FMG Discussion Papers

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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

dp267: Pricing Options on Assets with Predictable White Noise Returns

Angel León and Enrique Sentana

dp266: Pareto-improving Asymmetric Information in a Dynamic Insurance Market

Thomas de Garidel

dp265: Does Reuters Spreads Reflect Currencies Differences in Global Trading Activity?

Philipp Hartmann

dp264: An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility

Richard Payne and Marc Henry

dp258: The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour

Alvaro Almeida, Richard Payne and Charles Goodhart

dp255: On Bounded Rationality and Risk Aversion

Markus Brunnermeier

dp253: Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility

Paolo Zaffaroni and Peter Robinson

dp252: Underpricing and Crises - IPO Performance in Germany

Josef Schuster

dp250: Default Risk in Asset Pricing

Pierre Mella-Barral and Pierre Tychon

dp248: Maximum Likelihood Estimation of Stochastic Volatility Models

G Sandmann and Siem Jan Koopman

dp247: Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve

Haizhou Huang, Peter B Clark and Charles Goodhart

dp246: Excessive Dispersion of US Stock Prices: A Regression Test of Cross-Sectional Volatility

Ian Tonks, Andy Snell and George Bulkley

dp242: Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks

Andy Snell and Ian Tonks

dp238: Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market

Richard Payne

dp232: Trading Volumes and Transaction Costs in the Foreign Market - Evidence from Daily Dollar-Yen Spot Data

Philipp Hartmann

dp230: The Dynamics of Corporate Debt forgiveness and Contract Renegotiation

Pierre Mella-Barral

dp226: Option Pricing With a Quadratic Diffusion Term

Sven Rady

dp222: What is the Central Banks Game?

Charles Goodhart and Haizhou Huang

dp216: Central Bank Reputation and Conservativeness

Haizhou Huang and Michele Fratianni

dp212: Risk and Return in the Spanish Stock Market

Enrique Sentana

dp181: State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach

Sven Rady

dp175: Debt Deflation: Theory and Evidence

Mervyn Allister King

dp171: Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data

Danny Quah

dp160: UK Directors Trading: The Impact of Dealings in Smaller Firms

John Matatko, Alan Gregory, Ian Tonks and Richard Purkis

dp154: Empirical Cross-Section Dynamics in Economic Growth

Danny Quah

dp142: When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market

Riccardo Curcio and Charles Goodhart

dp126: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds

Danny Quah

dp125: Auction and Dealership Markets: What is the Difference?

Ailsa Röell and Marco Pagano

dp110: The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market

Riccardo Curcio and Charles Goodhart

dp109: Existence and Uniqueness of an Optimum in the Infinate-Horizon Portfolio-cum-Saving Model with Semimartingale Investments

Lucien Foldes

dp106: Optimal Sure Portfolio Plans

Lucien Foldes