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
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
Money Laundering: A View from North America
John W. Moscow's (Assistant District Attorney, New York County District Attorney's Office) address to the Financial Markets Group delivered at the...
Banking Regulation and Supervision in Japan
Despite significant changes to the governing institutional framework and to operational procedures, a number of serious doubts remain concerning the...
Competition and Stability: What's Special about Banking?
This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and the...
A structural model of corporate bond pricing with co-ordination failure
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
Venture capital contracts and market structure
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
Revisiting the Rationale for a Single National Financial Services Regulator
This paper reviews developments over the last three and a half years in the UK in an attempt to measure the performance of the Financial Services...
Momentum in the UK stock market
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
Daily closing inside spreads and trading volumes around earnings announcements
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...
Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle
Given that, in equilibrium, all agents freely opt for strictly positive own coverage, competitive models of asymmetric information predict a positive...
Pricing catastrophe insurance derivatives
We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...
The fallacy of new business creation as a disciplining device for managers
This paper investigates a negative externality of new business creation. When being perceived as a good manager is a necessary condition to establish...
Analysis of spreads in the dollar/euro and Deutsche Mark/dollar foreign exchange markets
This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in...