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
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
Research highlight
Performance-Induced CEO Turnover
The Review of Financial Studies, 34 (2), 569-617
All publications
Speculative Securities
A speculative security is an asset whose payoff depends on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders...
Do Reuters Spreads Reflect Currencies' Differences in Global Trading Activity?DP
A new estimate of the long-run impact of trading activity on bid-ask spreads in the foreign exchange markets is realized with a short panel containing...
Sterilized Central Bank Intervention in the Foreign Exchange Market
In this paper we study the signalling role of sterilised central bank intervention. Through a market micro-structure framework, we show that in some...
An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility
A comprehensive set of estimates of long memory in the volatility of three intra-day foreign exchange data series is presented. Robust semiparametric...
The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
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Default and Renegotiation: A Dynamic Model of Debt
We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study...
Product Market Competition and Optimal Debt Contracts: The Limited Liability Effect Revisited
This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between financial...
Capital Budgeting and Stock Option Plans
Stock option plans are derived as the optimal managerial compensation scheme based on the interactions between motivating the CEO to extract...
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general...
The Effects of Macroeconomic 'News' on High Frequency Exchange Rate Behaviour
This papers studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany...
The Future of Financial Services Regulation Some Reflections from the Inside
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Economics of Takeover Regulation
This paper provides an economist's guide to the regulation of public tender offers. It argues that the common interpretation of takeovers as solely...
A New Bankruptcy Procedure That Uses Multiple Auctions
We propose a new bankruptcy procedure, that makes use of multiple auctions. The procedure is designed to work even when capital markets do not...
On Bounded Rationality and Risk Aversion
Experimental evidence suggests that agents who consume at their usual income level are very risk averse, whereas at lower income levels they often...
Forecast Biases in Value-at-risk Estimations: Evidence From Foreign Exchange and Global Equity Portfolios
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