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.
Longterm decision making under the threat of earthquakes?
Under the threat of earthquakes, long-term policy makers need tools to optimally decide on the economic trajectories that will maximize the society...
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
Information Acquisition with Heterogeneous Valuations
We study the market for a risky asset with heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information...
Artificial Intelligence and Systemic Risk
Artificial intelligence (AI) is rapidly changing how the financial system is operated, taking over core functions because of cost savings and...
Financial crises and liberalization: Progress or reversals?
Financial crisis can trigger policy reversals, i.e. they can lead to a process of reregulation of financial markets. Using a recent comprehensive...
Clients’ Connections
We propose a new measure of private information in decentralised markets – connections – defined as the number of dealers with whom a client trades in...
The Efficient IPO Market Hypothesis: Theory and Evidence
We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...
Bank Resolution and the Structure of Global Banks
The Review of Financial Studies, 32(6), 2384–2421.
Lending cycles and real outcomes: Costs of political misalignment
Government ownership of banks can help solve credit market failures and stabilise the supply of credit over the business cycle. However, it can also...
Sentiment and speculation in a market with heterogeneous beliefs
We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
The Wealth Effect: How the Great Expectations of the Middle Class Have Changed the Politics of Banking Crises
The politics of major banking crises has been transformed since the nineteenth century. Analyzing extensive historical and contemporary evidence...
