Momentum investing is bad for your wealth
Managers should focus on companies, not prices, says Paul Woolley.
U.K. Monetary Policy: Observations on its Theory and Practice
In a dramatic change from the euphoria in the early 2000s based on a widespread belief in the “success” of the partial independence of the Bank of...
Macro-Modelling, Default and Money
Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...
Can Regulation, Supervision & Surveillance save Euroland
The lesson that regulation and supervision of banks and financial markets must improve has now at last become conventional wisdom among politicians in...
Too Big to Fail in Banking: What does this mean?
Interest in TBTF resolutions of insolvent large complex firms has intensified in recent years, particularly in banking. TBTF resolutions protect some...
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
Safe to Fail
Banks cannot be made failsafe. But they can be made safe to fail, so that the failure of a bank need not disrupt the economy at large nor pose cost to...
Iceland’s post-Crisis economy: A myth or a miracle?
Icelandic voters recently ejected its post-Crisis government – a government that successfully avoided economic collapse when the odds were stacked...
An institutional theory of momentum and reversal
Review of Financial Studies, 26 (5). pp. 1087-1145.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
The capital controls in Cyprus and the Icelandic experience
Cyprus has imposed temporary capital controls. This column sheds light on how temporary and how damaging they are likely to be, based on Iceland’s...
Capital controls are still ruining Iceland after half a decade
One aspect of the Cypriot crisis resolution is of particular concern. As authorities fear that anyone with money in Cyprus will want to take it out as...
Towards a more procyclical financial system
Is the fact that different banks have different risk models problematic? Contrary to the Basel Committee and the European Banking Authority, this...
Does herding behavior reveal skill? An analysis of mutual fund performance
This paper finds that fund herding, defined as the tendency of a mutual fund to follow past aggregate institutional trades, is an important predictor...
