LSE Research Online Documents on Economics

From London School of Economics and Political Science, LSE Library
LSE Library Portugal Street London, WC2A 2HD, U.K..
Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

119126: Real trading patterns and prices in spot foreign exchange markets

Jon Danielsson and Richard Payne

119124: Moments of Markov switching models

Allan Timmermann

119123: Corporate walkout decisions and the value of default

Tom Dahlström and Pierre Mella-Barral

119122: Bank moral hazard and market discipline

Elena Carletti

119121: Optimal bail out policy, conditionality and creative ambiguity

Xavier Freixas

119120: Financing entrepreneurs: optimal contracts and the role of intermediaries

Roberta Dessi

119119: Contrasting different forms of price stickiness: an analysis of exchange rate overshooting and the beggar thy neighbour policy

Markus Brunnermeier and Clemens Grafe

119118: Barbarians in chains - takeover regulation and minority shareholder wealth

Ulrike Hoffmann-Burchardi

119117: Time series of commodity futures prices

Jane Black and Ian Tonks

119116: Stock price patterns around the trades of corporate insiders on the London Stock Exchange

Sylvain Friederich, Alan Gregory, John Matako and Ian Tonks

119115: Equity finance, adverse selection and product market competition

Erlend Nier

119114: Insider trading, investment and liquidity: a welfare analysis

Sudipto Bhattacharya and Giovanna Nicodano

119113: Firm size and cyclical variations in stock returns

Gabriel Perez-Quiros and Allan Timmermann

119112: A simple model of an international lender of last resort

C. A. E. Goodhart and Haizhou Huang

119111: Financial constraints, precautionary saving and firm dynamics

Andrea Caggese

119110: Collateral, renegotiation and the value of diffusely held debt

Ulrich Hege and Pierre Mella-Barral

119109: The profitability of block trades in auction and dealer markets

Andy Snell and Ian Tonks

119108: Banks as catalysts for industrialization

Marco Rin and Thomas Hellman

119107: Debt, incentives and performance: evidence from UK panel data

Roberta Dessi and Donald Robertson

119106: Excessive continuation and dynamic agency costs of debt

Jean-Paul Decamps and Antoine Faure-Grimaud

119105: A generalisation of Malliavin weighted scheme for fast computation of the Greeks

Eric Benhamou

119104: Pricing convexity adjustment with Wiener chaos

Eric Benhamou

119103: Bank capital regulation with random audits

Sudipto Bhattacharya, Manfred Plank, Günter Strobl and Josef Zechner

119102: Strategic trading and learning about liquidity

Harrison Hong and Sven Rady

119101: External financing costs and banks' loan supply: does the structure of the bank sector matter

Charlotte Ostergaard

119100: Is cash becoming technologically outmoded? Or does it remain necessary to facilitate "bad behaviour"? An empirical investigation into the determinants of cash holdings

Matthias Drehman and C. A. E. Goodhart

119099: Club enlargement: early versus late admittance

Mike Burkart and Klaus Wallner

119098: Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities

Gabriel Perez-Quiros and Allan Timmermann

119096: Liquidity and credit risk

Jan Ericsson and Olivier Renault

119095: An auto-regressive conditional binomial option pricing model

Jean-Luc Prigent, Olivier Renault and Olivier Scaillet

119093: Financing constraints and inventories

Ward Brown and Urs Haegler

119092: Asset price dynamics with value-at-risk constrained traders

Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand

119091: Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Massimo Guidolin and Allan Timmermann

119090: Modelling a housing and mortgage crisis

Charles Goodhart, Dimitri Tsomocos and Alexandros Vardoulakis

119089: Limits of arbitrage: the state of the theory

Denis Gromb and Dimitri Vayanos

119088: The price impact of institutional herding

Amil Dasgupta, Andrea Prat and Michela Verardo

119087: Credit rating and competition

Nelson Camanho-Da-Costa-Neto, Pragyan Deb and Zijun Liu

119086: Aversion to the variability of pay and optimal incentive contracts

Pierre Chaigneau

119085: Signalling in tender offer games

Mike Burkart and Samuel Lee

119084: Executive pay and performance in the UK

Paul Gregg, Sarah Jewell and Ian Tonks

119083: Value of information in competitive economies with incomplete markets

Piero Gottardi and Rohit Rahi

119082: Innovations, rents and risk

Bruno Biais, Jean Rochet and Paul Woolley

119081: The optimal timing of executive compensation

Pierre Chaigneau

119080: Institutional trade persistence and long-term equity returns

Amil Dasgupta, Andrea Prat and Michela Verardo

119079: The vote is cast: the effect of corporate governance on shareholder value

Vicente Cuñat, Mireia Giné and Maria Guadalupe

119078: Boards of banks

Daniel Ferreira, Tom Kirchmaier and Daniel Metzger

119077: Trading frenzies and their impact on real investment

Itay Goldstein, Emre Ozdenoren and Kathy Yuan

119076: Trading and voting in distressed firms

Ioan Olaru and Konstantinos Zachariadis

119075: Micro frictions, asset pricing, and aggregate implications

Jack Favilukis and Xiaoji Lin

119074: Preferred-habitat investors and the US term structure of real rates

Iryna Kaminska, Dimitri Vayanos and Gabriele Zinna

119073: Walking wounded or living dead? Making banks foreclose bad loans

Max Bruche and Gerard Llobet

119072: Bank bailout menus

Sudipto Bhattacharya and Kjell Nyborg

119071: Second-order approximation of dynamic models with time-varying risk

Gianluca Benigno, Pierpaolo Benigno and Salvatore Nisticò

119070: Switching monetary policy regimes and the nominal term structure

Marcelo Ferman

119069: Defeasance of control rights

Carsten Bienz, Antoine Faure-Grimaud and Zsuzsanna Fluck

119068: Dynamic hedging in incomplete markets: a simple solution

Suleyman Basak and Georgy Chabakauri

119067: Liquidity hoarding

Douglas Gale and Tanju Yorulmazer

119066: Complicated firms

Lauren Cohen and Dong Lou

119065: Short run bond risk premia

Philippe Mueller, Andrea Vedolin and Hao Zhou

119064: Repo runs

Antoine Martin, David Skeie and Ernst-Ludwig Thadden

119063: CDS auctions

Mikhail Chernov, Alexander Gorbenko and Igor Makarov

119062: Investment banking careers: an equilibrium theory of overpaid jobs

Ulf Axelson and Philip Bond

119061: What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models

Anisha Ghosh, Christian Julliard and Alex Taylor

119060: The Wall Street walk when blockholders compete for flows

Amil Dasgupta and Giorgia Piacentino

119059: Explaining the structure of CEO incentive pay with decreasing relative risk aversion

Pierre Chaigneau

119058: Performance pay, CEO dismissal, and the dual role of takeovers

Mike Burkart and Konrad Raff

119057: On the drivers of commodity co-movement: evidence from biofuels

Francisco Peñaranda and Augusto Micola

119056: Smart buyers

Mike Burkart and Samuel Lee

119055: The effect of risk preferences on the valuation and incentives of compensation contracts

Pierre Chaigneau

119054: Borrow cheap, buy high? The determinants of leverage and pricing in buyouts

Ulf Axelson, Tim Jenkinson, Per Strömberg and Michael Weisbach

119053: Bond variance risk premia

Philippe Mueller, Andrea Vedolin and Yu-Min Yen

119052: Transparency in the financial system: rollover risk and crises

Matthieu Bouvard, Pierre Chaigneau and Adolfo Motta

119051: Financial regulation in general equilibrium

Charles Goodhart, Anil Kashyap, Dimitri Tsomocos and Alexandros Vardoulakis

119050: Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

Sujin Park and Oliver Linton

119049: Securitized banking, asymmetric information, and financial crisis: regulating systemic risk away

Sudipto Bhattacharya, Georgy Chabakauri and Kjell Nyborg

119048: Transparency, tax pressure and access to finance

Andrew Ellul, Tullio Jappelli, Marco Pagano and Fausto Panunzi

119047: Stock market tournaments

Emre Ozdenoren and Kathy Yuan

119046: Asset pricing with heterogeneous investors and portfolio constraints

Georgy Chabakauri

119045: Liquidity and asset returns under asymmetric information and imperfect competition

Dimitri Vayanos and Jiang Wang

119044: Market liquidity - theory and empirical evidence

Dimitri Vayanos and Jiang Wang

119043: Do standard corporate governance practices matter in family firms?

Sridhar Arcot and Valentina Bruno

119042: Agency, firm growth, and managerial turnover

Ronald W. Anderson, Maria Cecilia Bustamante and Stéphane Guibaud

119041: Bankers and bank investors: reconsidering the economies of scale in banking

Ronald W. Anderson and Karin Jõeveer

119040: The structure of CEO pay: pay-for-luck and stock-options

Pierre Chaigneau and Nicolas Sahuguet

119039: Shareholder empowerment and bank bailouts

Daniel Ferreira, David Kershaw, Tom Kirchmaier and Edmund-Philipp Schuster

119038: From female labor force participation to boardroom gender diversity

Renee Adams and Tom Kirchmaier

119037: Investors' horizons and the amplification of market shocks

Cristina Cella, Andrew Ellul and Mariassunta Giannetti

119036: Cross-market timing in security issuance

Pengjie Gao and Dong Lou

119035: Industry window dressing

Huaizhi Chen, Lauren Cohen and Dong Lou

119034: Does herding behavior reveal skill? An analysis of mutual fund performance

Hao Jiang and Michela Verardo

119033: Comomentum: inferring arbitrage activity from return correlations

Dong Lou and Christopher Polk

119032: Mortgage hedging in fixed income markets

Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter

119031: Product market competition and industry returns

Maria Cecilia Bustamante and Andrés Donangelo

119030: Ties that bind: how business connections affect mutual fund activism

Dragana Cvijanovic, Amil Dasgupta and Konstantinos Zachariadis

119029: Activist funds, leverage, and procyclicality

Mike Burkart and Amil Dasgupta

119028: Network risk and key players: a structural analysis of interbank liquidity

Edward Denbee, Christian Julliard, Liana Yepremyan and Kathy Yuan

119027: Employment and wage insurance within firms: worldwide evidence

Andrew Ellul, Marco Pagano and Fabiano Schivardi

119026: Asset management contracts and equilibrium prices

Andrea Buffa, Dimitri Vayanos and Paul Woolley

119024: The value of informativeness for contracting

Pierre Chaigneau, Alex Edmans and Daniel Gottlieb

119022: Offsetting disagreement and security prices

Byoung-Hyoung Hwang, Dong Lou and Chengxi Yin