Publications

We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...

Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...

This CEPR Press eBook presents the perspectives of policymakers, stress test designers and academics on the remarkable development of stress testing...

Review of Financial Studies, 29 (5), 1220-1253

American Economic Review, 106(5): 508-12

We present evidence that cultural proximity (shared codes, beliefs, ethnicity) between lenders and borrowers increases the quantity of credit and...

Journal of Financial Stability, Volume 23, Pages 79-91.

We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...

On 29 January 2016 the Bank of England (2016a) published for consultation the Financial Policy Committee’s proposed framework for the systemic risk...

We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...

Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...

Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...

This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...

Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that...

Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...