Research highlights
Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in Economics and Finance, such as the American Economic Review, Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies. A sample of recent papers is below.
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
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Corporate Capture of Blockchain Governance
Review of Financial Studies, 36 (4), 1364–1407
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Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
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Measuring the welfare cost of asymmetric information in consumer credit markets
Journal of Financial Economics, 146 (3), 821-840
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Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
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Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
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Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
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Public Procurement in Law and Practice
American Economic Review, 112 (4), 1091-1117
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Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
Reallocation of Corporate Resources and Managerial incentive in Internal Capital Markets
One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...
Yield curve estimation by kernel smoothing
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...
Pricing Convexity Adjustment with Wiener Chaos
This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...
Excessive Continuation and Dynamic Agency Costs of Debt
This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...
Debt, Incentives and Performance: Evidence from UK Panel Data
A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...
Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Banks as Catalysts for Industrialization
We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...
The Profitability of Block Trades in Auction and Dealer Markets
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...
Collateral, Renegotiation and the Value of Diffusely Held Debt
Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-a-vis a...
Financial Constraints, Precautionary Saving and Firm Dynamics
This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the...