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
Liquidity and capital structure
This paper solves for a firm’s optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate...
The role of prestige and networks in outside director appointment
We study the role of prestige and social networks in the selection of outside directors, and the subsequent effect on firm value. Both prestige and...
Evolution of decision and control rights in venture capital contracts: an empirical analysis
We analyze the structure and evolution of the allocation of decision and control rights in venture capital contracts by using a sample of 464...
Recovery rates, default probabilities and the credit cycle
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this...
Financial structure, managerial compensation and monitoring
When a firm has external debt and monitoring by shareholders is essential, managerial bonuses are shown to be an optimal solution. A small managerial...
Corporate governance and regulation: Can there be too much of a good thing?
For a large number of companies from different countries, we analyze how company corporate governance practices and country regulatory regimes...
Are there Monday effects in stock returns: a stochastic dominance approach
We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic...
Money Illusion and Housing Frenzies
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...
The optimal design of funded pensions
In many countries, pension funds based on individual accounts have been affected by high operating costs. Contract theory helps to unravel the nature...
Monetary policy and its informative value
This paper analyzes the welfare effects of economic transparency in the conduct of monetary policy. We propose a model of monopolistic competition...
Long-term care insurance, annuities and asymmetric information: the case for bundling contracts
Within an asymmetric information set-up in which individuals differ in terms of their risk aversion and can choose whether or not to take preventative...
Regionality Revisited: an examination of the direction of spread of currency crises
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate...
Speculative attacks with multiple sources of public information
We propose a speculative attack model in which agents receive multiple public signals. It is characterised by its focus on an informational structure...
Choice of corporate risk management tools under moral hazard
This paper examines the choice of tools for managing a firm’s operational risks: cash reserves, insurance contracts, and financial assets under an...
Consistent measures of risk
In this paper we compare overall as well as downside risk mea- sures with respect to the criteria of first and second order stochastic dominance...