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
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...
The Organisational Structure of Banking Supervision
In this paper I try to address the question of whether, and why, it matters whether banking supervision is undertaken in-house in the Central Bank or...
The Emperor has no Clothes: Limits to Risk Modelling
This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...
The shape of the risk premium: evidence from a semiparametric GARCH model
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...
Club Enlargement: Early Versus Late Admittance
We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...
External Financing Costs and Banks' Loan Supply: Does the Structure of the Bank Sector Matter
This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...
Strategic Trading and Learning About Liquidity
Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...
Bank Capital Regulation With Random Audits
We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...
Reallocation of Corporate Resources and Managerial incentive in Internal Capital Markets
One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...
Yield curve estimation by kernel smoothing
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...
Pricing Convexity Adjustment with Wiener Chaos
This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...