FMG Discussion Papers

From Financial Markets Group
Bibliographic data for series maintained by The FMG Administration ().

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.

dp451: The Role of Money in The Transmission Mechanism of Monetary Policy: Evidence from Thailand

Pojanart Sunirand

dp450: Equilibrium analysis, banking, contagion and financial fragility

Dimitrios Tsomocos

dp449: Tranching

Guillaume Plantin

dp448: Self-Fulfilling Liquidity

Guillaume Plantin

dp447: Does Reinsurance Need Reinsurers?

Guillaume Plantin

dp444: (UBS Pensions series 8) UK Annuity Rates and Pension Replacement Ratios 1957 - 2002

Ian Tonks

dp441: Predatory Trading

Markus Brunnermeier and Lasse Heje Pederson

dp440: Financing Constraints, Irreversibility, and Investment Dynamics

Andrea Caggese

dp439: On time-scaling of risk and the square–root–of–time rule

Jean-Pierre Zigrand and Jon Danielsson

dp437: Basel II and Developing Countries: Diversification and Portfolio Effects

Stephany Griffith-Jones and Stephen Spratt

dp436: Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics

Amil Dasgupta

dp435: Coordination, Learning, and Delay

Amil Dasgupta

dp434: Optimal Expectations

Jonathan Parker and Markus Brunnermeier

dp433: The Role of Bank Capital and The Transmission Mechanism of Monetary Policy

Pojanart Sunirand

dp432: Homeownership: Low household mobility, volatile housing prices, high income dispersion

Sven Rady

dp431: (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation

Andrew Patton

dp430: Revisited Multi-moment Approximate Option

Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko

dp428: Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy

Philip Lowe

dp427: Dealer liquidity in an auction market: evidence fom the London Stock Exchange

Richard Payne and Sylvain Friederich

dp426: (UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds

Allan Timmermann

dp425: (UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry

Bruce N. Lehmann and Allan Timmermann

dp424: (UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities

Allan Timmermann

dp423: (UBS Pensions Series 1) Performance Persistence of Pension Fund Managers

Ian Tonks

dp422: Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation

Andreas Jobst

dp421: In-Kind Finance

Tore Ellingsen and Mike Burkart

dp419: Skewness and Kurtosis Implied by Option Prices: A Second Comment

Bogdan Negrea, Bertrand Maillet and Emmanuel Jurczenko

dp418: You Might as Well be Hung for a Sheep as a Lamb: The Loss Function of an Agent

Charles Goodhart and Margaret Bray

dp417: How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks

Thierry Michel and Bertrand Maillet

dp416: Speculative Attacks and Financial Architecture: Experimental Analysis of Coordination Games with Public and Private Information

Peter Ockenfels, Rosemarie Nagel and Frank Heinemann

dp415: Hedging Housing Risk in London

Matteo Iacoviello

dp414: Rational Asset Pricing Implications from Realistic Trading Frictions

Jean-Pierre Zigrand

dp413: Divdends and Equity Prices: The Variance Trade Off

Margaret Bray and Giovanni Marseguerra

dp412: Market Timing and Return Prediction under Model Instability

Allan Timmermann and Mohammad Pesaran

dp411: Venture Capital Contracts and Market Structure

Holger M Muller and Roman Inderst

dp409: Platform Competition in Two Sided Markets

Jean Rochet and Jean Triole

dp408: Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?

Jean Rochet and Xavier Vives

dp407: Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

dp406: Family Firms

Andrei Shleifer, Fausto Panunzi and Mike Burkart

dp405: Mommentum in the UK Stock Market

Ian Tonks and Mark Hon

dp404: Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements

Ian Tonks, Daniella Acker and Matthew Stalker

dp403: Diversification and Delegation in Firms

Sonja Daltung and Vittoria Cerasi

dp402: Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle

Kostas Koufopoulos

dp401: Bubbles and Crashes

Markus Brunnermeier

dp400: Pricing Catastrophe Insurance Derivatives

Alexander Muermann

dp399: Optimal Hedging Strategies and Interactions between Firms

Frédéric Loss

dp398: The Fallacy of New Business Creation as a Disciplining Device for Managers

Antoine Renucci and Frédéric Loss

dp397: Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Allan Timmermann and Massimo Guidolin

dp395: Self-Confidence and Survival

Heski Bar-Isaac

dp394: Asset Price Dynamics with Value-at-Risk Constrained Traders

Jean-Pierre Zigrand, Jon Danielsson and Hyun Song Shin

dp393: What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model

Jean-Pierre Zigrand and Jon Danielsson