Testing the Robustness of Long-Term Under-Performance of UK Initial Public Offerings
We re-examine the evidence on the long-term returns of IPOs in the UK using a new dataset of firms over the period 1985-95, in which we compare...
Caution and Conservatism in Monetary Policymaking
This paper shows that imperfect monetary control induces caution in the setting of monetary policy, leading to improved credibility at the expense of...
Post-IPO Directors' Sale and Reissuing Activity: An Empirical Test of IPO Signalling Models
Signalling models of IPO underpricing argue that owners of high-quality firms signal their high quality by underpricing shares sold at the IPO and...
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplication Factor
We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better...
The Inflation Target Five Years On
This paper represents the speech delivered by Mervyn King, Bank of England, at the London School of Economics, Wednesday 29th October at 5.30pm.
Disclosure Requirements and Stock Exchange Listing Choice in an International Context
We use a rational expectations model to examine how public disclosure requirements affect listing decisions by rent-seeking corporate insiders, and...
Locally Minimizing the Credit Risk
The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to...
Co-ordinated Monetary and Foreign Exchange Intervention
When the monetary authorities wish to target the value of a foreign currency, they may coordinate their intervention in the money and foreign exchange...
Technological innovations: slumps and booms
This paper documents the delayed adoption of a major technological innovation: the adoption of the diesel locomotive in the US railway industry...
What Level of Fixed Costs Can Reconcile Asset Returns and Consumption Choices?
This paper defines a lower bound on the fixed cost that is required for observations on consumption choices to be consistent with data on asset...
Implicit Contracts, Managerial Incentives and Financial Structure
This paper examines how managers may be given incentives to exert effort, and to implement efficient implicit contracts with workers. Under certain...
The Effect of Contemporaneous Futures Market Volume on Spot Market Volatility
There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the future market, the greater...
Market Maker Performance: The Search for Fair Weather Market Makers
The London Stock Exchange has long been concerned that some market makers are not fulfilling their obligations. This study describes a range of tests...
Short-Term and Long-Term Government Debt and Non-Residential Interest Withholding Taxes
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...
Sustainability of Capital Ratios and Regulator Reputation: Discretionary vs. Binding Legalisation
This paper aims at developing a model of reputation acquisition by the insurer-regulator, in an incompletely informed banking system. Reputation...
