The following Group members are involved in research in this area:
In the Finance sub-group we are interested in the theoretical and empirical modelling of financial markets and instruments, to understand the information being revealed by the markets and to understand the influence of market participants and market structures on that information.
The research of group members has been used within private sector and public sector organisations, such Virgin Direct Investment Management, H.M.Treasury’s Debt Management Office and the Bank of England. For example, yield curve estimation procedures worked on by Prof. Steeley are incorporated in the yield estimates published by the Bank of England and H.M. Treasury, and assist the Treasury in obtaining the best value for its new debt issues.
Our work has been supported by the Leverhulme Trust, the British Academy, INQUIRE-UK, and H.M. Treasury.
The wide ranging interests of the group are reflected in the following research themes which represent the substantive areas of research the group is working on:
Current microstructure projects (Chelley-Steeley and Steeley) are using the methods of experimental economics to examine the role of investor disagreement on market aggregates, and the role of investor over-confidence on trading behaviour. Our work in experimental finance is undertaken under the auspices of AGREF.
Projects have investigated the impact of stock repurchases on market liquidity and price stability (De Cesari) and the relation between a firm’s ownership structure and the timing of its stock repurchases (De Cesari).