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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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
The Role of Sentiment in the Economy: 1920 to 1934
This paper investigates the role of sentiment in the US macro economy from 1920 to 1934. We use 2.4 million digitized articles from the Wall St...
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...
Are Bigger Banks Better? Firm-Level Evidence from Germany
The effects of large banks on the real economy are theoretically ambiguous and politically controversial. I identify quasi-exogenous increases in bank...
Outsized Arbitrage
The paper studies incentives and trading decisions of an arbitrageur who can take concentrated bets in an illiquid market and who cares about interim...
Exploited by Complexity
Due to their complex features, structured financial products can hurt the average investor. Are certain investors particularly vulnerable? Using...
Resolving the Excessive Trading Puzzle: An Integrated Approach Based on Surveys and Transactions
The literature has provided over a dozen explanations for the widely documented excessive trading puzzle of retail investors trading so much that it...
Parimutuel betting markets: racetracks and lotteries revisited
This paper surveys the state of the art in research in racetrack and lottery markets. Market efficiency and the pricing of various wagers is studied...
Market Fragmentation and Contagion
We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...
Financial Volatility and Economic Growth, 1870–2016
We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk...
Higher-Order Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...
Asset Pricing with Index Investing
We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...
Exchange Rate Exposure and Firm Dynamics
This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model...
Information Dispersion Across Employees and Stock Returns
Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Consumption in Asset Returns
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...
Information Acquisition with Heterogeneous Valuations
We study the market for a risky asset with heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information...
