The fallacy of new business creation as a disciplining device for managers
This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...
Performance persistence of pension fund managers
This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the...
Self-Confidence and Survival
We consider the impact of history on the survival of a monopolist selling single units in discrete time periods, whose quality is learned slowly. If...
Asset Price Dynamics with Value-at-Risk Constrained Traders
Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...
Rational limits to arbitrage
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, optimising agents. This paper proposes a rational...
Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...
Financial development, agency and the pace of adoption of new techniques
We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by...
What do internal capital markets do?: redistribution vs. incentives
In this paper we explain the apparent "diversification discount" of conglomerates without assuming inefficient-cross subsidisation through internal...
The structure of bank relationships, endogenous monitoring and loan rates
This paper investigates, in a simple model of overlapping moral hazard problems between banks and firms, how the number of bank relationships affect...
Signalling with debt and equity: a unifying approach and its implications for the pecking order hypothesis and competitive credit rationing
The paper sets out to tackle the following puzzle when insiders of a firm have more information than outside investors. The insiders' desire to sell...
