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Department of Finance, LSE
Professor of Finance
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+44 (0)20 7955 7856
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Publications
Forecasting Crashes with a Smile
We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...
DP 936
Information in Derivatives Markets: Forecasting Prices with Prices
Annual Review of Financial Economics, 17
Long-Horizon Exchange Rate Expectations
We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...
DP 896
Research highlight
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Journal of Finance, 76 (6), 3211-3254
