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
Dividend Variability and Stock Market Swings
This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when...
The Optimal Size of a Bank: Costs and Benefits of Diversification
This paper provides a theory of diversification and financial structure of banks. It shows that by diversifying the bank portfolio and financing it...
Trading Volumes and Transaction Costs In the Foreign Market - Evidence from Daily Dollar-Yen Spot Data
A Generalized Method of Moments estimation of the determinants of dollar/yen bid–ask spreads is undertaken. In particular, a long time-series of daily...
The Dynamics of Default and Debt Reorganization
This article documents the fact that when debtors decide to default on their obligations too early, it is in the creditors’ collective interest, as...
The Governance of Exchanges: Members' Co-operatives Versus Outside Ownership
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Entrepreneurial Wealth, The Level of Investment and Credit Policy
Empirical evidence suggests that capital market constraints prevent low-wealth individuals from setting up in business. This may be attributable to...
Investment Trap
To what extend can optimal contracts and renegotiation designs alleviate equity market failure due to asymmetric information and transactions costs...
Capital Adequacy and Foreign Exchange Risk Regulation - Recent Developments in Industrial Countries
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The Decision to go Public: An Overview
The paper reviews firms' motives for seeking publicly traded rather than privately held finance. Factors that play a role are the need to provide a...
Dynamic Banking: A Reconsideration
Financially Intermediated and Stock Market consumption-investment allocations, with and without governmental interventions, are compared in a welfare...
Fiscal Policy and the Sub-Optimality of the Walsh Contract for Central Bankers
We develop a model of monetary and fiscal policy where the time inconsistency of optimal monetary policy is due to the effects of tax distortions. If...
Option Pricing with a Quadratic Diffusion Term
Several authors have derived closed-form option prices in models where the underlying financial variable follows a diffusion process with the...
What is the Central Bank's Game?
In this paper we, first, by explicitly taking account of the private sector's influence and pressure on the monetary authorities, provide a more...