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
Utility Functions For Central Bankers: The Not So Drastic Quadratic
Following Blinder’s (1997) suggestion, we examine the implications for the optimal interest rate rule which follow from relaxing the assumption that...
Pension Fund Reform and European Financial Markets
Pension reform is widely seen as essential in order to defuse the difficulties EU governments would otherwise face in respect of their social security...
Buy on Rumours - Sell on News: A Manipulative Trading Strategy
A trader who receives a signal about a future public announcement can exploit this private information twice. First, when he receives his signal, and...
Mutual Fund Performance: Evidence from the UK
This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund...
A Dilution Cost Approach to Financial Intermediation and Securities Markets
This paper proposes a model of financial markets and corporate finance, with asymmetric information and no taxes, where equity issues, Bank debt and...
The Dangers of Data-Driven Inference: The Case of Calender Effects in Stock Returns
Economics is primarily a non-experimental science. Typically, we cannot generate new data sets on which to test hypotheses independently of the data...
Data Snooping, Technical Trading, Rule Performance, and the Bootstrap
In this paper we utilize White’s Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the...
The Hazards of Mutual Fund Performance: A Cox Regression Analysis
This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric...
Revenue Efficiency and Change of Control : The Case of Bankruptcy
The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...
Revenue Efficiency and Change of Control: The Case of Bankruptcy
The restructuring of a bankrupt company often entails a change of control. By efficiency of a bankruptcy procedure it is usually meant that the...
Liquidity in Second Tier Equity Markets: Evidence From London's Alternative Investment Market (AIM)
This paper studies liquidity provision in the Alternative Investment Market (AIM) of the London Stock Exchange. Our analysis shows that it is possible...
Credit Rationing May Involve Excessive Lending
It is typically assumed that equilibrium credit rationing implies insufficient lending. By combining hidden types and hidden action, this paper shows...