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We then derive asymptotic power envelopes for tests forthe presence of a spike. ... Thisfinding provides a theoretical explanation for the observed tendency ofJohansen’s test to find "spurious cointegration".

Your E-Mail Address obl20@cam.ac.uk. Faculty/Department economics. Project Title Empirical Finance: Methodology and Application. ... and Mahmoodzadeh, S. Implications of high-frequency trading for security markets, (2018) Annual Review of Economics Chen,

Jean-Paul Décamps (Toulouse School of Economics) and Stéphane Villeneuve (Toulouse School of Economics). ... Panagiotis Couzoff (London School of Economics), Shantanu Banerjee and Grzegorz Pawlina (Lancaster University.

that can pass quite stringent accuracy tests such as the Euler Equation Error test. ... Review of Economic Studies. The extensions of Faraglia et al. (2017) are an important part of the current CERF project.

study analysis. The event study specification allows us to test whether there exist any pre-. ... European Association of Health Economics (EuHEA) Conference 2020 held in Oslo, but the.

affected firms. Consistent with an economic mechanism that largely works through the limited. ... Paris Financial Management Association (December 2018), American Law and Economics. Annual Meeting (May 2019, scheduled).

Second, corporate restructurings constitute a central topic in financial economics and are as such an important field of study in its own right. ... 2016) who make use of rumours on Twitter to characterise the spread of information on non-economics news.

Faculty/Department. Faculty of Economics. Award start date: October 2013. Expected Award End Date: September 2016. ... Thus far I have presented my research once, namely at the Econometrics workshop in the Faculty of Economics in April.

Project Abstract VCs – equity investors in new companies – are understood to have a crucial impact on the commercialisation of technological innovation and new economic actors. ... This also allowed me to test some of my ideas, discuss some of the

Others utilise the many data points available across these datasets to test complex algorithms in. ...  MPhil in Bioscience Enterprise (Chemical Engineering and Biotechnology).  MPhil in Economics (Economics).

economic cycle. In particular, trading gains seem to attract a valuation premium during economic. ... economic upturns. The time-series results are robust to different data sorts and specifications of.

to allow for easier interpretation of the estimates and direct comparisons of the economic. ... and the associated economics of scale. Under a multinomial logistic regression framework, I.

Another. direction I am working toward is to use the data on options to empirically test the. ... I have presented this paper at various. conferences and schools, now it is r&r at Journal of Economic Theory.

CERF promotes research at Cambridge University into all aspects of. finance, financial institutions, financial markets, and their relationship with economic behaviour and performance. ... Also leading the program was Michelle Lowry, Drexel University,

social value, while discovery is valuable, and argues that economic forces do not guarantee optimal. ... available trading profits and information production incentives. One way to test this hypothesis is.

In particular, we examine how market sentiment affects the valuation of different sources of bank earnings, interest income versus trading gains, over the economic cycle. ...  Amel-Zadeh, A., and Y. Zhang (2015), ‘The Economic Consequences of

and parsimonious, enabling its economic forces to be transparent. We analyze a firm.

Using a social-network based measure of director connections with important outside economic agents such as suppliers, bankers, and powerful politicians in a sample of U.S. ... This result remains robust to a battery of robustness tests, including RDD

support provided to this program by EDF.†Toulouse School of Economics (CRM-IDEI), Manufacture des Tabacs, 21, Allée de Brienne, 31000. ... Toulouse, France. Email: jean-paul.decamps@tse-fr.eu‡Toulouse School of Economics (CRM-IDEI), Manufacture des

 International Economic Association Roundtable on The Economics of Religion (10-11 July. ... Economics).  Miguel Morin (Macroeconomics and Economic History).  Mikhail Safronov (Microeconomic Theory).