Journal articles by members of the Financial Markets Group

Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in the field. 

Below is a collection of notable FMG discussion 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.

2020

• Ashwini Agrawal, Isaac Hacamo and Zhongchen Hu (in press). Information Dispersion across Employees and Stock Returns. The Review of Financial Studies. doi: 10.1093/rfs/hhaa105
• Georgy Chabakauri and Brandon Yueyang Han (in press). Collateral constrains and asset prices. Journal of Financial Economics. doi: 10.1016/j.jfineco.2020.06.012
• Thummim Cho (2020). Turning alphas into betas: Arbitrage and endogenous risk. Journal of Financial Economics, 137(2), 550-570. doi: 10.1016/j.jfineco.2020.02.011
• Kilian Huber (forthcoming). Are Bigger Banks Better? Firm-Level Evidence from Germany. Journal of Political Economy.
• Igor Makarov and Antoinette Schoar (2020). Trading and arbitrage in cryptocurrency markets. Journal of Financial Economics, 135(2), 293-319. doi: 10.1016/j.jfineco.2019.07.001

2019

• Suleyman Basak, Georgy Chabakauri and M Deniz Yavuz (2019). Investor Protection and Asset Prices. The Review of Financial Studies, 32(12), 4905-4946. doi: 10.1093/rfs/hhz038
• Patrick Bolton and Martin Oehmke (2019). Bank Resolution and the Structure of Global Banks, The Review of Financial Studies, 32(6), 2384–2421. doi: 10.1093/rfs/hhy123
• Erik Eyster, Matthew Rabin and Dimitri Vayanos (2019), Financial Markets Where Traders Neglect the Informational Content of Prices. Journal of Finance, 74 (1), 371-399. doi:10.1111/jofi.12729
• Peter Kondor and Dimitri Vayanos (2019). Liquidity Risk and the Dynamics of Arbitrage Capital. Journal of Finance, 74 (3), 1139-1173. doi: 10.1111/jofi.12757
• Lukas Kremens and Ian Martin (2019). The Quanto Theory of Exchange Rates. American Economic Review, 109(3), 810-43. doi: 10.1257/aer.20180019
• Dong Lou, Christopher Polk and Spyros Skouras (2019). A tug of war: Overnight versus intraday expected returns. Journal of Financial Economics, 134 (1), 192-213. doi: 10.1016/j.jfineco.2019.03.011
• Ian Martin and Christian Wagner (2019). What is the Expected Return on a Stock? The Journal of Finance, 74(4), Pages 1887-1929. doi: 10.1111/jofi.12778

2018

• Ron Anderson, M. Cecilia Bustamante, Stephane Guibaud and Mihail Zervos (2018). Agency, Firm Growth, and Managerial Turnover. Journal of Finance, 73 (1), 419-464. doi: 10.1111/jofi.12583
• Ana Babus and Peter Kondor (2018). Trading and Information Diffusion in Over-the-Counter Markets. Econometrica, 86 (5), 1727-1769. doi: 10.3982/ECTA12043
• Jon Danielsson, Marcela Valenzuela and Ilknur Zer (2018). Learning from History: Volatility and Financial Crises. The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805. doi: 10.1093/rfs/hhy049
• Denis Gromb and Dimitri Vayanos (2018), The Dynamics of Financially Constrained Arbitrage. Journal of Finance, 74 (4), 1713-1750. doi: 10.1111/jofi.12689
• Hao Jiang and Michela Verardo (2018), Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance. Journal of Finance, 73 (5), 2229-2269. doi: 10.1111/jofi.12699

2017

• Anisha Ghosh, Christian Julliard and Alex P. Taylor (2017). What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models. The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504. doi: 10.1093/rfs/hhw075
• Raymond Fisman, Daniel Paravisini, Vikrant Vig (2017). Cultural Proximity and Loan Outcomes. American Economic Review. 107(2), pp. 457-92. doi: 10.1257/aer.20120942
• Ian Martin (2017), What is the Expected Return on the Market?, The Quarterly Journal of Economics, 132 (1), 367-433. doi: 10.1093/qje/qjw034
• Martin Oehmke and Adam Zawadowski (2017), The Anatomy of the CDS Market. Review of Financial Studies, 30 (1): 80-119. doi: 10.1093/rfs/hhw068
• Emre Ozdenoren and Kathy Yuan (2017), Contractual Externalities and Systemic Risk. The Review of Economic Studies, 84 (4): 1789-1817. doi: 10.1093/restud/rdw058

2016

• Markus K. Brunnermeier, Luis Garicano, Philip R. Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh and Dimitri Vayanos (2016), The Sovereign-Bank Diabolic Loop and ESBies, American Economic Review, 106(5): 508-12. doi: 10.1257/aer.p20161107
• Huaizhi Chen, Lauren Cohen and Dong Lou (2016), Industry Window Dressing, Review of Financial Studies, 29 (12): 3354-3393. doi: 10.1093/rfs/hhw020
• Dragana Cvijanović, Amil Dasgupta and Konstantinos Zachariadis (2016) Ties that Bind: How Business Connections Affect Mutual Fund Activism, Journal of Finance, 71(6), 2933-2966. doi: 10.1111/jofi.12425
• Zhiguo He and Peter Kondor (2016), Inefficient Investment Waves, Econometrica, 84 (2), 735-780. doi: 10.3982/ECTA11788
• Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter (2016), Mortgage Risk and the Yield Curve. Review of Financial Studies, 29 (5), 1220-1253. doi: 10.1093/rfs/hhw003

2015

• Bruno Biais, Jean-Charles Rochet, and Paul Woolley (2015), Dynamics of Innovation and Risk. Review of Financial Studies, 28 (5): 1353-1380. doi: 10.1093/rfs/hhv003
• Patrick Bolton and Martin Oehmke (2015), Should Derivatives Be Privileged in Bankruptcy?. The Journal Of Finance, 70 (6): 2353–2394. doi:10.1111/jofi.12201
• Mike Burkart and Samuel Lee (2015). Signalling to Dispersed Shareholders and Corporate Control. The Review of Economic Studies, Volume 82, Issue 3, July 2015, Pages 922–962. doi: 10.1093/restud/rdv005
• Amil Dasgupta and Piacentino, G. (2015), The Wall Street Walk when Blockholders Compete for Flows. The Journal Of Finance, 70 (6): 2853–2896. doi:10.1111/jofi.12308
• Igor Makarov and Plantin, G. (2015), Rewarding Trading Skills without Inducing Gambling. The Journal of Finance, 70 (3): 925–962. doi:10.1111/jofi.12257
• Konstantin Milbradt and Martin Oehmke (2015), Maturity rationing and collective short-termism. Journal of Financial Economics, 118 (3): 553-570. doi: 10.1016/j.jfineco.2014.08.009
• Martin Oehmke and Adam Zawadowski (2015), Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets. Review of Financial Studies, 28 (12): 3303-3337. doi:10.1093/rfs/hhv047

2014

• Greenwood, Robin and Vayanos, Dimitri (2014) Bond supply and excess bond returns. Review of Financial Studies, 27 (3). pp. 663-713. doi: 0.1093/rfs/hht133
• Lou, Dong (2014) Attracting investor attention through advertising. Review of Financial Studies, 27 (6). pp. 1797-1829. doi: 10.1093/rfs/hhu019
• Polk, Christopher and Anton, Miguel (2014) Connected stocks. The Journal of Finance, 69 (3). pp. 1099-1127. doi: 10.1111/jofi.12149

2013

• Chabakauri, Georgy (2013) Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints. Review of Financial Studies, 26 (12). pp. 3104-3141. ISSN 0893-9454
• Chernov, Mikhail, Gorbenko, Alexander S. and Makarov, Igor (2013) CDS auctions. Review of Financial Studies, 26 (3). pp. 768-805. ISSN 0893-9454 
• Goldstein, Itay, Ozdenoren, Emre and Yuan, Kathy (2013) Trading frenzies and their impact on real investment. Journal of Financial Economics, 109 (2). pp. 566-582. ISSN 0304-405X 
• Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri (2013) Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of Financial Studies, 26 (8). pp. 1914-1961. ISSN 0893-9454 
• Lou, Dong, Yan, Hongjun and Zhang, Jinfan (2013) Anticipated and repeated shocks in liquid markets. Review of Financial Studies, 26 (8). pp. 1891-1912. ISSN 0893-9454.  Winner of NASDAQ OMX Award for Best Paper on Asset Pricing, Western Finance Association, 2011
• Vayanos, Dimitri and Woolley, Paul (2013) An institutional theory of momentum and reversal. Review of Financial Studies, 26 (5). pp. 1087-1145. ISSN 0893-9454 

2012

• Basak, Suleyman and Chabakauri, Georgy (2012) Dynamic hedging in incomplete markets: a simple solution. Review of Financial Studies, 25 (6). pp. 1845-1896. ISSN 0893-9454
• Cohen, Lauren and Lou, Dong (2012) Complicated firms. Journal of Financial Economics, 104 (2). pp. 383-400. ISSN 0304-405X
  • Winner of First Prize, Crowell Memorial Award for Best Paper in Quantitative Investments, 2011
  • Winner of Best Paper Prize, the Center for Research in Security Prices (CRSP) Forum, 2010
  • Winner of Institute for Quantitative Investment Research (INQUIRE UK) Grant, 2010
  • Winner of First Prize, Istanbul Stock Exchange 25th Anniversary Best Paper Competition, 2010
  • Winner of Paul Woolley Center (UTS) Academic Grant, 2010
• Lou, Dong (2012) A flow-based explanation for return predictability. Review of Financial Studies, 25 (12). pp. 3457-3489. ISSN 0893-9454 
• Vayanos, Dimitri and Wang, Jiang (2012) Liquidity and asset returns under asymmetric information and imperfect competition. Review of Financial Studies, 25 (5). pp. 1339-1365. ISSN 0893-9454 

2011

• Amil Dasgupta, Andrea Prat and Michela Verardo (2011) The Price Impact of Institutional Herding, Review of Financial Studies, 24 (3), 892-925 
• Dasgupta, Amil, Prat, Andrea and Verardo, Michela (2011) Institutional trade persistence and long-term equity returns. The Journal of Finance, 66 (2). pp. 635-653. ISSN 0022-1082