Influential research by members of the Paul Woolley Centre has been published in some of the most recognised international journals in the field.
Click to see a collection of notable PWC working papers which have been published in American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, and Review of Financial Studies.
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...
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
Journal of Financial Economics (in press)
Delegation Chains
We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...
Bond Funds and Credit Risk
We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...
Dynamic Asset-Backed Security Design
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
The Wall Street stampede: Exit as governance with interacting blockholders
Journal of Financial Economics, 144(2), 433-455
Demand–Supply Imbalance Risk and Long-Term Swap Spreads
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
