Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such...

We investigate determinants of launch spreads in European securitization transactions over the last decade. First, we develop a simple, reduced-form pricing model for all issues across different transaction types and test it. We document the critical importance of credit ratings without...

Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such...

This paper uses clinical evidence to show how the German system of corporate control and governance is both more active and more hostile than has previously been suggested. It provides a complete breakdown of ownership and takeover defence patterns in German listed companies and finds highly...

This paper introduces signaling in a standard market microstructure model so as to explore the economic circumstances under which hype and dump manipulation can be an equilibrium outcome.  We consider a discrete time, multi-period model with stages of signaling and asset trading.  A single...

We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's information is a message sent by an analyst.  Conformism increases the weight of the public information in the messages, decreasing their informativeness.  More...

It is often taken as axiomatic that investors prefer high levels of regulation.  Yet companies have increasingly chosen to list on stock exchanges with lower regulatory requirements.  In this paper we analyse whether investors value high regulatory standards for quoted companies.  We use the...

None available

A new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model...