Publications of Dimitri Vayanos

Have capital market booms and crashes discredited the efficient market hypothesis? This column says yes and suggests a new model that explains asset...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...

We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...

We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a...