This paper investigates the relation between stock liquidity and firm performance.  We find that firms with liquid stocks have better firm performance as measured by the market-to-book ratio.  This result holds even when we include industry or firm fixed effects, control for idiosyncratic...

We show that introducing an external capital market with information asymmetry into a product market model reduces opportunistic substitution of sub-standard goods and encourages producers to concentrate on long-run reputation building.  We test this result with a laboratory experiment.  We...

This article reports a unique analysis of private engagements by an activist fund.  It is based on data made available to us by Hermes, the fund manager owned by the British Telecom Pension Scheme (BTPS), on engagements with management in companies targeted by its U.K. Focus Fund (HUKFF).  In...

This paper develops and experimentally implements a simple multi-negotiation bargaining game, in which one agent, called the "developer", must reach agreements with a series of other agents, called "landowners", in order to implement a value-increasing project.  The game has a unique subgame...

This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise.  We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation...

We study how deregulation of corporate law affects the decision of entrepreneurs of where to incorporate.  Recent rulings by the European Court of Justice (ECJ) have enabled entrepreneurs to select their country of incorporation independently of their real seat.  We analyze foreign...

We present a continous time non tatonnement process for frictionless and perfectly competitive markets with (possibly non convex) production, where the natural rate of unemployment (NRU) emerges as the asymptotic value of unemployment.  Consumers and producers are myopic and repeatedly...

This paper examines how foreign ownership affects the investment decisions of subsidiary firms using a new dataset of listed-parent - listed-subsidiary pairs.  We find that improvements in the investment opportunities of parent firms have a negative effect on the investment of their...

The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capital requirements on the business cycle.  Several approaches have been proposed to assess the procyclicality issue.  In this paper, we adopt a general equilibrium model and conduct comprehensive...

This paper presents an overview of the literature on applications of copulas in the modelling of financial time series.  Copulas have been used both in multivariate time series analysis, where they are used to characterise the (conditional) cross-sectional dependence between individual time...