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
A Proposal for an Open-Source Financial Risk Model
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...
Systems and Systemic Risk in Finance and Economics
This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the...
Risk Models-at-Risk
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...
Rights offerings, trading, and regulation: A global perspective
We study rights offerings using a sample of 8,238 rights offers announced during 1995-2008 in 69 countries. Although shareholders prefer having the...
Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints
Review of Financial Studies, 26 (12). pp. 3104-3141.
Debt Maturity and the Liquidity of Secondary Debt Markets
We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the...
Lost at Sea: The Euro Needs a Euro Treasury
The euro crisis remains unresolved even as financial markets may seem calm for now. The current euro regime is inherently flawed. Recent reforms have...
The new market-risk regulations
Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical...
Capital Structure and Investment Dynamics with Fire Sales
We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...
Walrasian Foundations for Equilibria in Segmented Markets
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
A Theory of the Evolution of Derivatives Markets
This paper develops a theory of the opening and dynamic development of a futures market with competing exchanges. The optimal contract design involves...
The effect of monitoring on CEO pay practices in a matching equilibrium
We present a model of efficient contracting with endogenous matching and limited monitoring in which firms compete for CEOs. The model explains the...
Say Pays! Shareholder Voice and Firm Performance
This paper estimates the effects of Say-on-Pay (SoP); a policy that increases shareholder "voice" by providing shareholders with a regular vote on...
Financial Regulation After the Crisis: How Did We Get Here, and How Do We Get Out?
Following the crisis of 2007, regulatory authorities either are or should be engaging in a fundamental reconsideration of how they approach financial...
Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...