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
The Systemic Risk Buffer for UK Banks: A Response to the Bank of England's Consultation Paper
On 29 January 2016 the Bank of England (2016a) published for consultation the Financial Policy Committee’s proposed framework for the systemic risk...
European Venture Capital: myths and facts
We examine the determinants of success in venture capital transactions using the largest deallevel data set to date, with special emphasis on...
Downside Risk Neutral Probabilities
Risk neutral probabilities are adjusted to take into account the asset price effect of risk preferences. This paper introduces downside (respectively...
An Information Based One-Factor Asset Pricing Model
Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...
Informational Black Holes in Financial Markets
We study how efficient primary financial markets are in allocating capital when information about investment opportunities is dispersed across market...
Say on Pay: do shareholders care?
This paper examines the impact of enhanced executive remuneration disclosure rules under UK regulations introduced in 2013 on the voting pattern of...
Everybody right, everybody wrong: Plural rationalities in macroprudential regulation
Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that...
Disaster and Fortune Risk in Asset Returns
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...
Tail Index Estimation: Quantile Driven Threshold Selection
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...
Human capital and international portfolio diversification: A reappraisal
Journal of International Economics, Volume 99, Supplement 1, Pages S78-S96.
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
Curse of the Benchmarks
Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...
The United States dominates global investment banking: does it matter for Europe?
In the aftermath of the global financial crisis, the market share of US investment banks is increasing, while that of their European counterparts is...
The Dynamics of expected returns: evidence from multi-scale time series modelling
Conventional wisdom posits that all the relevant investors’ information lies at the highest possible frequency of observation, so that long-run...
Political Economy of a Euro Area Banking Crisis
This paper features a keynote address given by Panicos O. Demetriades at “Politics, Finance and Growth” Conference Reserve Bank of South Africa...