Publications of Dimitri Vayanos

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

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

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

Journal of Finance, 74 (1), 371-399.

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

Financial Times

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

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...

American Economic Review, 106(5): 508-12

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...

Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...

Review of Financial Studies, 27 (3). pp. 663-713. 

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...