A transaction level study of the effects of central bank intervention on exchange rates
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...
We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...
This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...
This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...
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...