Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Banks as Catalysts for Industrialization
We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...
The Profitability of Block Trades in Auction and Dealer Markets
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...
Collateral, Renegotiation and the Value of Diffusely Held Debt
Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-a-vis a...
Financial Constraints, Precautionary Saving and Firm Dynamics
This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the...
A Simple Model of an International Lender of Last Resort
This paper develops a simple model of an international lender of last resort (ILOLR). The World economy consists of many open economies, each with its...
Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company. However...
Firm Size and Cyclical Variations in Stock Returns
Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle...
Equity Finance, Adverse Selection and Product Market Competition
This paper analyses the effect of asymmetric information between a firm and its outside investors on the firm's competitive position in a model where...
Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
This paper examines the patterns of security returns around the trades of corporate insiders in the shares of their own company. We find patterns in...
Recent Developments in Central Banking: Some Special Features of the Monetary Policy Committee and of the European System of Central Banks
Presented in the Monnet Lecture at University College, Dublin on 14th October 1999.
