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
Value of information in competitive economies with incomplete markets
A substantial literature addresses the negative effect on welfare of the release of information in a competitive market economy. We show that the...
How deep is the annuity market participation puzzle?
Using U.K. microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation...
Evaluating hedge fund performance: a stochastic dominance approach
We introduce a general and flexible framework for hedge fund performance evaluation and asset allocation: stochastic dominance (SD) theory. Our...
Competition and opportunistic advice of financial analysts: theory and evidence
This work investigates both theoretically and empirically how the behaviour of financial analysts is affected by competition, measured as the strength...
Prompt Corrective Action & Cross-Border Supervisory Issues in Europe
This Special Paper is a collection of the contributions to the one day conference on Prompt Corrective Action & Cross Border Supervisory Issues In...
The ownership of ratings
A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This...
Performance measurement and evaluation
We consider performance measurement and evaluation for managed funds. Similarities and differences−both in econometric practice and in interpretation...
Portfolio choice beyond the traditional approach
This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that...
Whatever became of the Monetary Aggregates?
Peston Lecture in honour of Maurice, Lord Peston, delivered at Queen Mary College, London, on 28th February 2007.
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
Intergenerational risksharing and equilibrium asset prices
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...
Security-voting structure and bidder screening
This paper analyzes how non-voting shares affect the takeover outcome in a single-bidder model with asymmetric information and private benefit...
Loan maturity and renegotiation evidence from the lending practices of large and small banks
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term...
Market liquidity and funding liquidity
We provide a model that links an asset’s market liquidity — i.e., the ease with which it is traded — and traders’ funding liquidity — i.e., the ease...
A search-based theory of the on-the-run phenomenon
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a...
