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Publications of Dimitri Vayanos

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Academic journals

Asset Management as Creator of Market Inefficiency

Atlantic Economic Journal, 51, 1–11

April 2023
Dimitri Vayanos
Paul Woolley

Discussion Papers

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...

April 2023
DP 869
Pierre-Olivier Gourinchas
Walker Ray
Dimitri Vayanos

Discussion Papers

Passive Investing and the Rise of Mega-Firms

We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...

March 2023
DP 868
Hao Jiang
Dimitri Vayanos
Lu Zheng

Discussion Papers

Long-Horizon Investing in a Non-CAPM World

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...

March 2023
DP 864
Christopher Polk
Dimitri Vayanos
Paul Woolley

Research highlight

Academic journals

Asset Management Contracts and Equilibrium Prices

Journal of Political Economy, 130(12), 3146-3201

December 2022
Andrea Buffa
Dimitri Vayanos
Paul Woolley

Opinion Pieces

Giant funds and market mispricing

The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...

October 2022
Dimitri Vayanos
Paul Woolley

Academic journals

A Preferred-Habitat Model of the Term Structure of Interest Rates

Econometrica, 89 (1), 77-112

January 2021
Dimitri Vayanos
Jean-Luc Vila

Discussion Papers

Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...

December 2020
DP 823
Hao Jiang
Dimitri Vayanos
Lu Zheng

Special Papers

A Restart Procedure to Deal with Covid-19

Governments around the world are assisting firms to deal with the adverse effects of Covid-19. Most forms of government assistance provided so far...

May 2020
SP 254
Cynthia Balloch
Simeon Djankov
Juanita Gonzalez-Uribe
Dimitri Vayanos

Opinion Pieces

The coronavirus crisis is no 2008

Many comparisons have been made between the coronavirus crisis and the global systemic crisis in 2008. This column argues that seen through the lens...

March 2020
Jón Danielsson
Robert Macrae
Dimitri Vayanos
Jean-Pierre Zigrand

Academic journals

Liquidity Risk and the Dynamics of Arbitrage Capital

Journal of Finance, 74 (3), 1139-1173.

May 2019
Peter Kondor
Dimitri Vayanos

Academic journals

Financial Markets Where Traders Neglect the Informational Content of Prices

Journal of Finance, 74 (1), 371-399.

January 2019
Erik Eyster
Matthew Rabin
Dimitri Vayanos

Academic journals

The Dynamics of Financially Constrained Arbitrage

Journal of Finance, 74 (4), 1713-1750. 

August 2018
Denis Gromb
Dimitri Vayanos

Opinion Pieces

Why investors should be weaned off tight tracking to market indices

Exploitative momentum investing would shrivel in the absence of benchmarkers.

December 2017
Paul Woolley
Dimitri Vayanos

Discussion Papers

The Dynamics of Financially Constrained Arbitrage

We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...

August 2017
DP 771
Denis Gromb
Dimitri Vayanos

Discussion Papers

Financial Markets where Traders Neglect the Informational Content of Prices

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

August 2017
DP 770
Erik Eyster
Matthew Rabin
Dimitri Vayanos

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