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...
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...
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...
Efficiency properties of rational expectations equilibria with asymmetric information
In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...
Constrained indirect inference estimation
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...
An Academic Response to Basel II
It is our view that the Basel Committee for Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the...
The impact of technology on cash usage
“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...
Housing market dynamics: on the contribution of income shocks and credit constraints
Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...
Does one Soros make a difference?: a theory of currency crises with large and small traders
Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a...
A structured GARCH model of daily equity return volatility
This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...
Disclosures and asset returns
Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...
Agency conflicts, ownership concentration, and legal shareholder protection
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...
Flexible term structure estimation: which method is preferred?
We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...
On Physics and Finance
This paper gives a short introduction of the academic field of financial asset pricing and relates some recent as well as historical developments in...
Financing Constraints and Inventories
This paper puts forward the existence of financing constraints as a possible explanation for two main empirical regularities about inventories; that...