Research highlights
Influential research by members of the Paul Woolley Centre 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.
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Reaching for Yield: Evidence from Households
Journal of Financial Economics, 168, 104057
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Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
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Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
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Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
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Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
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Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
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Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
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Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
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The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
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Extrapolative Bubbles and Trading Volume
The Review of Financial Studies, 35(4), 1682–1722
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Clients' Connections Measuring the Role of Private Information in Decentralized Markets
Journal of Finance, 77(1), 505-544
All publications
Research highlight
Reaching for Yield: Evidence from Households
Journal of Financial Economics, 168, 104057
Investor Memory and Biased Beliefs: Evidence from the Field
We survey a large representative sample of retail investors in China to elicit their memories of stock market investment and return expectations. We...
High-frequency trading in the stock market and the costs of options market making
Journal of Financial Economics, 159, 103900
The Law of Small Numbers in Financial Markets: Theory and Evidence
We build a model of the law of small numbers (LSN)—the incorrect belief that even small samples represent the properties of the underlying population...
Centralized vs Decentralized Markets: The Role of Connectivity
We consider a setting in which privately informed agents are located in a network and trade a risky asset with other agents with whom they are...
Putting the Price in Asset Pricing
We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...
Long-Horizon Exchange Rate Expectations
We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...
Reaching for Yield: Evidence from Households
The existing literature has documented “reaching for yield” - the phenomenon of investing more in risky assets when interest rates drop - among...
Cleansing by tight credit: Rational cycles and endogenous lending standards
Journal of Financial Economics, 150(1), 46-67
On the Fragility of DeFi Lending
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
