Recent Submissions
This thesis contains three chapters. In particular, it examines the opaqueness of financial securities, risk contagion among asset markets and learning behaviours and trading skills in financial markets. Chapter 1, Opacity in Security Design: The Role of Derivative Markets, builds a theoretical model to explain the contribution of financial derivatives, especially Credit Default Swap, to the opaqueness of financial securities. We find a trade-off in the opacity design of financial securities:...
Gao, Xing
This thesis examines three different, self-contained topics in Financial Markets Theory. In the fi rst chapter, we present a model of fi nancial intermediation, in which misperception of small probability events determines the allocation of systematic risk in an economy. Particularly, we analyse an economy where households can invest directly in projects or indirectly via bank deposits. We show that, when households overweight the probability of an unlikely bad state, they prefer to inve...
Argyraki, Efthymia-Ioli
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment insurance. We assume a parametric model for the duration of interest and leave the distribution of censoring unrestricted, allowing it to be correlated with observed and unobserved characteristics. We provide a practical characterization of the identified set with moment inequalities and suggest methods for estimating t...
Szydlowski, Arkadiusz
Financial models incorporating a reference point, such as the Capital Gains Overhang (CGO) model, typically assume it is fixed at the purchase price. Combining experimental and market data, this paper examines whether such models can be improved by incorporating reference point adjustment. Using real stock prices over horizons from 6-months to 5-years, experimental evidence demonstrates that a number of salient points in the prior share price path are key determinants of the reference poi...
Riley, Christopher; Summers, Barbara; Duxbury, Darren
This paper charts the evolution of mainly empirical research at the NIESR over the 1970s and 80s. As was all too evident there were very large discrete technical improvements in data handling and manipulation over this period. Less well appreciated were the effects on the economy of major supply-side shocks coming from the World economy leading to ‘Stagflation’ and, interconnected but somewhat later, in the UK, marked changes in macro policy regime. This latter was strongly influenced by the ...
Hall, S. G.; Henry, S. G. B.
We test the portability of level‐0 assumptions in level‐k theory in an experimental investigation of behavior in Coordination, Discoordination, and Hide and Seek games with common, non‐neutral frames. Assuming that level‐0 behavior depends only on the frame, we derive hypotheses that are independent of prior assumptions about salience. Those hypotheses are not confirmed. Our findings contrast with previous research which has fitted parameterized level‐k models to Hide and Seek data. We show t...
Heap, Shaun Hargreaves; Arjona, David Rojo; Sugden, Robert
Some analysts claim that Bernoulli’s utility function is “reference-independent”, so it is not able to generate a loss aversion index, and that the theoretical framework of Prospect Theory (PT) is required to achieve those results. This paper examines that claim and finds that the geometry of Bernoulli’s original utility function specification either explains or implies key elements of PT: reference dependence and a loss aversion index. Theory and evidence show that the loss aversion index co...
Charles-Cadogan, Godfrey
Foreign direct investment (FDI) plays a crucial role in providing resources to finance the development strategies of developing nations. Therefore, policy makers and development agencies alike believe that FDI is growth enhancing, as suggested by their policy measures to promote FDI. This dissertation consists of three empirical essays that seek to examine the determinants of FDI and its growth enhancing effects without hurting future generations. The first empirical study examines the effec...
Hagan, Edmond
This thesis consists of three chapters examining the effectsects of social identity in an experimental framework. The first chapter uses a novel subject pool, registered members of British political parties and subjects play the Ultimatum Game. Proposers and responders make offers or state their minimum acceptable offer (MAO) conditional on the political identity of the second player. Additionally we determine how behaviour in the ultimatum game is affected when proposers have the opportunity...
Manifold, Emma M.
This thesis comprises of three essays on intergenerational transmission of cognitive skills, employing data from the UK Millennium Cohort Study (MCS), the most recent longitudinal dataset for Britain. The first essay investigates the intergenerational transmission of human capital in Britain. Controlling for endogeneity under instrumental variable estimation, we show that there is a positive relationship between parent schooling and child cognitive tests. It also provides evidence for t...
Psyllou, Maria
Chapter 1 addresses the observation that higher education participants from low socio-economic status (SES) backgrounds on average attend less competitive universities than their high SES peers. Taking advantage of a unique set of administrative data, which is linked to data reflecting SES measures for each student's postal code of residence, we are able to decompose observed differences in type of university attended. We find that the majority of the observed difference in the type of univer...
Yuan, Haige
This thesis studies some of the many costs associated with exposure to crime. Chapter 2 focuses on indirect exposure to crime, and investigates how homicides affect students’ performance. A number of large administrative Brazilian datasets is used to estimate the causal effect of exposure to homicides in the public way on schooling outcomes. Within-school estimates show that violence in the surroundings of schools, at the residence of students, and on the walking path from residence to ...
Souza Menezes, Francisca Lívia
Technical Traders adopt mathematical methods to formulate various technical trading rules on their trading strategies. This paper utilises two unique datasets—individual and market tick-by-tick data—to disclose the categories and characteristics of technical traders’ strategies in Chinese rebar futures market. Firstly, we use a simple multiple regression model to filter technical traders in individual dataset. By using market dataset to generate dummy signals according to six popular kinds of...
Liu, Guanqing
In its classical form, the liquidity trap, a term coined by Keynes (1936), is a situation where an increase in money supply fails to reduce the nominal interest rate. The modern literature has concentrated on the case where the nominal interest rate has been driven down to zero (the so called ‘zero bound’). The source of a liquidity trap, in most circumstances, is a sharp fall in aggregate demand; see Keynes (1936), Bernanke (2002). Interest in the liquidity trap has revived in recent years d...
al-Nowaihi, Ali; Dhami, Sanjit
This thesis consists of three essays on the nexus between economic activity and the environment and addresses issues such as growth, crime, and environmental quality. Chapter 1 investigates the relationship between human capital accumulation and health damaging pollution. It is shown that global dynamics are featured by a path dependency. There is either cyclical convergence to a low income equilibrium or positive long-run growth with an Environmental Kuznets Curve, depending on the initial c...
Balatsouka, Aikaterini
Any research on strategies for reaching business excellence aims at revealing the appropriate course of actions any executive should consider. Thus, discussions take place on how effective a performance measurement system can be estimated, or/and validated. Relevant questions can be raised, like: can one find an adequate measure (i) on the performance result due to whatever level of investment, and (ii) on the timing of such investments? We argue that extreme value statistics provide the answ...
Ausloos, Marcel; Cerqueti, Roy; Bartolacci, Francesca; Castellano, Nicola G.
This paper analyzes the connection between innovation activities of companies – implemented before crisis – and their performance – measured at time of crisis. The companies listed in the STAR Market Segment of the Italian Stock Exchange are analyzed. Innovation is measured through the level of investments in total tangible and intangible fixed assets in 2006–2007, while performance is captured through growth – expressed by variations of sales, total assets and employees – profitability – thr...
Ausloos, Marcel; Bartolacci, Francesca; Castellano, Nicola G.; Cerqueti, Roy
Benford's law is an empirical observation, first reported by Simon Newcomb in 1881 and then independently by Frank Benford in 1938: the first significant digits of numbers in large data are often distributed according to a logarithmically decreasing function. Being contrary to intuition, the law was forgotten as a mere curious observation. However, in the last two decades relevant literature has grown exponentially—an evolution typical of “Sleeping Beauties” (SBs) publications that go unnotic...
Mir, Tairq A.; Ausloos, Marcel
This thesis studies the effect of uncertainty in the group identity or the payoffs on social preferences. It also tests the robustness of Dana, Weber and Kuang's results and presents a model to understand the findings of the experiment. Chapter 1 investigates the effect of uncertainty in group membership of the subjects on social preferences. We find that the decision to know the group identity of the counterparts' who turn out to be an in-group member in the dictator and response games incr...
Movahedi, Tahahossein
Information asymmetry is a common feature that hinders lending to small and medium enterprises (SMEs). In the last decade, the growth in Islamic banks lending to SMEs was overwhelming to the extent that it prompted practitioners to regard this as a "win-win" situation. Unlike a conventional bank that mainly resorts to relationship banking to SMEs, an Islamic bank uses a Murabaha contract that creates a "collateral-by-contract" to the borrower. Such distinct lending approaches by the two types...
Shaban, Mohamed; Duygun, Meryem; Fry, John
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