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
Minsky's Financial Instability Hypothesis and the Leverage Cycle
Busts after periods of prolonged prosperity have been found to be catastrophic. Financial institutions increase their leverage and shift their...
Repo Runs
This paper develops a dynamic model of financial institutions that borrow short-term and invest into long-term marketable assets. Because such...
Delegated Activism and Disclosure
Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use...
CDS Auctions
We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current...
Anticipated and Repeated Shocks in Liquid Markets
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...
Liquidity Hoarding
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We...
Complicated Firms
We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...
Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate productivity
We develop a dynamic industry model where financing frictions affect the entry decisions of new firms in the home market, as well as the riskiness of...
Strategic Investment, Industry Concentration, and the Cross Section of Returns
This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition affects the...
Short Run Bond Risk Premia
In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast, long-term bond risk premia...
The relationship between the objectives and tools of macroprudential and monetary policy
Speaking notes for a debate on 28th March 2011 at the Financial Markets Group, London School of Economics.
Fiscal Dominance and the Long-Term Interest Rate
Very high government debt/GDP ratios will increase uncertainty about inflation and the future path of real interest rates. This will reduce...
Dynamic Hedging in Incomplete Markets: A Simple Solution
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...
Switching Monetary Policy Regimes and the Nominal Term Structure
In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on average has been steeper since the mid-1980s than...
Institutional trade persistence and long-term equity returns
The Journal of Finance, 66 (2). pp. 635-653.
