LSE Research Online Documents on Economics

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119159: Default risk in asset pricing

Pierre Mella-Barral and Pierre Tychon

119158: Disclosure requirements and stock exchange listing choice in an international context

Steven Huddart, John Hughes and Markus Brunnermeier

119157: Soft budget constraint and stock price information

Antoine Faure-Grimaud

119154: Dynamic adverse selection and debt

Gilles Chemla and Antoine Faure-Grimaud

119153: The effects of macroeconomic 'news' on high frequency exchange rate behaviour

Alvaro Almeida, Charles Goodhart and Richard Payne

119152: Managers, debt and industry equilibrium

Erlend Nier

119151: An investigation of long range dependence in intra-day foreign exchange rate volatility

Marc Henry and Richard Payne

119150: Should speculators be taxed?

James Dow and Rohit Rahi

119148: Do Reuters spreads reflect currencies' differences in global trading activity?

Philipp Hartmann

119147: Informed trading, investment, and welfare

James Dow and Rohit Rahi

119146: Pareto-improving asymmetric information in a dynamic insurance market

Thomas Garidel

119145: Close relationships between banks and firms: is it good or bad?

Vittoria Cerasi and Sonja Daltung

119144: Data snooping, technical trading, rule performance, and the bootstrap

Ryan Sullivan, Allan Timmermann and Halbert White

119143: Housing market fluctuations in a life-cycle economy with credit constraints

Francois Ortalo-Magne and Sven Rady

119142: The dangers of data-driven inference: the case of calender effects in stock returns

Ryan Sullivan, Allan Timmermann and Halbert White

119141: Beyond the sample: extreme quantile and probability estimation

Jon Danielsson and Casper Vries

119140: A dilution cost approach to financial intermediation and securities markets

Patrick Bolton and Xavier Feixas

119139: Revenue efficiency and change of control: the case of bankruptcy

Francesca Cornelli and Leonardo Felli

119138: Optimal monetary policy in a model of asymmetric central bank preferences

Bob Nobay and David Peel

119137: Liquidity in second tier equity markets: evidence from London's Alternative Investment Market (AIM)

John Board, Anne Villa and Stephen Wells

119136: Utility functions for central bankers: the not so drastic quadratic

Phillip Schellekens and Jagjit Chadha

119135: Buy on rumours - sell on news: a manipulative trading strategy

Markus Brunnermeier

119134: Boom in, bust out: young households and the housing price cycle

Francois Ortalo-Magne and Sven Rady

119131: A model of the lender of last resort

C. A. E. Goodhart and Haizhou Huan

119130: Corporate governance rules and the value of control - a study of German dual-class shares

Ulrike Hoffmann-Burchardi

119129: Clustering of initial public offerings, information revelation and underpricing

Ulrike Hoffmann-Burchardi

119128: Moral hazard, insurance, and some collusion

Ingela Alger and Ching-to Ma

119127: Arbitrage and endogenous market integration

Jean-Pierre Zigrand

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