LSE Research Online Documents on Economics

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24896: A comprehensive test of order choice theory: recent evidence from the NYSE

Andrew Ellul, Craig W. Holden, Pankaj Jain and Robert Jennings

24869: Credit card debt and default over the life-cycle

Paula Lopes

24868: Aggregate implications of defined benefit and defined contribution systems

Francisco Gomes and Alexander Michaelides

24867: Long-term value at risk

Kevin Dowd, David Blake and Andrew Cairns

24866: Modelling the composition of personal sector wealth in the United Kingdom

David Blake

24864: Is immigration the answer to the UK’s pension crisis?

David Blake

24863: Procyclicality and the new Basel Accord–banks’ choice of loan rating system

Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos

24862: Financial system requirements for successful pension reform

David Blake

24861: Management behaviour and market response

Josef Anton Schuster and Jinhui Luo

24860: IPOs: insights from seven European countries

Josef Anton Schuster

24859: The cross-section of European IPO returns

Josef Anton Schuster

24858: The near impossibility of credit rationing

David de Meza and David C. Webb

24857: Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty

Francisco Peñaranda

24856: What is a promise from the government worth?:: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom

David Blake

24855: Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis

Jon Danielsson and Burak Saltoğlu

24854: Common factors in conditional distributions for Bivariate time series

Clive Granger, Timo Teräsvirta and Andrew Patton

24853: Pension fund governance and the choice between defined benefit and defined contribution plans

Timothy Besley and Andrea Prat

24852: Likelihood-based estimation of latent generalised ARCH structures

Gabriele Fiorentini, Enrique Sentana and Neil Shephard

24851: The United Kingdom pension system: key issues

David Blake

24850: The role of money in the transmission mechanism of monetary policy: evidence from Thailand

Pojanart Sunirand

24849: Tranching

Guillaume Plantin

24848: Does reinsurance need reinsurers?

Guillaume Plantin

24834: Take (smoothed) risks when you are young, not when you are old: how to get the best from your stakeholder pension plan

David Blake

24833: UK pension fund management after Myners: the hunt for correlation begins

David Blake

24832: UK annuity rates and pension replacement ratios 1957-2002

Edmund Cannon and Ian Tonks

24831: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

Andrew J. G. Cairns, David Blake and Kevin Dowd

24830: Pensionmetrics 2: stochastic pension plan design during the distribution phase

David Blake, Andrew J. G. Cairns and Kevin Dowd

24829: Predatory trading

Markus Brunnermeier and Lasse Heje Pederson

24828: Financing constraints, irreversibility, and investment dynamics

Andrea Caggese

24827: On time-scaling of risk and the square–root–of–time rule

Jon Danielsson and Jean-Pierre Zigrand

24826: Equilibrium analysis, banking, contagion and financial fragility

Dimitrios Tsomocos

24825: Corporate bond prices and co-ordination failure

Max Bruche

24824: Basel II and developing countries: diversification and portfolio effects

Stephany Griffith-Jones, Miguel Angel Segoviano and Stephen Spratt

24823: Equilibrium asset pricing with systemic risk

Jon Danielsson and Jean-Pierre Zigrand

24822: Credible pensions

Timothy Besley and Andrea Prat

24821: Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method

Charles Goodhart and Miguel A. Segoviano

24820: Barriers to pension scheme participation in small and medium sized enterprises

Alistair Byrne, Debbie Harrison and David Blake

24819: Are "market neutral" hedge funds really market neutral?

Andrew Patton

24788: Conglomerate entrenchment under optimal financial contracting

Antoine Faure-Grimaud and Roman Inderst

24785: Strategic financial innovation in segmented markets

Rohit Rahi and Jean-Pierre Zigrand

24783: The virtual organisation - technical or social innovation?: lessons from the film industry

Lucas D. Introna, Hope Moore and Mike Cushman

24778: A time series analysis of financial fragility in the UK banking system

Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

24773: A GARCH model of the implied volatility of the Swiss Market Index from options prices

Michael Sabbatini and Oliver Linton

24772: Yield curve estimation by kernel smoothing

Oliver Linton, Enno Mammen, J. Nielsen and C. Taanggard

24769: The shape of the risk premium: evidence from a semiparametric GARCH model

Oliver Linton and Benoit Perron

24767: Flexible term structure estimation: which method is preferable?

Andrew Jeffrey, Oliver Linton and Thong Nguyen

24764: Reducing the risks to health: the role of social protection: report of the Social Protection Task Group for the Strategic Review of Health Inequalities in England post 2010

Howard Glennerster, Jonathan Bradshaw, Ruth Lister and Olle Lundberg

24763: Estimation of linear regression models by a spread-tolerant estimator

Oliver Linton

24762: Estimating semiparametric ARCH (∞) models by kernel smoothing methods

Oliver Linton and Enno Mammen

24760: Feedback trading

Jon Danielsson and Ryan Love

24758: A local instrumental variable estimation method for generalized additive volatility models

Woocheol Kim and Oliver Linton

24756: Self-fulfilling liquidity and the coordination premium

Guillaume Plantin

24755: Consistent testing for stochastic dominance: a subsampling approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

24754: Liability valuation and optimal asset allocation

Joachim Inkmann and David Blake

24753: Opening and closing the market: evidence from the London Stock Exchange

Andrew Ellul, Hyun Song Shin and Ian Tonks

24751: Defined benefit or defined contribution?: An empirical study of pension choices

Joao F. Cocco and Paula Lopes

24750: A risk assessment model for banks

Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

24748: Action research in the UK construction industry - the B-hive project

Mike Cushman

24744: Eurobond underwriter spreads

Neil Esho, Michael G. Kollo and Ian G. Sharpe

24742: Estimation and testing of dynamic models with generalised hyperbolic innovations

Javier Mencia and Enrique Sentana

24741: A semiparametric single-factor model of the term structure

Dennis Kristensen

24739: Estimation in two classes of semiparametric diffusion models

Dennis Kristensen

24738: Estimation of partial differential equations with applications in finance

Dennis Kristensen

24729: Language needs in business, a survey of European multinational companies

Herve Didiot-Cook, Valérie Gauthier and Koen Scheirlinckx

24712: The wrong kind of transparency

Andrea Prat

24710: The interaction between the Bank of England's forecasts and policy, and the outturn

Charles Goodhart

24708: The Monetary Policy Committee's reaction function: an exercise in estimation

Charles Goodhart

24706: Career concerns in financial markets

Amil Dasgupta and Andrea Prat

24705: A human capital explanation for an asset allocation puzzle?

Francisco Gomes and Alexander Michaelides

24704: Real effects of regional house prices: dynamic panel estimation with heterogeneity

Sònia Muñoz

24703: A model to analyse financial fragility

Charles Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

24702: Multiple-bank lending: diversification and free-riding in monitoring

Elena Carletti, Vittoria Cerasi and Sonja Daltung

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