Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in the field.
Click to see a collection of notable FMG working papers which have been published in American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, and Review of Financial Studies.
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...
Measuring Human Capital
Students around the world are going to school but are not learning – an emerging gap in human capital formation. To understand this gap, we introduce...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Trading and Arbitrage in Cryptocurrency Markets
We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...
Heterogeneous Global Cycles
Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
Journal of Finance, 73 (5), 2229-2269.
Lending Cycles and Real Outcomes: Costs of Political Misalignment
We use data on the universe of credit in Turkey to document a strong political lending cycle. State-owned banks systematically adjust their lending...
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
Ten Years After the Global Financial Crisis: Causes, Outcomes, Lessons Learnt
September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
