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
Reforming public pensions in the US and the UK
This essay describes the current debate on reforming Social Security in the US, along with a brief description of how the program works. Along the way...
Optimal intergenerational risk sharing
This paper studies optimal intergenerational transfer policy under stochastic labor income and capital returns. It has implications for Social...
Long-term debt and hidden borrowing
We consider borrowers with the opportunity to raise funds from a competitive banking sector that shares information, and from an alternative hidden...
Simulated nonparametric estimation of dynamic models with applications to finance
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes...
Dynamic portfolio and mortgage choice for homeowners
We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To...
IMF concern for reputation and conditional lending failure: theory and empirics
One possible explanation for the unsatisfactory implementation of IMF conditionality has been attributed to the lack of credibility of the IMF threat...
Estimating structural bond pricing models via simulated maximum likelihood
This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and...
Reputation effects in trading on the New York Stock Exchange
Theory suggests that reputations, developed in repeated face-to-face interactions, allow non- anonymous, floor-based trading venues to attenuate...
Spot market power and future market trading
When a spot market monopolist participates in the futures market, he has an incentive to adjust spot prices to make his futures market position more...
Asset pricing with limited risk sharing and heterogeneous agents
We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market...
A Model of corporate liquidity
We study a continuous time model of a levered firm with fixed assets generating a cash flow which fluctuates with business conditions. Since external...
Financial tunnelling and the revenge of the insider system: how to circumvent the new European corporate governance legislation
In this paper, we document how European companies can use financial tunnelling to the disadvantage of minority shareholders, despite improved...
ART versus reinsurance: the disciplining effect of information insensitivity
We provide a novel benefit of "Alternative Risk Transfer" (ART) products with parametric or index triggers. When a reinsurer has private information...
How Do We Achieve Regulatory Convergence In Practice?
Speech by Callum McCarthy, Chairman of the Financial Services Authority, delivered at the LSE on 8th December 2004.
Corporate governance in the UK: is the comply-or-explain approach working?
The Combined Code of Corporate Governance, that was introduced in the UK in 1998, is widely regarded as an international benchmark for good corporate...