returns

Angel León and Enrique Sentana

1997: Extreme Returns, Tail Estimation, and Value-at-Risk

Jon Danielsson

1997: Team Structure Modelling of Defaultable Bonds

Philipp Schönbucher

1997: Prices, Price Processes, Volume and Their Information: A Literature Survey

Markus K. Brunnermeier

1997: Optimal Managerial Remuneration and Firm-level Diversification

Erlend Nier

1997: Speculative Securities

Rohit Rahi and Jose M. Marin

1997: Pareto-improving Asymmetric Information in a Dynamic Insurance Market

Thomas de Garidel

1997: Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?

Philipp Hartmann

1997: An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility

Richard Payne and Marc Henry

1997: The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour

Alvaro Almeida, Richard Payne and Charles Goodhart

1997: On Bounded Rationality and Risk Aversion

Markus K. Brunnermeier

1997: Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility

Paolo Zaffaroni and Peter M. Robinson