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
Research highlight
Corporate Capture of Blockchain Governance
Review of Financial Studies, 36 (4), 1364–1407
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Research highlight
Measuring the welfare cost of asymmetric information in consumer credit markets
Journal of Financial Economics, 146 (3), 821-840
Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Research highlight
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Research highlight
Public Procurement in Law and Practice
American Economic Review, 112 (4), 1091-1117
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
The optimal design of funded pensions
In many countries, pension funds based on individual accounts have been affected by high operating costs. Contract theory helps to unravel the nature...
Long-term care insurance, annuities and asymmetric information: the case for bundling contracts
Within an asymmetric information set-up in which individuals differ in terms of their risk aversion and can choose whether or not to take preventative...
Choice of corporate risk management tools under moral hazard
This paper examines the choice of tools for managing a firm’s operational risks: cash reserves, insurance contracts, and financial assets under an...
Regionality Revisited: an examination of the direction of spread of currency crises
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate...
Speculative attacks with multiple sources of public information
We propose a speculative attack model in which agents receive multiple public signals. It is characterised by its focus on an informational structure...
Consistent measures of risk
In this paper we compare overall as well as downside risk mea- sures with respect to the criteria of first and second order stochastic dominance...
Incentive design under loss aversion
Compensation schemes often reward success but do not penalize failure. Fixed salaries with stock options or bonuses have this feature. Yet the...
Equilibrium asset pricing with systemic risk
We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to...
Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits
The theory of equalizing differences suggests that employer provided pension benefits should be compensated by reduced wage benefits for an employee’s...
Hedge funds and financial stability: explaining the debate at the financial stability forum
The regulatory story of hedge funds is a remarkable one, especially for an investment class born to remain outside any regulatory oversight.
The dark side of 'good' corporate governance: compliance-fuelled book-cooking activities
We argue on theoretical grounds that obligatory compliance with stricter financial reporting rules (e.g., the US Sarbanes-Oxley Act) may entail...
Consistent information multivariate density optimizing methodology
The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This...
Conditional probability of default methodology
This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and...
Precondition for a Successful Implementation of Supervisors' Prompt Corrective Action: Is There a Case for a Banking Standard in the EU?
Over the past years, several countries around the world have adopted a system of prudential prompt corrective action (PCA). The European Union...