Capital Market Theory after the Efficient Market Hypothesis
Have capital market booms and crashes discredited the efficient market hypothesis? This column says yes and suggests a new model that explains asset...
Rents, learning and risk in the financial sector and other innovative industries
We study innovative industries subject to two risks. First, it is uncertain whether the innovation is strong or fragile. Second, it is difficult to...
Liquidity and Asset Prices A Unified Framework
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction...
The lifecycle of the financial sector and other speculative industries
This paper is no longer available, the revised version of this paper can be found as Paul Woolley Centre Paper 4, FMG Discussion Paper 632
An institutional theory of momentum and reversal
We propose a rational theory of momentum and reversal based on delegated portfolio management. Flows between investment funds are triggered by changes...
Best ideas
This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...
Bond supply and excess bond returns
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...
