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Publications

The Capital Markets programme examines how different types of agents interact in financial markets. The latest research from Capital Markets members is made available in our working papers collection. This cutting edge work is free to download, and designed to inspire scholarly debate.

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Discussion Papers

Inferring Mutual Fund Intra-Quarter Trading - An Application to ESG Window Dressing

We develop a novel method to infer intra-quarter trading of individual mutual funds. After a mutual fund executes a trade, its reported portfolio...

March 2025
DP 923
Li An
Shiyang Huang
Dong Lou
Xudong Wen
Mingxin Xu

Discussion Papers

Sustainable Investing: Evidence From the Field

We survey 509 equity portfolio managers from both traditional and sustainable funds on whether, why, and how they incorporate firms’ environmental and...

March 2025
DP 920
Alex Edmans
Tom Gosling
Dirk Jenter

Research highlight

Academic journals

Memory Moves Markets

The Review of Financial Studies, hhae086

December 2024
Constantin Charles

Academic journals

Supply and Demand and the Term Structure of Interest Rates

Annual Review of Financial Economics, 16, 115 - 151

November 2024
Robin Greenwood
Samuel G. Hanson
Dimitri Vayanos

Discussion Papers

Trading Ahead of Barbarians’ Arrival at the Gate: Insider Trading on Non-Inside Information

Privately informed about firm fundamentals, corporate insiders detect activism-motivated trades better than other traders. This paper solves the model...

October 2024
DP 916
Georgy Chabakauri
Vyacheslav (Slava) Fos

Research highlight

Academic journals

Putting the Price in Asset Pricing

Journal of Finance, 79 (6), 3943-3984

October 2024
Thummim Cho
Christopher Polk

Academic journals

An unconventional FX tail risk story

Journal of International Money and Finance, 148, 103152

October 2024
Carlos Cañon
Eddie Gerba
Alberto Pambira
Evarist Stoja

Research highlight

Academic journals

Unbundling Quantitative Easing: Taking a Cue from Treasury Auctions

Journal of Political Economy, 132 (9), 3115-3172

September 2024
Walker Ray
Michael Droste
Yuriy Gorodnichenko

Opinion Pieces

Credibility, trust, and perception of authorities’ performance

The credibility of an institution is, almost, synonymous with how well it is trusted. This column uses survey data to examine how trust in various...

August 2024
Charles Goodhart
Ly Hoang Vu

Research highlight

Academic journals

The Gender Gap in Household Bargaining Power: A Revealed-Preference Approach

The Review of Financial Studies, hhae039

August 2024
Ran Gu
Cameron Peng
Weilong Zhang

Research highlight

Academic journals

Insensitive Investors

Journal of Finance, 79(4), 2473-2503

August 2024
Constantin Charles
Cary Frydman
Mete Kilic

Discussion Papers

Investor Memory and Biased Beliefs: Evidence from the Field

We survey a large representative sample of retail investors in China to elicit their memories of stock market investment and return expectations. We...

July 2024
DP 912
Zhengyang Jiang
Hongqi Liu
Cameron Peng
Hongjun Yan

Research highlight

Academic journals

High-frequency trading in the stock market and the costs of options market making

Journal of Financial Economics, 159, 103900

July 2024
Mahendrarajah Nimalendran
Khaladdin Rzayev
Satchit Sagade

Discussion Papers

The Law of Small Numbers in Financial Markets: Theory and Evidence

We build a model of the law of small numbers (LSN)—the incorrect belief that even small samples represent the properties of the underlying population...

July 2024
DP 911
Lawrence J. Jin
Cameron Peng

Discussion Papers

The Inference-Forecast Gap in Belief Updating

Evidence from experiments, surveys, and the field has uncovered both underreaction and overreaction to new information. We provide new experimental...

June 2024
DP 908
Tony Q. Fan
Yucheng Liang
Cameron Peng

Discussion Papers

Unintended Consequences of Holding Dollar Assets

We examine a novel mechanism whereby the US dollar’s global dominance can have a large, unexpected impact on foreign Treasury yields in crisis periods...

May 2024
DP 907
Robert Czech
Shiyang Huang
Dong Lou
Tianyu Wang

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Mike Burkart - Winner of the 2025 ECGI Finance Series Prize

LSE announces launch of an Initiative in Sustainable Finance

Vacancy: Research Assistant in Finance

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5th Annual Conference on Non-Bank Financial Sector and Finan ...

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Is Index Concentration an Inevitable Consequence of Market-C ...

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Publications

Inferring Mutual Fund Intra-Quarter Trading - An Application ...

Sustainable Investing: Evidence From the Field

Memory Moves Markets

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