LSE Research Online Documents on Economics

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24701: General properties of rational stock-market fluctuations

Antonio Mele

24700: A theory of sovereign debt roll-over crisis

Masazumi Hattori

24699: Sponsoring company finance and investment and defined benefit pension scheme deficits

David C. Webb

24698: Performance of personal pension schemes in the UK

Alan Gregory and Ian Tonks

24697: Stopping short?: evidence on contributions to long-term savings from aggregate and micro data

Sarah Smith

24682: Financial institutions and the wealth of nations: tales of development

Jian Tong and Cheng-Gang Xu

24681: Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Xiaohong Chen, Yanqin Fan and Andrew Patton

24680: A model to analyse financial fragility: applications

Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

24679: IPO underpricing during the boom: a block-booking explanation

Kevin R. James

24678: Block-booking and IPO share allocation: the importance of being ignorant

Celine Gondat-Larralde and Kevin R. James

24677: Continuous time optimal stochastic growth: local martingales, transversality and existence

Lucien Foldes

24676: Principal agent problems under loss aversion: an application to executive stock options

David de Meza and David C. Webb

24675: An Introduction to hedge funds

Gregory Connor and Mason Woo

24674: Simulated nonparametric estimation of continuous time models of asset prices and returns

Filippo Altissimo and Antonio Mele

24673: Corporate governance in the UK: is the comply-or-explain approach working?

Antoine Faure-Grimaud, Sridhar Arcot and Valentina Bruno

24672: Rare events and annuity market participation

Paula Lopes and Alexander Michaelides

24671: Comparing downside risk measures for heavy tailed distribution

Jon Danielsson, Bjørn Jørgensen, Mandira Sarma and Casper de Vries

24670: The dynamics of venture capital contracts

Carsten Bienz and Julia Hirsch

24669: Exchange rate volatility and central bank interventions

Freyan Panthaki

24668: Subadditivity re–examined: the case for value-at-risk

Jon Danielsson, Bjørn Jørgensen, Sarma Mandira, Gennady Samorodnitsky and Casper de Vries

24667: On modelling endogenous default

Dimitrios Tsomocos and Lea Zicchino

24666: The interest rate conditioning assumption

Charles Goodhart

24665: An essay on the interactions between the Bank of England's forecasts, the MPC's policy adjustments, and the eventual outcome

Charles Goodhart

24664: ART versus reinsurance: the disciplining effect of information insensitivity

Silke Brandts and Christian Laux

24663: Minority blocks and takeover premia

Mike Burkart, Denis Gromb and Fausto Panunzi

24662: Reforming public pensions in the US and the UK

Peter Diamond

24661: Long-term debt and hidden borrowing

Heski Bar-Isaac and Vicente Cuñat

24660: Optimal intergenerational risk sharing

Otto van Hemert

24659: Reputation effects in trading on the New York Stock Exchange

Robert Battalio, Andrew Ellul and Robert Jennings

24658: Simulated nonparametric estimation of dynamic models with applications to finance

Filippo Altissimo and Antonio Mele

24650: Dynamic portfolio and mortgage choice for homeowners

Otto van Hemert, Franck de Jong and Joost Driessen

24649: Asset pricing with limited risk sharing and heterogeneous agents

Francisco Gomes and Alexander Michaelides

24648: IMF concern for reputation and conditional lending failure: theory and empirics

Silvia Marchesi and Laura Sabani

24647: Estimating structural bond pricing models via simulated maximum likelihood

Max Bruche

24646: Rational trader risk

Péter Kondor

24645: The more we know, the less we agree: public announcements and higher-order expectations

Péter Kondor

24644: Spot market power and future market trading

Alexander Muermann and Stephen H. Shore

24643: A model of corporate liquidity

Ronald W. Anderson and Andrew Carverhill

24642: Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey

Sarah Smith

24641: Pension plan funding, risk sharing and technology choice

David C. Webb

24637: Evolution of decision and control rights in venture capital contracts: an empirical analysis

Carsten Bienz and Uwe Walz

24636: Regionality revisited: an examination of the direction of spread of currency crises

Amil Dasgupta, Roberto Leon-Gonzalez and Anja Shortland

24635: The role of prestige and networks in outside director appointment

Tom Kirchmaier and Michael G. Kollo

24634: Financial structure, managerial compensation and monitoring

Vittoria Cerasi and Sonja Daltung

24633: Corporate governance and regulation: can there be too much of a good thing?

Valentina Bruno and Stijn Claessens

24632: Liquidity and capital structure

Ronald W. Anderson and Andrew Carverhill

24624: Is there a human right not to be a trade union member?: labour rights under the European Convention on Human Rights

Virginia Mantouvalou

24622: International economic governance and human rights accountability

Margot E. Salomon

24619: Law through practice: London and Liverpool commodity markets c.1820-1975

Ross Cranston

24606: Life after work: privacy and dismissal

Virginia Mantouvalou

24558: Legal regimes and regimes of knowledge: governing global services trade

Andrew T. F. Lang

24524: Recovery rates, default probabilities and the credit cycle

Max Bruche and Carlos Gonzalez-Aguado

24523: Incentive design under loss aversion

David de Meza and David C. Webb

24522: Speculative attacks with multiple sources of public information

Camille Cornand and Frank Heinemann

24521: Monetary policy and its informative value

Romain Baeriswyl and Camille Cornand

24520: Are there Monday effects in stock returns: a stochastic dominance approach

Young-Hyun Cho, Oliver Linton and Yoon-Jae Whang

24519: The optimal design of funded pensions

Luciano Greco

24518: Choice of corporate risk management tools under moral hazard

Jan Bena

24517: Consistent measures of risk

Jon Danielsson, Jean-Pierre Zigrand, Bjørn Jørgensen, Mandira Sarma and Casper de Vries

24516: Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits

Joachim Inkmann

24515: Equilibrium asset pricing with systemic risk

Jon Danielsson and Jean-Pierre Zigrand

24514: Hedge funds and financial stability: explaining the debate at the financial stability forum

Paola Robotti

24513: The dark side of 'good' corporate governance: compliance-fuelled book-cooking activities

Thomas Kirchmaier and Mariano Selvaggi

24512: Conditional probability of default methodology

Miguel A. Segoviano

24511: Consistent information multivariate density optimizing methodology

Miguel A. Segoviano

24510: Rent extraction by large shareholders: evidence using dividend policy in the Czech Republic

Jan Bena and Jan Hanousek

24509: Imperfect common knowledge in first generation models of currency crises

Gara Minguez-Afonso

24508: Towards a measure of financial fragility

Oriol Aspachs, Charles Goodhart, Dimitrios Tsomocos and Lea Zicchino

24507: Long-term care insurance, annuities and asymmetric information: the case for bundling contracts

David C. Webb

24506: Consistent estimation of the risk-return tradeoff in the presence of measurement error

Anisha Ghosh and Oliver Linton

24505: Performance measurement and evaluation

Bruce Lehmann and Allan Timmermann

24504: Efficient estimation of a semiparametric characteristic-based factor model of security returns

Gregory Connor, Matthias Hagmann and Oliver Linton

24503: Strategic financial innovation in segmented markets

Rohit Rahi and Jean-Pierre Zigrand

24502: An estimation of economic models with recursive preferences

Xiaohong Chen, Jack Favilukis and Sydney Ludvigson

24500: Inequality, stock market participation, and the equity premium

Jack Favilukis

24499: Inflation dynamics in the US - a nonlinear perspective

Bob Nobay, Ivan Paya and David Peel

24498: Efficient dynamic coordination with individual learning

Amil Dasgupta, Jakub Steiner and Colin Stewart

24497: Executive compensation and competition in the banking and financial sectors

Vicente Cuñat and Maria Guadalupe

24496: Parametric properties of semi-nonparametric distributions, with applications to option valuation

Javier Mencia, Angel Leon and Enrique Sentana

24488: How deep is the annuity market participation puzzle?

Joachim Inkmann, Paula Lopes and Alexander Michaelides

24487: Competition and opportunistic advice of financial analysts: theory and evidence

Enrico Sette

24486: Evaluating hedge fund performance: a stochastic dominance approach

Sheng Li and Oliver Linton

24485: The ownership of ratings

Antoine Faure-Grimaud, Eloic Peyrache and Lucía Quesada

24484: Intergenerational risksharing and equilibrium asset prices

John Campbell and Yves Nosbusch

24483: Loan maturity and renegotiation evidence from the lending practices of large and small banks

Ugo Albertazzi

24481: Portfolio choice beyond the traditional approach

Francisco Penaranda

24480: On the impact of fundamentals, liquidity and coordination on market stability

Jon Danielsson and Francisco Penaranda

24479: Endogenous state prices, liquidity, default, and the yield curve

Raphael Espinoza, Charles Goodhart and Dimitrios Tsomocos

24478: Market liquidity and funding liquidity

Markus Brunnermeier and Lasse Pedersen

24476: The gambler's and hot-hand fallacies: theory and applications

Matthew Rabin and Dimitri Vayanos

24474: A search-based theory of the on-the-run phenomenon

Dimitri Vayanos and Pierre-Olivier Weill

24473: Security-voting structure and bidder screening

Christian At, Mike Burkart and Samuel Lee

24471: Best ideas

Bernhard Silli, Randolph B Cohen and Christopher Polk

24470: Foreign bank entry: the stability implications of Greenfield entry vs. acquisition

Nikolaj Schmidt

24469: Foreign bank entry: a liquidity based theory of entry and credit market segmentation

Nikolaj Schmidt

24439: Information linkages and correlated trading

Paolo Colla and Antonio Mele

24438: Central banks and financial crises

Willem Buiter

24437: Control rights over intellectual property: corporate venturing and bankruptcy regimes

Sudipto Bhattacharya and Sergei Guriev

24436: Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Valentina Corradi, Walter Distaso and Antonio Mele

24435: Some determinants of the price of default risk

Ronald W. Anderson