Efficient estimation of a semiparametric characteristic-based factor model of security returns
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted...
From local to global: the rise of AIM as a stock market for growing companies: a comprehensive report analysing the growth of AIM
The purpose of this report, which was commissioned by the London Stock Exchange, is to examine the recent development of AIM as a stock market for...
How deep is the annuity market participation puzzle?
Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...
Evaluating hedge fund performance: a stochastic dominance approach
We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...
Competition and opportunistic advice of financial analysts: theory and evidence
This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...
Prompt Corrective Action & Cross-Border Supervisory Issues in Europe
This Special Paper is a collection of the contributions to the one day conference on Prompt Corrective Action & Cross Border Supervisory Issues In...
Performance measurement and evaluation
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...
The ownership of ratings
A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This...
Portfolio choice beyond the traditional approach
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...
Whatever became of the Monetary Aggregates?
Peston Lecture in honour of Maurice, Lord Peston, delivered at Queen Mary College, London, on 28th February 2007.
Security-voting structure and bidder screening
This paper analyzes how non-voting shares affect the takeover outcome in a single-bidder model with asymmetric information and private benefit...
Loan maturity and renegotiation evidence from the lending practices of large and small banks
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term...
Market liquidity and funding liquidity
We provide a model that links an asset’s market liquidity — i.e., the ease with which it is traded — and traders’ funding liquidity — i.e., the ease...
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
Intergenerational risksharing and equilibrium asset prices
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...