FMG Discussion Papers

From Financial Markets Group
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dp335: Firm Size and Cyclical Variations in Stock Returns

Allan Timmermann and Gabriel Perez-Quiros

dp334: Insider Trading, Investment and Liquidity: A Welfare Analysis

Giovanna Nicodano and Sudipto Bhattacharya

dp333: Equity Finance, Adverse Selection and Product Market Competition

Erlend Nier

dp332: Stock Price Around the Trades of Corporate Insider on the London Stock Exchange

John Matatko, Alan Gregory, Ian Tonks and Sylvain Friederich

dp331: Time Series Volatility Commodity Futures Prices

Ian Tonks and Jane Black

dp330: Barbarians in Chains - Takeover Regulation and Minority Shareholder Wealth

Ulrike Hoffmann-Burchardi

dp329: Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy

Markus Brunnermeier

dp328: Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries

Roberta Dessi

dp327: Optimal Bail Out Policy, Conditionality and Creative Ambiguity

Xavier Freixas

dp326: Bank Moral Hazard and Market Discipline

Elena Carletti

dp325: Corporate Walkout Decisions and the Value of Default

Pierre Mella-Barral and Tom Dahlström

dp323: Moments of Markov Switching Models

Allan Timmermann

dp322: A Recursive Modelling Approach to Predicting UK Stock Returns

Allan Timmermann and Mohammad Pesaran

dp320: Real Trading Patterns and Prices in Spot Foreign Exchange Markets

Jon Danielsson and Richard Payne

dp319: Arbitrage and Endogenous Market Integration

Jean-Pierre Zigrand

dp318: Moral Hazard, Insurance and Some Collusion

Ching-to Ma and Ingela Alger

dp316: Clustering of Initial Public Offerings, Information Revelation and Underpricing

Ulrike Hoffmann-Burchardi

dp315: Corporate Governance Rules and the Value of Control - A Study of German Dual-Class Share

Ulrike Hoffmann-Burchardi

dp313: A Model of the Lender of Last Resort

Haizhou Huang and Charles Goodhart

dp312: Least Squares Predictions and Mean-Variance Analysis

Enrique Sentana and Enrique Sentana

dp311: Structural Breaks, Incomplete Information and Stock Prices

Allan Timmermann

dp310: Boom In, Bust Out: Young Households and the Housing Price Cycle

Sven Rady

dp309: Buy on Rumours - Sell on News: A Manipulative Trading Strategy

Markus Brunnermeier

dp308: Utility Functions For Central Bankers: The Not So Drastic Quadratic

Jagjit Chadha and Philip Schellekens

dp306: Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences

Bob Nobay and David Peel

dp305: A Dilution Cost Approach to Financial Intermediation and Securities Markets

Xavier Freixas and Patrick Bolton

dp304: The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns

Allan Timmermann, Halbert White and Ryan Sullivan

dp303: Data-Snooping, Technical Trading, Rule Performance and the Bootstrap

Allan Timmermann, Halbert White and Ryan Sullivan

dp302: The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis

Allan Timmermann and Asger Lunde

dp301: Liquidity in Second Tier Equity Markets: Evidence From Londons Alternative Investment Market (AIM)

Anne Fremault Vila and John Board

dp300: Revenue Efficiency and Change of Control: The Case of Bankruptcy

Leonardo Felli and Francesca Cornelli

dp299: The Impact of Liquidity Constraints on Bank Lending Policy

David Webb

dp298: Beyond the Sample: Extreme Quantile and Probability Estimation

Jon Danielsson and Casper de Vries

dp296: Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints

Sven Rady

dp293: Close-Relationships Between Banks and Firms: Is It Good or Bad?

Sonja Daltung and Vittoria Cerasi

dp292: Informed Trading, Investment, and Welfare

Rohit Rahi and James Dow

dp291: Should Speculators be Taxed?

Rohit Rahi and James Dow

dp289: Managers, Debt and Industry Equilibrium

Erlend Nier

dp288: Dynamic Adverse Selection and Debt

Gilles Chemla

dp287: Permanent Income, Consumption and Aggregate Constraints: Evidence from US States

Bent Sorensen, Charlotte Ostergaard and Oved Yosha

dp282: Disclosure Requirements and Stock Exchange Listing Choice in an International Context

John S. Hughes, Steven Huddart and Markus Brunnermeier

dp281: Locally Minimizing the Credit Risk

Christopher Lotz

dp279: Implicit Contracts, Managerial Incentives and Financial Structure

Roberta Dessi

dp275: Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes

Harry Huizinga, Jan Lemmen and Sylvester Eijffinger

dp273: Extreme Returns, Tail Estimation, and Value-at-Risk

Jon Danielsson

dp272: Team Structure Modelling of Defaultable Bonds

Philipp Schönbucher

dp271: R&D Intensity and Finance: Are Innovative Firms Financially Constrained?

Ward Brown

dp270: Prices, Price Processes, Volume and Their Information: A Literature Survey

Markus Brunnermeier

dp269: Optimal Managerial Remuneration and Firm-level Diversification

Erlend Nier

dp268: Speculative Securities

Rohit Rahi and Jose Marin