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
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
This paper explores the trading incentives of financial institutions induced by the interaction between regulatory accounting rules and capital...
New light on choice of investment strategy
According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...
Legal Aspects of Bank Bail-Ins
The aim of the bail-in proposal is that governments should have an alternative option to taxpayer-funded rescues of systemic banks. It operates...
Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts
Private equity sponsors pay special attention to designing capital structure, making buyouts an interesting setting for examining capital structure...
The effect of risk preferences on the valuation and incentives of compensation contracts
We use a comparative approach to study the incentives provided by different types of compensation contracts, and their valuation by risk averse...
Smart Buyers
In many bilateral transactions, the seller fears being underpaid because its outside option is better known to the buyer. We rationalize a variety of...
Bond Variance Risk Premia
Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains...
On the drivers of commodity co-movement: Evidence from biofuels
We use the recent introduction of biofuels to study the effect of industry factors on the relationships between wholesale commodity prices...
Performance Pay, CEO Dismissal, and the Dual Role of Takeovers
We propose that an active takeover market provides incentives by offering acquisition opportunities to successful managers. This allows firms to...
Explaining the Structure of CEO Incentive Pay with Decreasing Relative RiskAversion
It is established that the standard principal-agent model cannot explain the structure of commonly used CEO compensation contracts if CRRA preferences...
The Wall Street Walk when Blockholders Compete for Flows
An important recent theoretical literature argues that the threat of exit can represent an effective form of governance when the blockholder is a...
What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a...
Investment banking careers: An equilibrium theory of overpaid jobs
We develop an optimal dynamic contracting theory of overpay for jobs in which moral hazard is a key concern, such as investment banking. Overpaying...
Making Europe Safer
Open letter by the international Euro-nomics academic group (www.euro-nomics.com), composed of Markus Brunnermeier, Luis Garicano, Philip R. Lane...
