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
Can Regulation, Supervision & Surveillance save Euroland
The lesson that regulation and supervision of banks and financial markets must improve has now at last become conventional wisdom among politicians in...
Too Big to Fail in Banking: What does this mean?
Interest in TBTF resolutions of insolvent large complex firms has intensified in recent years, particularly in banking. TBTF resolutions protect some...
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
Safe to Fail
Banks cannot be made failsafe. But they can be made safe to fail, so that the failure of a bank need not disrupt the economy at large nor pose cost to...
Iceland’s post-Crisis economy: A myth or a miracle?
Icelandic voters recently ejected its post-Crisis government – a government that successfully avoided economic collapse when the odds were stacked...
An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Capital controls are still ruining Iceland after half a decade
One aspect of the Cypriot crisis resolution is of particular concern. As authorities fear that anyone with money in Cyprus will want to take it out as...
The capital controls in Cyprus and the Icelandic experience
Cyprus has imposed temporary capital controls. This column sheds light on how temporary and how damaging they are likely to be, based on Iceland’s...
Towards a more procyclical financial system
Is the fact that different banks have different risk models problematic? Contrary to the Basel Committee and the European Banking Authority, this...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
The Optimal Finance Structure
Banking developed rather differently in Anglo-Saxon countries than on the European Continent and in Japan. In Anglo-Saxon countries, notably the UK...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
