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
Investors’ Horizons and the Amplification of Market Shocks
This paper shows that during episodes of market turmoil 13F institutional investors with short trading horizons sell their stockholdings to a larger...
The Potential Instruments of Monetary Policy
In most standard (Dynamic Stochastic General Equilibrium, DSGE) macro-models, there is a single riskless rate, set by the Central Bank in accord with...
“Theory anchors” explain the 1920s NYSE Bubble
The NYSE boom of the 1920s ended with the infamous crash of October 1929 and subsequent collapse in common stock prices from 1929-1932. Most...
Foresight: The Future of Computer Trading in Financial Markets
SRC researchers were involved in a study that explores how computer generated trading in financial markets will evolve over the next 10 years. The...
International Correlation Risk
We provide novel evidence of priced correlation risk in the foreign exchange market. Currencies that perform badly (well) during periods of high...
From Female Labor Force Participation to Boardroom Gender Diversity
The list of barriers to female representation in management is analogous to the list of barriers to female labor force participation. Accordingly, we...
What should we do about (Macro) Pru? Macro Prudential Policy and Credit
Credit growth is widely used as an indicator of potential financial stress, and it plays a role in the new Basel III framework. However, it is not...
Taming the finance monster
The best way to resolve global financial instability is for the owners of capital to assert themselves, with sovereign funds well positioned to take...
Maintaining Confidence - Understanding and preventing a major financial institution failure mode
This paper proposes the solvency/liquidity spiral as an failure mode affecting large financial institutions in the recent crisis. The essential...
Bank Capital Standards: A critical review
The aim of this paper is to review the significant flaws in the Basel Accords, which undermine their contribution to stability in banking and...
A Coasean Approach to Bank Resolution Policy in the Eurozone
The Eurozone needs a bank resolution regime that can work across seventeen independent nations of diverse sizes with varying levels of financial...
A flow-based explanation for return predictability
Review of Financial Studies, 25 (12). pp. 3457-3489.
Shareholder Empowerment and Bank Bailouts
We investigate the hypothesis that shareholder empowerment may have led to more bank bailouts during the recent financial crisis. To test this...
Adjustment Mechanisms in a Currency Area
Both the euro-area and the United States suffered an initially quite similar housing and financial shock in 2007/8, with several states in both...
Bankers and bank investors: Reconsidering the economies of scale in banking
We study economies of scale in banking by viewing banks as combinations of financial and human capital that create rents which accrue to investors and...