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
Reversions of Excess Pension Assets After Takeovers
This paper evaluates pension asset revisions as a source of takeover gains. Within two years following a hostile takeover, pension funds were reverted...
The Economic Effects of Franchise Termination Laws
It is commonly argued that state laws restricting franchise terminations increase the costs of controlling free-rider problems within franchise...
Pitfalls in Testing For Explosive Bubbles in Asset Prices
Rational bubbles in stock prices are not reliably detectable through the use of standard tests to determine whether stock prices are "more explosive"...
Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons From Japan
The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three...
Contracts to Sell Information
When information is sold, there is often a reliability problem since anyone can claim to have superior knowledge. Optimal strategies which allow a...
Evidence of Risk Premia In Foreign Currency Future Markets
This paper describes tests for time-varying risk premia associated with foreign currency futures positions. Empirical implementation with daily data...
Long-Term Financial Contracts May Mitigate the Adverse Selection Problem in Project Financing
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Price Flexibility, Credit Availability and Economic Fluctuations: Evidence From the United States, 1894-1909
The importance of disturbances in financial markets for real economic activity and the positive association between price level and output movements...
Default and Renegotiation: A Dynamic Model of Debt
This paper considers a situation where an entrepreneur borrows funds from a creditor (e.g. a bank) to finance an investment project. The project will...
Bursting Bubbles and Bleeding Bulls: Does the Evidence Support the Rhetoric?
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An Economic Evaluation of Insolvency Procedures in the United Kingdom: Does the 1986 Insolvency Act Satisfy the Creditor's Bargain?
The creditors' bargain view of insolvency law argues that solvency state rights should be preserved in insolvency states. It argues that insolvency...
Risk, Gordon's Growth Model and the Predictability of Stock Market Returns
This paper measures risk by using proxies based on lagged squared returns, the GARCH -M model and consumption correlatedness. It finds :-
(i) Even...
Price Competition Between Market Makers
The paper models explicitly the price competition in financial markets, where prices are quoted by competing dealers (market makers) before future...
