FMG Discussion Papers

From Financial Markets Group
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dp392: Rational Limits to Arbitrage

Jean-Pierre Zigrand

dp391: Saving Eliminates Credit Rationing

David Webb and David de Meza

dp390: Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises

Hyun Song Shin, Prasanna Gai and Simon Hayes

dp389: Financial Development, Agency and the Pace of Adoption of New Techniques

Kjell Nyborg and Ron Anderson

dp387: Signalling with Debt and Equity: A Unifying Approach and its Implications for the Pecking Order Hypothesis and Competitive Credit Rationing

Florian Heider

dp386: What Do Internal Capital Markets Do? Redistribution vs. Incentives

Axel Gautier and Florian Heider

dp385: Flexible Term Structure Estimation: Which Method is Preferred?

Oliver Linton, Andrew Jeffrey and Thong Nguyen

dp384: Constrained Indirect Inference Estimation

Gabriele Fiorentini and Enrique Sentana

dp383: Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors

Oliver Linton and Mototsugu Shintani

dp382: Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

Oliver Linton, Douglas Hodgson and Keith Vorkink

dp381: Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information

Rohit Rahi and Piero Gottardi

dp380: Mean-Variance Portfolio allocation with a Value at Risk Constraint

Enrique Sentana and Enrique Sentana

dp379: Tests of the Fama Model in India

Gregory Connor and Sanjay Sehgal

dp378: Agency Conflicts, Ownership Concentration, and Legal Shareholder Protection

Fausto Panunzi and Mike Burkart

dp377: The Skill Profile of Central Bankers and Supervisors

Dirk Schoenmaker, Paolo Dasgupta and Charles Goodhart

dp376: Financing and Corporate Growth under Repeated Moral Hazard

Ron Anderson and Kjell Nyborg

dp375: Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints

Sven Rady

dp374: The Impact of Technology on Cash Usage

Malte Krueger and Charles Goodhart

dp373: Coordination Risk and the Price of Debt

Hyun Song Shin and Stephen Morris

dp372: Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders

Hyun Song Shin, Giancarlo Corsetti, Amil Dasgupta and Stephen Morris

dp371: Disclosures and Asset Returns

Hyun Song Shin

dp370: A Structured GARCH Model of Daily Equity Return Volatility

Gregory Connor

dp369: In Defence of Usury Laws

David de Meza and Giuseppe Coco

dp367: Financing Constraints and Inventories

Ward Brown

dp365: Trade Credit: Suppliers as Debt Collectors and Insurance Providers

Vicente Cuñat

dp364: An Autoregressive Conditional Binomial Option Pricing Model

Olivier Renault, Jean-Luc Prigent and Olivier Scaillet

dp363: An Empirical Investigation in Credit Spread Indices

Olivier Scaillet, Olivier Renault and Jean-Luc Prigent

dp362: Liquidity and Credit Risk

Olivier Renault and Jan Ericsson

dp361: Public Information, Private Information and the Multiplicity of Equilibrium in Co-ordination of Games

Christian Hellwig

dp360: Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

Allan Timmermann and Gabriel Perez-Quiros

dp359: Club Enlargement: Early Versus Late Admittance

Klaus Wallner and Mike Burkart

dp358: Is Cash Becoming Technologically Outmoded Or Does it Remain Necessary to Facilitate

Mathias Drehmann and Charles Goodhart

dp357: External Financing Costs and Banks Loan Supply: Does the Structure of the Bank Sector Matter?

Charlotte Ostergaard

dp356: Strategic Trading and Learning About Liquidity

Harrison Hong and Sven Rady

dp355: A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates

Richard Payne

dp354: Bank Capital Regulation With Random Audits

Sudipto Bhattacharya, Manfred Plank, Josef Zechner and Günter Strobl

dp351: Pricing Convexity Adjustment with Wiener Chaos

Eric Benhamou

dp350: A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks

Eric Benhamou

dp349: Money, Intermediaries and Cash-in-Advance Constraints

Christian Hellwig

dp348: Excessive Continuation and Dynamic Agency Costs of Debt

Jean-Paul Décamps

dp347: Public Trading and Private Incentives

Denis Gromb

dp346: Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns

Oliver Linton and Gregory Connor

dp345: On the Competition Between ECNs, Stock Markets and Market Makers

Eric Benhamou and Thomas Serval

dp344: Debt, Incentives and Performance: Evidence from UK Panel Data

Roberta Dessi and Donald Robertson

dp343: Banks as Catalysts for Industrialisation

Marco Da Rin and Thomas Hellmann

dp342: Valuation and Martingale Properties of Shadow Prices

Lucien Foldes

dp340: The Profitability of Block Trades Auction and Dealer Markets

Ian Tonks and Andy Snell

dp339: Collateral, Renegotiation and the Value of Diffusely Held Debt

Pierre Mella-Barral and Ulrich Hege

dp338: Financial Constraints, Precautionary Saving and Firm Dynamics

Andrea Caggese

dp336: A Simple Model of an International Lender of Last Resort

Haizhou Huang and Charles Goodhart