Research highlights
Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in Economics and Finance, such as the American Economic Review, Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies. A sample of recent papers is below.
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
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Corporate Capture of Blockchain Governance
Review of Financial Studies, 36 (4), 1364–1407
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Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
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Measuring the welfare cost of asymmetric information in consumer credit markets
Journal of Financial Economics, 146 (3), 821-840
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Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
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Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
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Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
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Public Procurement in Law and Practice
American Economic Review, 112 (4), 1091-1117
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Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...
Measuring Human Capital
Students around the world are going to school but are not learning – an emerging gap in human capital formation. To understand this gap, we introduce...
Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 74 (1), 371-399.
Trading and Arbitrage in Cryptocurrency Markets
We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...
Heterogeneous Global Cycles
Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Cryptocurrencies: Financial stability and fairness
Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
Journal of Finance, 73 (5), 2229-2269.
Investor Protection and Asset Prices
Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
The hierarchy of financial policies
Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains...
Ten Years After the Global Financial Crisis: Causes, Outcomes, Lessons Learnt
September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...
Screening on loan terms: Evidence from maturity choice in consumer credit
The Review of Financial Studies, 31 (9), 3532-3567