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.

2022

• Maryam Farboodi and Peter Kondor (forthcoming). Heterogeneous Global Booms and Busts. American Economic Review.
• Ian W.R. Martin and Dimitris Papadimitriou (forthcoming). Sentiment and Speculation in a Market with Heterogeneous Beliefs. American Economic Review.
• Dragana Cvijanović, Amil Dasgupta, Konstantinos E. Zachariadis (2022). The Wall Street stampede: Exit as governance with interacting blockholders. Journal of Financial Economics, 144(2), 433-455.
• Andrea M. Buffa, Dimitri Vayanos, and Paul Woolley (forthcoming). Asset Management Contracts and Equilibrium Prices, Journal of Political Economy. doi: 10.1086/720515
• Erica Bosio, Simeon Djankov, Edward L. Glaeser and Andrei Shleifer (forthcoming). Public Procurement in Law and Practice. American Economic Review, 2022.
• Jens Hilscher, Alon Raviv and Ricardo Reis (2022). Inflating Away the Public Debt? An Empirical Assessment. The Review of Financial Studies, 35 (3), 1553-15952021. doi: 10.1093/rfs/hhab018
• Hongqi Liu, Cameron Peng, Wei A. Xiong and Wei Xiong (2022). Taming the bias zoo, Journal of Financial Economics, 143 (2), 716-741. doi: 10.1016/j.jfineco.2021.06.001
• Peter Kondor, Gabor Pinter (2022). Clients' Connections Measuring the Role of Private Information in Decentralized Markets. Journal of Finance, 77 (1), 505-544. doi: 10.1111/jofi.13087
• Ashwini Agrawal, Juanita González-Uribe and Jimmy Martínez-Correa (2022). Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization. Journal of Financial Economics, 143 (1), 381-408. doi: 10.1016/j.jfineco.2021.09.020
• Juliana Salomao and Liliana Varela (2022). Exchange Rate Exposure and Firm Dynamics. The Review of Economic Studies, 89 (1), 481-514. doi: 10.1093/restud/rdab032

2021

• Georgy Chabakauri, Kathy Yuan, Konstantinos E Zachariadis (forthcoming). Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims. The Review of Economic Studies, 2021.
• Saleem Bahaj and Ricardo Reis (forthcoming). Central Bank Swap Lines: Evidence on the Lender of Last Resort. The Review of Economic Studies, 2021. doi: 10.1093/restud/rdab074
• Dong Lou and Christopher Polk (in press). Comomentum: Inferring Arbitrage Activity from Return Correlations. The Review of Financial Studies, 2021. doi: 10.1093/rfs/hhab117
• Ian W. R. Martin and Stefan Nagel (in press). Market efficiency in the age of big data. Journal of Financial Economics, 2021. doi: 10.1016/j.jfineco.2021.10.006
• Jingchi Liano, Cameron Peng and Ning Zhu (in press). Extrapolative Bubbles and Trading Volume. The Review of Financial Studies, 2021. doi: 10.1093/rfs/hhab070
• Jeffery (Jinfan) Chang, Huancheng Du, Dong Lou and Christopher Polk (in press). Ripples into waves: Trade networks, economic activity, and asset prices. Journal of Financial Economics, 2021. doi: 10.1016/j.jfineco.2021.08.005
• Juanita González-Uribe and Santiago Reyes (2021). Identifying and boosting “Gazelles”: Evidence from business accelerators. Journal of Financial Economics, 139 (1), 260-287. doi: 10.1016/j.jfineco.2020.07.012
• Dirk Jenter and Katharina Lewellen (2021). Performance-Induced CEO Turnover. The Review of Financial Studies, 34 (2), 569-617. doi: 10.1093/rfs/hhaa069
• Shiyang Huang, Byoung-Hyoun Hwang, and Dong Lou (2021). The rate of communication. Journal of Financial Economics, 141 (2), 533-550. doi: 10.1016/j.jfineco.2021.03.013
• Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang (2021). Informed trading in government bond markets. Journal of Financial Economics, 142 (3), 1253-1274. doi: 10.1016/j.jfineco.2021.05.049
• Ashwini Agrawal, Isaac Hacamo and Zhongchen Hu (2021). Information Dispersion across Employees and Stock Returns. The Review of Financial Studies, 34 (10), 4785–4831. doi: 10.1093/rfs/hhaa105
• Kilian Huber (2021). Are Bigger Banks Better? Firm-Level Evidence from Germany. Journal of Political Economy, 129 (7). doi: 10.1086/714120
• Can Gao and Ian W. R. Martin (2021). Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. Journal of Finance, 76 (6), 3211-3254. doi: 10.1111/jofi.13068
• Alisdair McKay and Ricardo Reis (2021). Optimal Automatic Stabilizers. The Review of Economic Studies, 88 (5), 2375-2406.  doi: 10.1093/restud/rdaa038 
• Georgy Chabakauri and Oleg Rytchkov (2021). Asset pricing with index investing. Journal of Financial Economics, 141 (1), 195-216. doi: 10.1016/j.jfineco.2020.06.023
• Will Dobbie, Andres Liberman, Daniel Paravisini and Vikram Pathania (2021). Measuring Bias in Consumer Lending. The Review of Economic Studies, 88 (6), 2799–2832. doi: 10.1093/restud/rdaa078
• Andres Liberman, Daniel Paravisini and Vikram Pathania (2021). High-cost debt and perceived creditworthiness: Evidence from the UK. Journal of Financial Economics, 142 (2), 719-736. doi: 10.1016/j.jfineco.2021.07.005
• Dimitri Vayanos and Jean‐Luc Vila (2021). A Preferred-Habitat Model of the Term Structure of Interest Rates. Econometrica, 89 (1), 77-112. doi: 10.3982/ECTA17440
• Edward Denbee, Christian Julliard, Ye Li and KathyYuan (2021). Network risk and key players: A structural analysis of interbank liquidity. Journal of Financial Economics, 141 (3), 831-859.  doi: 10.1016/j.jfineco.2021.05.010
• Hongda Zhong (2021). A Dynamic Model of Optimal Creditor Dispersion. Journal of Finance, 76 (1), 267-316. doi: 10.1111/jofi.12974

2020

• Georgy Chabakauri and Brandon Yueyang Han (2020). Collateral constraints and asset prices. Journal of Financial Economics, 138 (3), 754-776. 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
• Vicente Cuñat, Mireia Giné and Maria Guadalupe (2020). Price and Probability: Decomposing the Takeover Effects of Anti-Takeover Provisions. Journal of Finance, 75 (5), 2591-2629. doi: 10.1111/jofi.12908
• Juanita Gonzales-Uribe (2020). Exchanges of innovation resources inside venture capital portfolios. Journal of Financial Economics, 135 (1), 144-168. doi: 10.1016/j.jfineco.2019.05.017
• Huaizhi Chen, Lauren Cohen, Umit Gurun, Dong Lou and Christopher Malloy (2020). IQ from IP: Simplifying search in portfolio choice. Journal of Financial Economics, 138 (1), 118-137. doi: 10.1016/j.jfineco.2020.04.014
• 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
• Andrea Caggese, Vicente Cuñat and Daniel Metzger (2019). Firing the wrong workers: Financing constraints and labor misallocation. Journal of Financial Economics, 133 (3),  589-607. doi: 10.1016/j.jfineco.2017.10.008
• Ian W. R. Martin and Stephen A. Ross (2019). Notes on the yield curve. Journal of Financial Economics, 134 (3),  689-702. doi: 10.1016/j.jfineco.2019.04.014
• Nobuhiro Kiyotaki and John Moore (2019). Liquidity, Business Cycles, and Monetary Policy. Journal of Political Economy, 127 (6), 2926-2966. doi: 10.1086/701891
• 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
• Lukas Kremens and Ian Martin (2019). The Quanto Theory of Exchange Rates. American Economic Review, 109(3), 810-843. 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
• Peter Kondor and Dimitri Vayanos (2019). Liquidity Risk and the Dynamics of Arbitrage Capital. The Journal of Finance, 74 (3), 1139-1173. doi: 10.1111/jofi.12757
• Chong Huang, Martin Oehmke and Hongda Zhong (2019). A Theory of Multiperiod Debt Structure. The Review of Financial Studies, 32 (11), 4447-4500. doi: 10.1093/rfs/hhz026

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
• Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin (2018). Interest Rate Risk Management in Uncertain Times. The Review of Financial Studies, 31 (8), 3019-3060. doi: 10.1093/rfs/hhy039
• Jon Danielsson, Marcela Valenzuela and Ilknur Zer (2018). Learning from History: Volatility and Financial Crises. The Review of Financial Studies, 31 (7), 2774-2805. doi: 10.1093/rfs/hhy049
• Daniel Ferreira, Miguel A. Ferreira and Beatriz Mariano (2018). Creditor Control Rights and Board Independence. Journal of Finance, 73 (5), 2385-2423. doi: 10.1111/jofi.12692
• Juanita Gonzalez-Uribe and Michael Leatherbee (2018). The effects of business accelerators on venture performance: Evidence from start-Up Chile. The Review of Financial Studies, 31 (4), 1566–1603. doi: 10.1093/rfs/hhx103
• Alex Edmans, Luis Goncalves-Pinto, Moqi Groen-Xu and Yanbo Wang (2018). Strategic news releases in equity vesting months. The Review of Financial Studies, 31 (11), 4099–4141. doi: 10.1093/rfs/hhy070
• Ana Babus and Peter Kondor (2018). Trading and Information Diffusion in Over-the-Counter Markets. Econometrica, 86 (5), 1727-1769. doi: 10.3982/ECTA12043
• Andrew Hertzberg, Andres Liberman and Daniel Paravisini (2018). Screening on loan terms: Evidence from maturity choice in consumer credit. The Review of Financial Studies, 31 (9), 3532-3567. doi: 10.1093/rfs/hhy024
• John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley (2018). An intertemporal CAPM with stochastic volatility. Journal of Financial Economics, 128 (2), 207-233. doi: 10.1016/j.jfineco.2018.02.011
• Denis Gromb and Dimitri Vayanos (2018). The Dynamics of Financially Constrained Arbitrage. Journal of Finance, 73 (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, 30 (2), 442-504. doi: 10.1093/rfs/hhw075
• Raymond Fisman, Daniel Paravisini, Vikrant Vig (2017). Cultural Proximity and Loan Outcomes. American Economic Review. 107 (2), 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
• Philippe Mueller, Andreas Stathopoulos and Andrea Vedolin (2017), International correlation risk. Journal of Financial Economics, 126 (2), 270-299. doi: 10.1016/j.jfineco.2016.09.012
• Philippe Mueller, Alireza Tahbaz-Salehi and Andrea Vedolin (2017). Exchange Rates and Monetary Policy Uncertainty. Journal of Finance, 72 (3), 1213-1252. doi: 10.1111/jofi.12499
• 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, 82 (3), 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), 663-713. doi: 0.1093/rfs/hht133
• Lou, Dong (2014). Attracting investor attention through advertising. Review of Financial Studies, 27 (6), 1797-1829. doi: 10.1093/rfs/hhu019
• Polk, Christopher and Anton, Miguel (2014). Connected stocks. The Journal of Finance, 69 (3), 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), 3104-3141. ISSN 0893-9454
• Chernov, Mikhail, Gorbenko, Alexander S. and Makarov, Igor (2013). CDS auctions. Review of Financial Studies, 26 (3), 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), 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), 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), 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), 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), 1845-1896. ISSN 0893-9454
• Cohen, Lauren and Lou, Dong (2012). Complicated firms. Journal of Financial Economics, 104 (2), 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), 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), 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), 635-653. ISSN 0022-1082