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Publications of Dimitri Vayanos

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Opinion Pieces

Giant funds and market mispricing

The short-termism of corporate managers has been a recurring concern of policymakers for decades due to the close tie with mispricing in capital...

October 2022
Dimitri Vayanos
Paul Woolley

Academic journals

Asset Management Contracts and Equilibrium Prices

Journal of Political Economy, 2022 (forthcoming)

May 2022
Andrea Buffa
Dimitri Vayanos
Paul Woolley

Academic journals

A Preferred-Habitat Model of the Term Structure of Interest Rates

Econometrica, 89 (1), 77-112

January 2021
Dimitri Vayanos
Jean-Luc Vila

Discussion Papers

Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the...

December 2020
No 73
Hao Jiang
Dimitri Vayanos
Lu Zheng

Academic journals

Liquidity Risk and the Dynamics of Arbitrage Capital

Journal of Finance, 74 (3), 1139-1173.

May 2019
Peter Kondor
Dimitri Vayanos

Academic journals

Financial Markets Where Traders Neglect the Informational Content of Prices

Journal of Finance, 74 (1), 371-399.

January 2019
Erik Eyster
Matthew Rabin
Dimitri Vayanos

Academic journals

The Dynamics of Financially Constrained Arbitrage

Journal of Finance, 74 (4), 1713-1750. 

August 2018
Denis Gromb
Dimitri Vayanos

Opinion Pieces

Why investors should be weaned off tight tracking to market indices

Exploitative momentum investing would shrivel in the absence of benchmarkers.

December 2017
Paul Woolley
Dimitri Vayanos

Discussion Papers

The Dynamics of Financially Constrained Arbitrage

We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...

August 2017
Denis Gromb
Dimitri Vayanos

Discussion Papers

Financial Markets where Traders Neglect the Informational Content of Prices

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

April 2018
No 58
Erik Eyster
Matthew Rabin
Dimitri Vayanos

Academic journals

The Sovereign-Bank Diabolic Loop and ESBies

American Economic Review, 106(5): 508-12

May 2016
Markus K. Brunnermeier
Luis Garicano
Philip R. Lane
Marco Pagano
Ricardo Reis
Tano Santos
David Thesmar
Stijn Van Nieuwerburgh
Dimitri Vayanos

Special Papers

Curse of the Benchmarks

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...

March 2016
Dimitri Vayanos
Paul Woolley

Discussion Papers

The Dynamics of Financially Constrained Arbitrage

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

February 2015
No 45
Denis Gromb
Dimitri Vayanos

Discussion Papers

Asset Management Contracts and Equilibrium Prices

We study the joint determination of fund managers’ contracts and equilibrium asset prices. Because of agency frictions, investors make managers’ fees...

October 2014
No 41
Andrea Buffa
Dimitri Vayanos
Paul Woolley

Special Papers

The Great Risk/Return Inversion - Who Loses Out?

Risk and return go hand in hand as companion variables central to the teaching and practice of economics and finance. Standard theory and common sense...

September 2014
Andrea Buffa
Dimitri Vayanos
Paul Woolley

Academic journals

Bond supply and excess bond returns

Review of Financial Studies, 27 (3). pp. 663-713. 

March 2014
Robin Greenwood
Dimitri Vayanos

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News

Denis Gromb Obituary

Dimitri Vayanos wins ERC Advanced Grant

Paul Woolley Centre scholars

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Events

14th Annual Paul Woolley Centre Conference

Finance Theory Group - 5th Summer Meeting

13th Annual Paul Woolley Centre Conference

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Seminars

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Publications

Giant funds and market mispricing

Multi-asset Noisy Rational Expectations Equilibrium with Con ...

Sentiment and Speculation in a Market with Heterogeneous Bel ...

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