Discussion Papers

We develop a model in which there is conflict of interest between the management and the shareholders of an organization. Incompleteness of contracts...

This paper uses transactions data from the London Stock Exchange to characterize the intraday pattern of security prices and trading volume for...

Within the context of takeovers this paper shows that in private auctions the optimal individually rational strategy for a bidder with partial...

The assumption of the Arbitrage Pricing Theory can be formulated in terms of the variance matrix V of the returns on a finite or infinite set of asset...

In a tender offer by a value increasing raider, voting shareholders face a free-rider problem. However, when they are not atomistic, they do not...

In an overlapping generations model each generation invests a given budget into a portfolio consisting of risky shares and a riskless asset. In each...

Inter-Dealer trading is an important but rarely discussed aspect of many financial markets. This paper allows for trading between market makers on the...

Presidential Lecture delivered by Mervyn King (Bank of England and London School of Economics), to the European Economic Association on 27th August...

The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of...

We model competition among middlemen who buy from sellers and sell to buyers. If middlemen compete in bid prices in the first stage, a Walrasian...

This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least squares...

This paper considers a model of growth and income distribution in the presence of imperfect capital markets. Moral hazard on the part of borrowers is...

This paper analyses the cost of trading French shares on two exchanges, the Paris Bourse and London's SEAQ International. Using a large data set...

We develop a theory of long term debt based on the idea that debt and equity differ in their priority status relative to future corporate cash...

There is a widespread belief that UK bankruptcy procedures are not working well, in spite of the 1986 reforms. A recent Coopers and Lybrand report...

A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is...