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
Intergenerational risksharing and equilibrium asset prices
In the presence of overlapping generations, markets are incomplete because it is impossible to engage in risksharing trades with the unborn. In such...
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
Market liquidity and funding liquidity
We provide a model that links an asset’s market liquidity — i.e., the ease with which it is traded — and traders’ funding liquidity — i.e., the ease...
A search-based theory of the on-the-run phenomenon
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a...
Did NASDAQ market makers successfully collude to increase spreads? A re-examination of evidence from stocks that moved from NASDAQ to the New York or American Stock Exchanges
This paper examines all movements of stock from NASDAQ to the NYSE or Amex from 1983 through 1997 (1044 observations), as did Barclay (1997) for 472...
On the impact of fundamentals, liquidity and coordination on market stability
Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games...
Liquidity and capital structure
This paper solves for a firm’s optimal cash holding policy within a continuous time, contingent claims framework that has been extended to incorporate...
Evolution of decision and control rights in venture capital contracts: an empirical analysis
We analyze the structure and evolution of the allocation of decision and control rights in venture capital contracts by using a sample of 464...
The role of prestige and networks in outside director appointment
We study the role of prestige and social networks in the selection of outside directors, and the subsequent effect on firm value. Both prestige and...
Recovery rates, default probabilities and the credit cycle
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this...
Financial structure, managerial compensation and monitoring
When a firm has external debt and monitoring by shareholders is essential, managerial bonuses are shown to be an optimal solution. A small managerial...
Corporate governance and regulation: Can there be too much of a good thing?
For a large number of companies from different countries, we analyze how company corporate governance practices and country regulatory regimes...
Are there Monday effects in stock returns: a stochastic dominance approach
We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic...
Money Illusion and Housing Frenzies
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or...
Monetary policy and its informative value
This paper analyzes the welfare effects of economic transparency in the conduct of monetary policy. We propose a model of monopolistic competition...