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
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility
We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the...
Non-Linear Time Series with Long Memory: A Model for Stochastic Volatility
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The Equivalence of Screen Based Continuous-Auction and Dealer Markets
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer...
Soft Budget Constraint and Stock Price Information
This article investigates the ability of regulatory agencies to keep firms to fixed budgets. The budget implemented at an interim date is always...
Blocks, Liquidity and Corporate Control
The paper develops a simple model of optimal corporate ownership structure in which costs and benefits of ownership concentration are analysed. The...
Default Risk in Asset Pricing
This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent...
Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve
In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the...
Underpricing and Crises - IPO Performance in Germany
This analysis extends the international evidence on initial public offerings (IPOs) to new issues in Germany between 1988 and 1995. Germany has been...
Rules v Discretion: The Case of Banking Supervision in the Light of the Debate on Monetary Policy
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Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...
Index-Linked Debt and the Real Term Structure: New Estimates and Implications from the UK Bond Market
This paper takes a new look at the market for Index-Linked Debt in the U.K.. I begin by clarifying the theoretical links between the observed prices...
Maximum Likelihood Estimation of Stochastic Volatility Models
This paper discusses the Monte Carlo maximum likelihood method of estimating stochastic volatility (SV) models. The basic SV model can be expressed as...
