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.
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Bankruptcy in Groups
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
Regulatory Technology
Technology changes society. Financial services and their regulation is not immune from this. Indeed, distributed ledger technology and artificial...
Market Resilience
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...
Bank Resolution and the Structure of Global Banks
We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...
Trading and Information Diffusion in Over-the-Counter Markets
We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...
Communism as the Unhappy Coming
We show that Eastern Orthodox believers are less happy compared to those of Catholic and Protestant faith using data covering more than 100 countries...
The Effect of Superstar Firms on College Major Choice
We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...
A Brief Affectionate History of the Financial Markets Group 1987 to 2017
This is a history of the first 30 years of the Financial Markets Group of the London School of Economics and Political Science. The FMG has become a...
