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
Pricing Intra-day Credit in Real Time Gross Settlement Systems
Some Real Time Gross Settlement (RTGS) systems require the explicit provision of intra-day liquidity. This can be provided through either...
Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model: Germany, Japan and USA
This paper presents a series of empirical tests of the traditional Consumption Based Capital Asset Pricing Model using data from the German, Japanese...
Auditor Performance, Implicit Guarantees and the Valuation of Legal Liability
Liability exposure is now such a major concern for auditors that any discussion of equilibrium audit fee structures needs to take account of the expec...
Multiple Banking as a Commitment Not To Rescue
The existence of multiple banking in the German "Hausbank" system is explained by a commitment problem on the side of the banks. Banks are faced with...
The Collapse of Metallgesellschaft: Unhedgable Risks, Poor Hedging Strategy or Just Bad Luck?
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Credit Cycles
This paper is a theoretical study into how credit constraints interact with aggregate economic activity over the business cycle. We construct a model...
Credit Markets and Real Economic Activity: A Model of Financial Intermediation
This paper considers a model of financial intermediation based on the existence of a moral hazard problem in the choice of investment projects by a...
The Banking System, Financial Markets and Capital Structure: Some New Evidence from France
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Speculative Market Structure and the Collapse of an Exchange Rate Mechanism
A salient feature of recent currency speculations in the European Exchange Rate Mechanism is that the speculators can be big strategic players in the...
The Effects of Trade Transparency in the London Stock Exchange: A Summary
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Derivatives can be Hazardous to Your Health: The Case of Metallgesellschaft
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