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
Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises
Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...
Signalling with debt and equity: a unifying approach and its implications for the pecking order hypothesis and competitive credit rationing
The paper sets out to tackle the following puzzle when insiders of a firm have more information than outside investors. The insiders' desire to sell...
What do internal capital markets do?: redistribution vs. incentives
In this paper we explain the apparent "diversification discount" of conglomerates without assuming inefficient-cross subsidisation through internal...
The structure of bank relationships, endogenous monitoring and loan rates
This paper investigates, in a simple model of overlapping moral hazard problems between banks and firms, how the number of bank relationships affect...
Efficiency properties of rational expectations equilibria with asymmetric information
In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...
Constrained indirect inference estimation
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...
An Academic Response to Basel II
It is our view that the Basel Committee for Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the...
Housing market dynamics: on the contribution of income shocks and credit constraints
Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...
The impact of technology on cash usage
“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...
Does one Soros make a difference?: a theory of currency crises with large and small traders
Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a...
A structured GARCH model of daily equity return volatility
This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...
Agency conflicts, ownership concentration, and legal shareholder protection
This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...
Disclosures and asset returns
Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...
Flexible term structure estimation: which method is preferred?
We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...
On Physics and Finance
This paper gives a short introduction of the academic field of financial asset pricing and relates some recent as well as historical developments in...